| Metric | SPY | KCEIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 74.99% | 68.82% |
| CAGR﹪ | 11.91% | 11.11% |
| Sharpe | 0.52 | 0.98 |
| Prob. Sharpe Ratio | 87.6% | 98.59% |
| Smart Sharpe | 0.5 | 0.97 |
| Sortino | 0.74 | 1.47 |
| Smart Sortino | 0.72 | 1.44 |
| Sortino/√2 | 0.53 | 1.04 |
| Smart Sortino/√2 | 0.51 | 1.02 |
| Omega | 1.14 | 1.3 |
| Max Drawdown | -24.5% | -7.12% |
| Max DD Date | 2022-10-12 | 2022-09-26 |
| Max DD Period Start | 2022-01-04 | 2022-06-01 |
| Max DD Period End | 2023-12-12 | 2022-11-21 |
| Longest DD Days | 708 | 282 |
| Volatility (ann.) | 17.19% | 7.03% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.49 | 1.56 |
| Skew | 0.33 | 0.04 |
| Kurtosis | 8.98 | 3.01 |
| Ulcer Performance Index | 8.86 | 31.5 |
| Risk-Adjusted Return | 11.91% | 12.2% |
| Risk-Return Ratio | 0.05 | 0.1 |
| Avg. Return | 0.05% | 0.05% |
| Avg. Win | 0.84% | 0.35% |
| Avg. Loss | -0.93% | -0.36% |
| Win/Loss Ratio | 0.91 | 0.98 |
| Profit Ratio | 0.86 | 0.58 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.92% | 0.86% |
| Expected Yearly | 9.77% | 9.12% |
| Kelly Criterion | 2.54% | 10.47% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.69% |
| Expected Shortfall (cVaR) | -2.58% | -1.03% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.14 | 0.3 |
| Gain/Pain (1M) | 0.79 | 2.5 |
| Payoff Ratio | 0.91 | 0.98 |
| Profit Factor | 1.14 | 1.3 |
| Common Sense Ratio | 1.15 | 1.54 |
| CPC Index | 0.56 | 0.71 |
| Tail Ratio | 1.0 | 1.18 |
| Outlier Win Ratio | 3.4 | 4.17 |
| Outlier Loss Ratio | 3.8 | 3.13 |
| MTD | 1.47% | 0.77% |
| 3M | 1.46% | 5.24% |
| 6M | 6.94% | 12.28% |
| YTD | 13.33% | 16.31% |
| 1Y | 13.43% | 19.28% |
| 3Y (ann.) | 20.78% | 12.84% |
| 5Y (ann.) | 12.86% | 10.39% |
| 10Y (ann.) | 11.91% | 11.11% |
| All-time (ann.) | 11.91% | 11.11% |
| Best Day | 10.5% | 2.33% |
| Worst Day | -5.85% | -2.42% |
| Best Month | 10.51% | 4.94% |
| Worst Month | -9.24% | -5.06% |
| Best Year | 26.18% | 16.31% |
| Worst Year | -18.18% | 2.83% |
| Avg. Drawdown | -1.94% | -1.12% |
| Avg. Drawdown Days | 21 | 18 |
| Recovery Factor | 2.58 | 7.52 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.43 | 2.04 |
| Avg. Up Month | 3.8% | 1.73% |
| Avg. Down Month | -3.98% | -1.31% |
| Win Days | 53.48% | 55.77% |
| Win Month | 62.3% | 70.49% |
| Win Quarter | 71.43% | 85.71% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.09 |
| Alpha | - | 0.1 |
| Correlation | - | 21.81% |
| Treynor Ratio | - | 771.07% |
| Year | SPY | KCEIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 5.27 | 3.05 | + |
| 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 | 13.33 | 16.31 | 1.22 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-01 | 2022-11-21 | -7.12 | 174 |
| 2025-02-20 | 2025-08-29 | -6.12 | 191 |
| 2022-11-23 | 2023-08-31 | -5.36 | 282 |
| 2026-09-03 | 2026-10-15 | -4.38 | 43 |
| 2022-03-16 | 2022-04-19 | -3.85 | 35 |
| 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 |
| 2026-06-15 | 2026-06-25 | -2.06 | 11 |