| Metric | SPY | CRIHX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 204.97% | 63.53% |
| CAGR﹪ | 16.25% | 6.87% |
| Sharpe | 0.72 | 0.37 |
| Prob. Sharpe Ratio | 97.45% | 83.87% |
| Smart Sharpe | 0.63 | 0.36 |
| Sortino | 1.02 | 0.51 |
| Smart Sortino | 0.88 | 0.5 |
| Sortino/√2 | 0.72 | 0.36 |
| Smart Sortino/√2 | 0.62 | 0.36 |
| Omega | 1.18 | 1.11 |
| Max Drawdown | -33.72% | -20.55% |
| Max DD Date | 2020-03-23 | 2020-03-18 |
| Max DD Period Start | 2020-02-20 | 2020-02-18 |
| Max DD Period End | 2020-08-07 | 2020-06-02 |
| Longest DD Days | 708 | 615 |
| Volatility (ann.) | 19.45% | 12.41% |
| R^2 | 0.46 | 0.46 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.48 | 0.33 |
| Skew | -0.29 | -0.53 |
| Kurtosis | 13.94 | 5.62 |
| Ulcer Performance Index | 25.91 | 11.38 |
| Risk-Adjusted Return | 16.25% | 7.31% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.93% | 0.66% |
| Avg. Loss | -0.99% | -0.7% |
| Win/Loss Ratio | 0.94 | 0.94 |
| Profit Ratio | 0.78 | 0.67 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.25% | 0.55% |
| Expected Yearly | 14.96% | 6.34% |
| Kelly Criterion | 7.27% | 4.09% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.26% |
| Expected Shortfall (cVaR) | -3.2% | -1.84% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.11 |
| Gain/Pain (1M) | 1.15 | 0.68 |
| Payoff Ratio | 0.94 | 0.94 |
| Profit Factor | 1.18 | 1.11 |
| Common Sense Ratio | 1.13 | 1.13 |
| CPC Index | 0.61 | 0.56 |
| Tail Ratio | 0.96 | 1.02 |
| Outlier Win Ratio | 3.69 | 3.76 |
| Outlier Loss Ratio | 4.12 | 3.2 |
| 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.) | 16.25% | 6.87% |
| All-time (ann.) | 16.25% | 6.87% |
| Best Day | 10.5% | 3.81% |
| Worst Day | -10.94% | -6.64% |
| Best Month | 12.7% | 8.08% |
| Worst Month | -12.49% | -6.98% |
| Best Year | 28.73% | 20.44% |
| Worst Year | -18.18% | -4.24% |
| Avg. Drawdown | -1.79% | -2.64% |
| Avg. Drawdown Days | 16 | 37 |
| Recovery Factor | 3.72 | 2.67 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 1.03 | 0.64 |
| Avg. Up Month | 4.39% | 2.6% |
| Avg. Down Month | -4.18% | -2.54% |
| Win Days | 55.15% | 53.4% |
| Win Month | 65.56% | 60.67% |
| Win Quarter | 77.42% | 61.29% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.43 |
| Alpha | - | 0.0 |
| Correlation | - | 68.13% |
| Treynor Ratio | - | 146.14% |
| Year | SPY | CRIHX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 4.10 | 0.25 | - |
| 2020 | 18.33 | 20.44 | 1.11 | + |
| 2021 | 28.73 | 5.91 | 0.21 | - |
| 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 |
|---|---|---|---|
| 2020-02-18 | 2020-06-02 | -20.55 | 106 |
| 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 |
| 2021-01-13 | 2021-03-11 | -9.83 | 58 |
| 2021-05-10 | 2021-11-04 | -9.74 | 179 |
| 2026-02-10 | 2026-05-13 | -9.07 | 93 |
| 2023-08-08 | 2024-01-26 | -6.22 | 172 |
| 2020-06-09 | 2020-08-04 | -6.11 | 57 |
| 2021-03-15 | 2021-04-28 | -5.20 | 45 |