| Metric | SPY | KCEIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 164.8% | 65.21% |
| CAGR﹪ | 15.2% | 7.57% |
| Sharpe | 0.67 | 0.58 |
| Prob. Sharpe Ratio | 95.84% | 93.69% |
| Smart Sharpe | 0.57 | 0.55 |
| Sortino | 0.94 | 0.86 |
| Smart Sortino | 0.81 | 0.81 |
| Sortino/√2 | 0.66 | 0.61 |
| Smart Sortino/√2 | 0.57 | 0.58 |
| Omega | 1.17 | 1.18 |
| Max Drawdown | -33.72% | -16.9% |
| Max DD Date | 2020-03-23 | 2020-10-02 |
| Max DD Period Start | 2020-02-20 | 2019-12-13 |
| Max DD Period End | 2020-08-20 | 2021-12-02 |
| Longest DD Days | 708 | 721 |
| Volatility (ann.) | 19.87% | 8.13% |
| R^2 | 0.15 | 0.15 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.45 | 0.45 |
| Skew | -0.26 | 0.23 |
| Kurtosis | 13.67 | 3.47 |
| Ulcer Performance Index | 20.11 | 11.74 |
| Risk-Adjusted Return | 15.2% | 8.23% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.94% | 0.42% |
| Avg. Loss | -1.04% | -0.44% |
| Win/Loss Ratio | 0.9 | 0.95 |
| Profit Ratio | 0.78 | 0.65 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.17% | 0.6% |
| Expected Yearly | 12.94% | 6.48% |
| Kelly Criterion | 5.12% | 4.39% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.99% | -0.81% |
| Expected Shortfall (cVaR) | -3.28% | -1.13% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.17 | 0.18 |
| Gain/Pain (1M) | 1.02 | 1.15 |
| Payoff Ratio | 0.9 | 0.95 |
| Profit Factor | 1.17 | 1.18 |
| Common Sense Ratio | 1.13 | 1.27 |
| CPC Index | 0.58 | 0.6 |
| Tail Ratio | 0.97 | 1.08 |
| Outlier Win Ratio | 3.74 | 3.99 |
| Outlier Loss Ratio | 4.07 | 3.06 |
| 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.) | 15.2% | 7.57% |
| All-time (ann.) | 15.2% | 7.57% |
| Best Day | 10.5% | 3.51% |
| Worst Day | -10.94% | -2.42% |
| Best Month | 12.03% | 4.94% |
| Worst Month | -12.49% | -5.34% |
| Best Year | 28.73% | 16.74% |
| Worst Year | -18.18% | -11.93% |
| Avg. Drawdown | -1.9% | -1.33% |
| Avg. Drawdown Days | 17 | 28 |
| Recovery Factor | 3.29 | 3.11 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 0.88 | 0.37 |
| Avg. Up Month | 4.0% | 1.75% |
| Avg. Down Month | -4.35% | -1.78% |
| Win Days | 54.97% | 53.32% |
| Win Month | 64.29% | 66.67% |
| Win Quarter | 75.86% | 82.76% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.16 |
| Alpha | - | 0.05 |
| Correlation | - | 38.38% |
| Treynor Ratio | - | 415.27% |
| Year | SPY | KCEIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 3.79 | 0.20 | 0.05 | - |
| 2020 | 15.22 | -11.93 | -0.78 | - |
| 2021 | 28.73 | 16.74 | 0.58 | - |
| 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 |
|---|---|---|---|
| 2019-12-13 | 2021-12-02 | -16.90 | 721 |
| 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 |
| 2024-06-20 | 2024-08-22 | -2.14 | 64 |
| 2026-07-30 | 2026-08-21 | -2.07 | 23 |