| Metric | SPY | KCEIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 6.48% | 11.33% |
| CAGR﹪ | 13.27% | 23.73% |
| Sharpe | 0.78 | 1.85 |
| Prob. Sharpe Ratio | 70.87% | 90.75% |
| Smart Sharpe | 0.75 | 1.74 |
| Sortino | 1.14 | 2.98 |
| Smart Sortino | 1.09 | 2.8 |
| Sortino/√2 | 0.8 | 2.11 |
| Smart Sortino/√2 | 0.77 | 1.98 |
| Omega | 1.19 | 1.43 |
| Max Drawdown | -4.49% | -4.38% |
| Max DD Date | 2026-06-10 | 2026-09-24 |
| Max DD Period Start | 2026-06-03 | 2026-09-03 |
| Max DD Period End | 2026-07-31 | 2026-10-15 |
| Longest DD Days | 59 | 43 |
| Volatility (ann.) | 12.4% | 9.83% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 2.95 | 5.42 |
| Skew | -0.15 | 0.16 |
| Kurtosis | 0.59 | -0.18 |
| Ulcer Performance Index | 3.89 | 6.9 |
| Risk-Adjusted Return | 13.27% | 25.25% |
| Risk-Return Ratio | 0.07 | 0.14 |
| Avg. Return | 0.05% | 0.09% |
| Avg. Win | 0.57% | 0.58% |
| Avg. Loss | -0.49% | -0.44% |
| Win/Loss Ratio | 1.18 | 1.33 |
| Profit Ratio | 1.15 | 0.78 |
| Expected Daily | 0.05% | 0.08% |
| Expected Monthly | 0.9% | 1.55% |
| Expected Yearly | 6.48% | 11.33% |
| Kelly Criterion | 8.41% | 20.38% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.93% |
| Expected Shortfall (cVaR) | -1.63% | -1.09% |
| Max Consecutive Wins | 4 | 5 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.19 | 0.43 |
| Gain/Pain (1M) | 3.26 | 5.39 |
| Payoff Ratio | 1.18 | 1.33 |
| Profit Factor | 1.19 | 1.43 |
| Common Sense Ratio | 1.47 | 1.68 |
| CPC Index | 0.71 | 1.03 |
| Tail Ratio | 1.23 | 1.18 |
| Outlier Win Ratio | 2.66 | 3.04 |
| Outlier Loss Ratio | 3.07 | 2.5 |
| MTD | 1.47% | 0.77% |
| 3M | 1.46% | 5.24% |
| 6M | 6.48% | 11.33% |
| YTD | 6.48% | 11.33% |
| 1Y | 6.48% | 11.33% |
| 3Y (ann.) | 13.27% | 23.73% |
| 5Y (ann.) | 13.27% | 23.73% |
| 10Y (ann.) | 13.27% | 23.73% |
| All-time (ann.) | 13.27% | 23.73% |
| Best Day | 1.8% | 1.63% |
| Worst Day | -2.58% | -1.3% |
| Best Month | 4.52% | 4.94% |
| Worst Month | -1.03% | -2.05% |
| Best Year | 6.48% | 11.33% |
| Worst Year | 6.48% | 11.33% |
| Avg. Drawdown | -1.57% | -1.22% |
| Avg. Drawdown Days | 17 | 8 |
| Recovery Factor | 1.48 | 2.51 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.91 | 1.09 |
| Avg. Up Month | 2.18% | 1.83% |
| Avg. Down Month | -0.33% | -2.05% |
| Win Days | 50.39% | 54.62% |
| Win Month | 57.14% | 85.71% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.24 |
| Alpha | - | 0.25 |
| Correlation | - | -30.43% |
| Treynor Ratio | - | -46.94% |
| Year | SPY | KCEIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 11.33 | 1.75 | + |
| 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 |
| 2026-08-25 | 2026-09-01 | -1.56 | 8 |
| 2026-06-29 | 2026-07-07 | -1.32 | 9 |
| 2026-07-20 | 2026-07-23 | -0.88 | 4 |
| 2026-07-14 | 2026-07-15 | -0.81 | 2 |
| 2026-10-21 | 2026-10-21 | -0.70 | 1 |