| Metric | SPY | KCEIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 17.87% | 12.06% |
| CAGR﹪ | 18.02% | 12.17% |
| Sharpe | 1.04 | 1.08 |
| Prob. Sharpe Ratio | 84.73% | 85.97% |
| Smart Sharpe | 1.01 | 1.04 |
| Sortino | 1.51 | 1.63 |
| Smart Sortino | 1.47 | 1.57 |
| Sortino/√2 | 1.07 | 1.15 |
| Smart Sortino/√2 | 1.04 | 1.11 |
| Omega | 1.25 | 1.31 |
| Max Drawdown | -8.88% | -3.75% |
| Max DD Date | 2026-03-30 | 2026-09-22 |
| Max DD Period Start | 2026-01-28 | 2026-09-03 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 43 |
| Volatility (ann.) | 12.99% | 7.18% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 2.03 | 3.25 |
| Skew | -0.15 | 0.06 |
| Kurtosis | 1.05 | 0.78 |
| Ulcer Performance Index | 8.3 | 11.38 |
| Risk-Adjusted Return | 18.02% | 13.08% |
| Risk-Return Ratio | 0.08 | 0.1 |
| Avg. Return | 0.05% | 0.05% |
| Avg. Win | 0.61% | 0.37% |
| Avg. Loss | -0.59% | -0.34% |
| Win/Loss Ratio | 1.03 | 1.08 |
| Profit Ratio | 0.94 | 0.69 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.27% | 0.88% |
| Expected Yearly | 8.57% | 5.86% |
| Kelly Criterion | 8.36% | 12.57% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.7% |
| Expected Shortfall (cVaR) | -1.72% | -0.95% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.25 | 0.31 |
| Gain/Pain (1M) | 2.6 | 4.11 |
| Payoff Ratio | 1.03 | 1.08 |
| Profit Factor | 1.25 | 1.31 |
| Common Sense Ratio | 1.24 | 1.55 |
| CPC Index | 0.69 | 0.77 |
| Tail Ratio | 0.99 | 1.18 |
| Outlier Win Ratio | 2.88 | 3.58 |
| Outlier Loss Ratio | 3.19 | 3.14 |
| MTD | 1.08% | -2.16% |
| 3M | 3.82% | 2.87% |
| 6M | 19.85% | 8.22% |
| YTD | 14.3% | 9.87% |
| 1Y | 17.87% | 12.06% |
| 3Y (ann.) | 18.02% | 12.17% |
| 5Y (ann.) | 18.02% | 12.17% |
| 10Y (ann.) | 18.02% | 12.17% |
| All-time (ann.) | 18.02% | 12.17% |
| Best Day | 2.91% | 1.45% |
| Worst Day | -2.7% | -1.3% |
| Best Month | 10.51% | 3.22% |
| Worst Month | -4.94% | -2.16% |
| Best Year | 14.3% | 9.87% |
| Worst Year | 3.13% | 1.99% |
| Avg. Drawdown | -1.71% | -1.07% |
| Avg. Drawdown Days | 13 | 12 |
| Recovery Factor | 1.94 | 3.11 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 2.06 |
| Avg. Up Month | 2.89% | 1.57% |
| Avg. Down Month | - | - |
| Win Days | 53.6% | 54.55% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.05 |
| Alpha | - | 0.13 |
| Correlation | - | -9.51% |
| Treynor Ratio | - | -229.62% |
| Year | SPY | KCEIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 1.99 | 0.64 | - |
| 2026 | 14.30 | 9.87 | 0.69 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-03 | 2026-09-22 | -3.75 | 20 |
| 2025-09-25 | 2025-11-04 | -2.74 | 41 |
| 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 |
| 2026-02-09 | 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 |