| Metric | SPY | KCEIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 14.39% | 18.51% |
| CAGR﹪ | 14.51% | 18.67% |
| Sharpe | 0.83 | 1.75 |
| Prob. Sharpe Ratio | 79.61% | 96.13% |
| Smart Sharpe | 0.82 | 1.65 |
| Sortino | 1.22 | 2.8 |
| Smart Sortino | 1.2 | 2.64 |
| Sortino/√2 | 0.86 | 1.98 |
| Smart Sortino/√2 | 0.85 | 1.87 |
| Omega | 1.2 | 1.45 |
| Max Drawdown | -8.88% | -4.38% |
| Max DD Date | 2026-03-30 | 2026-09-24 |
| Max DD Period Start | 2026-01-28 | 2026-09-03 |
| Max DD Period End | 2026-04-13 | 2026-10-15 |
| Longest DD Days | 76 | 43 |
| Volatility (ann.) | 12.86% | 7.85% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 1.63 | 4.26 |
| Skew | -0.02 | 0.23 |
| Kurtosis | 0.78 | 0.79 |
| Ulcer Performance Index | 6.68 | 14.21 |
| Risk-Adjusted Return | 14.51% | 19.86% |
| Risk-Return Ratio | 0.07 | 0.14 |
| Avg. Return | 0.04% | 0.07% |
| Avg. Win | 0.61% | 0.41% |
| Avg. Loss | -0.55% | -0.34% |
| Win/Loss Ratio | 1.11 | 1.19 |
| Profit Ratio | 1.02 | 0.74 |
| Expected Daily | 0.05% | 0.07% |
| Expected Monthly | 1.04% | 1.31% |
| Expected Yearly | 6.95% | 8.86% |
| Kelly Criterion | 8.62% | 17.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.74% |
| Expected Shortfall (cVaR) | -1.66% | -1.04% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.45 |
| Gain/Pain (1M) | 1.83 | 8.49 |
| Payoff Ratio | 1.11 | 1.19 |
| Profit Factor | 1.2 | 1.45 |
| Common Sense Ratio | 1.19 | 2.07 |
| CPC Index | 0.69 | 0.95 |
| Tail Ratio | 0.99 | 1.43 |
| Outlier Win Ratio | 2.84 | 3.71 |
| Outlier Loss Ratio | 3.01 | 3.04 |
| MTD | 1.47% | 0.77% |
| 3M | 1.46% | 5.24% |
| 6M | 6.94% | 12.28% |
| YTD | 13.33% | 16.31% |
| 1Y | 14.39% | 18.51% |
| 3Y (ann.) | 14.51% | 18.67% |
| 5Y (ann.) | 14.51% | 18.67% |
| 10Y (ann.) | 14.51% | 18.67% |
| All-time (ann.) | 14.51% | 18.67% |
| Best Day | 2.91% | 1.63% |
| Worst Day | -2.58% | -1.3% |
| Best Month | 10.51% | 4.94% |
| Worst Month | -4.94% | -2.05% |
| Best Year | 13.33% | 16.31% |
| Worst Year | 0.94% | 1.89% |
| Avg. Drawdown | -1.74% | -1.02% |
| Avg. Drawdown Days | 14 | 11 |
| Recovery Factor | 1.61 | 3.95 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 1.76 |
| Avg. Up Month | 2.8% | 1.37% |
| Avg. Down Month | -0.33% | -2.05% |
| Win Days | 52.0% | 55.36% |
| Win Month | 61.54% | 92.31% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.09 |
| Alpha | - | 0.19 |
| Correlation | - | -14.28% |
| Treynor Ratio | - | -212.34% |
| Year | SPY | KCEIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.89 | 2.01 | + |
| 2026 | 13.33 | 16.31 | 1.22 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-03 | 2026-10-15 | -4.38 | 43 |
| 2026-07-30 | 2026-08-21 | -2.07 | 23 |
| 2026-06-15 | 2026-06-25 | -2.06 | 11 |
| 2026-05-07 | 2026-05-21 | -2.06 | 15 |
| 2026-10-23 | 2026-11-03 | -1.95 | 12 |
| 2026-02-09 | 2026-03-23 | -1.88 | 43 |
| 2026-08-25 | 2026-09-01 | -1.56 | 8 |
| 2025-12-29 | 2026-01-28 | -1.41 | 31 |
| 2026-06-29 | 2026-07-07 | -1.32 | 9 |
| 2025-11-14 | 2025-12-10 | -1.27 | 27 |