| Metric | SPY | CRIHX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 14.39% | 7.1% |
| CAGR﹪ | 14.51% | 7.16% |
| Sharpe | 0.83 | 0.31 |
| Prob. Sharpe Ratio | 79.61% | 62.07% |
| Smart Sharpe | 0.82 | 0.29 |
| Sortino | 1.22 | 0.45 |
| Smart Sortino | 1.2 | 0.43 |
| Sortino/√2 | 0.86 | 0.32 |
| Smart Sortino/√2 | 0.85 | 0.3 |
| Omega | 1.2 | 1.1 |
| Max Drawdown | -8.88% | -12.2% |
| Max DD Date | 2026-03-30 | 2026-10-22 |
| Max DD Period Start | 2026-01-28 | 2026-07-01 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 127 |
| Volatility (ann.) | 12.86% | 13.46% |
| R^2 | 0.35 | 0.35 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 1.63 | 0.59 |
| Skew | -0.02 | 0.16 |
| Kurtosis | 0.78 | 0.81 |
| Ulcer Performance Index | 6.68 | 1.2 |
| Risk-Adjusted Return | 14.51% | 7.54% |
| Risk-Return Ratio | 0.07 | 0.04 |
| Avg. Return | 0.04% | 0.03% |
| Avg. Win | 0.74% | 0.79% |
| Avg. Loss | -0.66% | -0.72% |
| Win/Loss Ratio | 1.12 | 1.1 |
| Profit Ratio | 1.02 | 0.8 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.04% | 0.53% |
| Expected Yearly | 6.95% | 3.49% |
| Kelly Criterion | 9.17% | 7.35% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.36% |
| Expected Shortfall (cVaR) | -1.66% | -1.79% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.2 | 0.1 |
| Gain/Pain (1M) | 1.83 | 0.42 |
| Payoff Ratio | 1.12 | 1.1 |
| Profit Factor | 1.2 | 1.1 |
| Common Sense Ratio | 1.19 | 1.28 |
| CPC Index | 0.7 | 0.62 |
| Tail Ratio | 0.99 | 1.16 |
| Outlier Win Ratio | 2.84 | 3.49 |
| Outlier Loss Ratio | 3.01 | 2.83 |
| MTD | 1.47% | 1.61% |
| 3M | 1.46% | -4.26% |
| 6M | 6.94% | -0.08% |
| YTD | 13.33% | 4.57% |
| 1Y | 14.39% | 7.1% |
| 3Y (ann.) | 14.51% | 7.16% |
| 5Y (ann.) | 14.51% | 7.16% |
| 10Y (ann.) | 14.51% | 7.16% |
| All-time (ann.) | 14.51% | 7.16% |
| Best Day | 2.91% | 3.14% |
| Worst Day | -2.58% | -2.7% |
| Best Month | 10.51% | 6.8% |
| Worst Month | -4.94% | -6.98% |
| Best Year | 13.33% | 4.57% |
| Worst Year | 0.94% | 2.42% |
| Avg. Drawdown | -1.74% | -2.38% |
| Avg. Drawdown Days | 14 | 17 |
| Recovery Factor | 1.61 | 0.64 |
| Ulcer Index | 0.02 | 0.06 |
| Serenity Index | 0.94 | 0.1 |
| Avg. Up Month | 3.27% | 2.84% |
| Avg. Down Month | -2.92% | -3.6% |
| Win Days | 52.0% | 51.48% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.62 |
| Alpha | - | -0.01 |
| Correlation | - | 59.21% |
| Treynor Ratio | - | 11.46% |
| Year | SPY | CRIHX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 2.42 | 2.58 | + |
| 2026 | 13.33 | 4.57 | 0.34 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-01 | 2026-11-04 | -12.20 | 127 |
| 2026-02-10 | 2026-05-13 | -9.07 | 93 |
| 2025-11-13 | 2025-11-24 | -3.54 | 12 |
| 2026-05-15 | 2026-05-21 | -3.07 | 7 |
| 2025-12-12 | 2026-01-05 | -2.70 | 25 |
| 2026-01-22 | 2026-02-06 | -2.66 | 16 |
| 2026-05-27 | 2026-06-01 | -2.63 | 6 |
| 2026-06-03 | 2026-06-10 | -1.91 | 8 |
| 2026-06-16 | 2026-06-17 | -1.60 | 2 |
| 2026-06-23 | 2026-06-24 | -1.18 | 2 |