| Metric | SPY | KCEIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 86.58% | 61.43% |
| CAGR﹪ | 13.36% | 10.11% |
| Sharpe | 0.59 | 0.87 |
| Prob. Sharpe Ratio | 90.85% | 97.4% |
| Smart Sharpe | 0.58 | 0.86 |
| Sortino | 0.86 | 1.28 |
| Smart Sortino | 0.83 | 1.26 |
| Sortino/√2 | 0.61 | 0.91 |
| Smart Sortino/√2 | 0.59 | 0.89 |
| Omega | 1.16 | 1.28 |
| Max Drawdown | -24.5% | -7.12% |
| Max DD Date | 2022-10-12 | 2022-09-26 |
| Max DD Period Start | 2022-01-04 | 2022-05-18 |
| Max DD Period End | 2023-12-12 | 2022-11-21 |
| Longest DD Days | 708 | 282 |
| Volatility (ann.) | 17.2% | 6.96% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.55 | 1.42 |
| Skew | 0.32 | -0.04 |
| Kurtosis | 8.95 | 3.02 |
| Ulcer Performance Index | 10.24 | 28.46 |
| Risk-Adjusted Return | 13.36% | 11.11% |
| Risk-Return Ratio | 0.05 | 0.09 |
| Avg. Return | 0.05% | 0.04% |
| Avg. Win | 0.84% | 0.35% |
| Avg. Loss | -0.93% | -0.37% |
| Win/Loss Ratio | 0.91 | 0.96 |
| Profit Ratio | 0.83 | 0.57 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.03% | 0.79% |
| Expected Yearly | 10.95% | 8.31% |
| Kelly Criterion | 3.38% | 9.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.68% |
| Expected Shortfall (cVaR) | -2.58% | -1.04% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.16 | 0.28 |
| Gain/Pain (1M) | 0.87 | 2.14 |
| Payoff Ratio | 0.91 | 0.96 |
| Profit Factor | 1.16 | 1.28 |
| Common Sense Ratio | 1.17 | 1.47 |
| CPC Index | 0.57 | 0.68 |
| Tail Ratio | 1.01 | 1.15 |
| Outlier Win Ratio | 3.41 | 4.13 |
| Outlier Loss Ratio | 3.77 | 3.19 |
| MTD | 1.08% | -2.16% |
| 3M | 3.82% | 2.87% |
| 6M | 19.85% | 8.22% |
| YTD | 14.3% | 9.87% |
| 1Y | 17.78% | 12.89% |
| 3Y (ann.) | 24.86% | 11.22% |
| 5Y (ann.) | 13.06% | 10.19% |
| 10Y (ann.) | 13.36% | 10.11% |
| All-time (ann.) | 13.36% | 10.11% |
| Best Day | 10.5% | 2.33% |
| Worst Day | -5.85% | -2.42% |
| Best Month | 10.51% | 4.23% |
| Worst Month | -9.24% | -5.06% |
| Best Year | 26.18% | 15.09% |
| Worst Year | -18.18% | 2.83% |
| Avg. Drawdown | -1.89% | -1.13% |
| Avg. Drawdown Days | 20 | 19 |
| Recovery Factor | 2.85 | 6.89 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.47 | 1.89 |
| Avg. Up Month | 3.87% | 1.76% |
| Avg. Down Month | -4.29% | -1.24% |
| Win Days | 54.04% | 55.74% |
| Win Month | 63.93% | 68.85% |
| Win Quarter | 66.67% | 85.71% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.09 |
| Alpha | - | 0.09 |
| Correlation | - | 23.39% |
| Treynor Ratio | - | 648.95% |
| Year | SPY | KCEIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 6.56 | 0.87 | - |
| 2022 | -18.18 | 10.41 | -0.57 | + |
| 2023 | 26.18 | 2.83 | 0.11 | - |
| 2024 | 24.89 | 15.09 | 0.61 | - |
| 2025 | 17.72 | 5.51 | 0.31 | - |
| 2026 | 14.30 | 9.87 | 0.69 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-05-18 | 2022-11-21 | -7.12 | 188 |
| 2025-02-20 | 2025-08-29 | -6.12 | 191 |
| 2022-11-23 | 2023-08-31 | -5.36 | 282 |
| 2022-03-16 | 2022-04-19 | -3.85 | 35 |
| 2026-09-03 | 2026-09-22 | -3.75 | 20 |
| 2021-09-30 | 2021-11-10 | -2.92 | 42 |
| 2022-02-04 | 2022-03-02 | -2.82 | 27 |
| 2025-09-12 | 2025-11-04 | -2.82 | 54 |
| 2024-06-25 | 2024-08-22 | -2.14 | 59 |
| 2026-07-30 | 2026-08-21 | -2.07 | 23 |