| Metric | SPY | CRIHX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 74.99% | 21.46% |
| CAGR﹪ | 11.91% | 3.99% |
| Sharpe | 0.52 | 0.06 |
| Prob. Sharpe Ratio | 87.6% | 55.36% |
| Smart Sharpe | 0.5 | 0.06 |
| Sortino | 0.74 | 0.09 |
| Smart Sortino | 0.72 | 0.08 |
| Sortino/√2 | 0.53 | 0.06 |
| Smart Sortino/√2 | 0.51 | 0.06 |
| Omega | 1.14 | 1.07 |
| Max Drawdown | -24.5% | -15.87% |
| Max DD Date | 2022-10-12 | 2025-04-08 |
| Max DD Period Start | 2022-01-04 | 2024-12-17 |
| Max DD Period End | 2023-12-12 | 2026-01-14 |
| Longest DD Days | 708 | 615 |
| Volatility (ann.) | 17.19% | 11.2% |
| R^2 | 0.47 | 0.47 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.25 |
| Skew | 0.33 | -0.09 |
| Kurtosis | 8.98 | 1.63 |
| Ulcer Performance Index | 8.86 | 3.52 |
| Risk-Adjusted Return | 11.91% | 4.2% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.04% | 0.02% |
| Avg. Win | 0.91% | 0.62% |
| Avg. Loss | -0.92% | -0.64% |
| Win/Loss Ratio | 0.99 | 0.97 |
| Profit Ratio | 0.86 | 0.72 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.32% |
| Expected Yearly | 9.77% | 3.29% |
| Kelly Criterion | 6.54% | 2.82% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.14% |
| Expected Shortfall (cVaR) | -2.58% | -1.57% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.07 |
| Gain/Pain (1M) | 0.79 | 0.36 |
| Payoff Ratio | 0.99 | 0.97 |
| Profit Factor | 1.14 | 1.07 |
| Common Sense Ratio | 1.15 | 1.05 |
| CPC Index | 0.6 | 0.54 |
| Tail Ratio | 1.0 | 0.98 |
| Outlier Win Ratio | 3.4 | 3.71 |
| Outlier Loss Ratio | 3.8 | 3.15 |
| MTD | 1.47% | 1.61% |
| 3M | 1.46% | -4.26% |
| 6M | 6.94% | -0.08% |
| YTD | 13.33% | 4.57% |
| 1Y | 13.43% | 6.5% |
| 3Y (ann.) | 20.78% | 7.59% |
| 5Y (ann.) | 12.86% | 4.95% |
| 10Y (ann.) | 11.91% | 3.99% |
| All-time (ann.) | 11.91% | 3.99% |
| Best Day | 10.5% | 3.14% |
| Worst Day | -5.85% | -3.3% |
| Best Month | 10.51% | 8.08% |
| Worst Month | -9.24% | -6.98% |
| Best Year | 26.18% | 17.79% |
| Worst Year | -18.18% | -4.24% |
| Avg. Drawdown | -1.94% | -2.85% |
| Avg. Drawdown Days | 21 | 52 |
| Recovery Factor | 2.58 | 1.42 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 0.43 | 0.21 |
| Avg. Up Month | 4.15% | 2.47% |
| Avg. Down Month | -4.0% | -2.69% |
| Win Days | 53.48% | 52.16% |
| Win Month | 62.3% | 58.33% |
| Win Quarter | 71.43% | 52.38% |
| Win Year | 83.33% | 50.0% |
| Beta | - | 0.45 |
| Alpha | - | -0.01 |
| Correlation | - | 68.43% |
| Treynor Ratio | - | 48.12% |
| Year | SPY | CRIHX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -1.37 | -0.79 | - |
| 2022 | -18.18 | -4.24 | 0.23 | + |
| 2023 | 26.18 | 6.06 | 0.23 | - |
| 2024 | 24.89 | 17.79 | 0.71 | - |
| 2025 | 17.72 | -1.55 | -0.09 | - |
| 2026 | 13.33 | 4.57 | 0.34 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-12-17 | 2026-01-14 | -15.87 | 394 |
| 2026-07-01 | 2026-11-04 | -12.20 | 127 |
| 2021-11-10 | 2023-07-17 | -10.94 | 615 |
| 2026-02-10 | 2026-05-13 | -9.07 | 93 |
| 2023-08-08 | 2024-01-26 | -6.22 | 172 |
| 2024-07-17 | 2024-08-22 | -4.86 | 37 |
| 2024-04-01 | 2024-05-14 | -4.65 | 44 |
| 2026-05-15 | 2026-05-20 | -3.07 | 6 |
| 2024-09-20 | 2024-11-05 | -2.68 | 47 |
| 2026-01-22 | 2026-02-06 | -2.66 | 16 |