| Metric | SPY | KCEIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 167.07% | 56.06% |
| CAGR﹪ | 15.65% | 6.81% |
| Sharpe | 0.68 | 0.5 |
| Prob. Sharpe Ratio | 96.06% | 90.2% |
| Smart Sharpe | 0.59 | 0.47 |
| Sortino | 0.96 | 0.73 |
| Smart Sortino | 0.83 | 0.69 |
| Sortino/√2 | 0.68 | 0.51 |
| Smart Sortino/√2 | 0.59 | 0.49 |
| Omega | 1.17 | 1.16 |
| 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.) | 19.99% | 8.07% |
| R^2 | 0.16 | 0.16 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.46 | 0.4 |
| Skew | -0.26 | 0.21 |
| Kurtosis | 13.56 | 3.62 |
| Ulcer Performance Index | 20.21 | 10.03 |
| Risk-Adjusted Return | 15.65% | 7.4% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.95% | 0.42% |
| Avg. Loss | -1.05% | -0.44% |
| Win/Loss Ratio | 0.9 | 0.95 |
| Profit Ratio | 0.78 | 0.64 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.21% | 0.54% |
| Expected Yearly | 13.06% | 5.72% |
| Kelly Criterion | 5.23% | 3.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.01% | -0.81% |
| Expected Shortfall (cVaR) | -3.3% | -1.13% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.17 | 0.16 |
| Gain/Pain (1M) | 1.04 | 1.02 |
| Payoff Ratio | 0.9 | 0.95 |
| Profit Factor | 1.17 | 1.16 |
| Common Sense Ratio | 1.14 | 1.24 |
| CPC Index | 0.58 | 0.58 |
| Tail Ratio | 0.97 | 1.07 |
| Outlier Win Ratio | 3.76 | 3.94 |
| Outlier Loss Ratio | 4.05 | 3.08 |
| 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.) | 15.65% | 6.81% |
| All-time (ann.) | 15.65% | 6.81% |
| Best Day | 10.5% | 3.51% |
| Worst Day | -10.94% | -2.42% |
| Best Month | 12.03% | 4.39% |
| Worst Month | -12.49% | -5.34% |
| Best Year | 28.73% | 16.74% |
| Worst Year | -18.18% | -11.93% |
| Avg. Drawdown | -1.89% | -1.29% |
| Avg. Drawdown Days | 17 | 28 |
| Recovery Factor | 3.32 | 2.76 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 0.88 | 0.32 |
| Avg. Up Month | 4.06% | 1.77% |
| Avg. Down Month | -4.59% | -1.76% |
| Win Days | 55.09% | 53.26% |
| Win Month | 65.85% | 65.85% |
| Win Quarter | 75.0% | 82.14% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.16 |
| Alpha | - | 0.04 |
| Correlation | - | 39.67% |
| Treynor Ratio | - | 350.16% |
| 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 | 14.30 | 9.87 | 0.69 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2019-12-13 | 2021-12-02 | -16.90 | 721 |
| 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 |
| 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 |