| Metric | SPY | CWEAX |
|---|---|---|
| Risk-Free Proxy | Kenneth French daily RF | Kenneth French daily RF |
| Time in Market | 100.0% | 89.0% |
| Cumulative Return | 14.74% | -16.48% |
| CAGR﹪ | 18.72% | -20.12% |
| Sharpe | 1.08 | -1.78 |
| Prob. Sharpe Ratio | 83.17% | 2.46% |
| Smart Sharpe | 1.08 | -1.71 |
| Sortino | 1.58 | -2.01 |
| Smart Sortino | 1.58 | -1.94 |
| Sortino/√2 | 1.12 | -1.42 |
| Smart Sortino/√2 | 1.12 | -1.37 |
| Omega | 1.25 | 0.72 |
| Max Drawdown | -8.88% | -20.51% |
| Max DD Date | 2026-03-30 | 2026-08-25 |
| Max DD Period Start | 2026-01-28 | 2026-01-14 |
| Max DD Period End | 2026-04-13 | 2026-08-27 |
| Longest DD Days | 76 | 226 |
| Volatility (ann.) | 13.24% | 14.2% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.16 | -0.16 |
| Calmar | 2.11 | -0.98 |
| Skew | -0.06 | -4.15 |
| Kurtosis | 0.82 | 37.4 |
| Ulcer Performance Index | 6.53 | -1.68 |
| Risk-Adjusted Return | 18.72% | -22.61% |
| Risk-Return Ratio | 0.09 | -0.1 |
| Avg. Return | 0.07% | -0.1% |
| Avg. Win | 0.69% | 0.54% |
| Avg. Loss | -0.73% | -0.64% |
| Win/Loss Ratio | 0.95 | 0.85 |
| Profit Ratio | 0.91 | 0.46 |
| Expected Daily | 0.07% | -0.09% |
| Expected Monthly | 1.38% | -1.78% |
| Expected Yearly | 7.12% | -8.61% |
| Kelly Criterion | 5.38% | -10.18% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.3% | -1.56% |
| Expected Shortfall (cVaR) | -1.65% | -2.91% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.25 | -0.28 |
| Gain/Pain (1M) | 2.18 | -0.88 |
| Payoff Ratio | 0.95 | 0.85 |
| Profit Factor | 1.25 | 0.72 |
| Common Sense Ratio | 1.23 | 0.55 |
| CPC Index | 0.64 | 0.3 |
| Tail Ratio | 0.98 | 0.77 |
| Outlier Win Ratio | 2.92 | 4.38 |
| Outlier Loss Ratio | 2.9 | 3.3 |
| MTD | 3.22% | -8.08% |
| 3M | 3.0% | -11.81% |
| 6M | 12.46% | -13.35% |
| YTD | 13.68% | -16.92% |
| 1Y | 14.74% | -16.48% |
| 3Y (ann.) | 18.72% | -20.12% |
| 5Y (ann.) | 18.72% | -20.12% |
| 10Y (ann.) | 18.72% | -20.12% |
| All-time (ann.) | 18.72% | -20.12% |
| Best Day | 2.91% | 2.29% |
| Worst Day | -2.58% | -8.43% |
| Best Month | 10.51% | 1.06% |
| Worst Month | -4.94% | -8.08% |
| Best Year | 13.68% | 0.52% |
| Worst Year | 0.94% | -16.92% |
| Avg. Drawdown | -1.6% | -9.23% |
| Avg. Drawdown Days | 11 | 95 |
| Recovery Factor | 1.63 | 0.84 |
| Ulcer Index | 0.02 | 0.1 |
| Serenity Index | 0.92 | -0.08 |
| Avg. Up Month | 4.18% | 0.57% |
| Avg. Down Month | -2.28% | -1.88% |
| Win Days | 53.96% | 49.44% |
| Win Month | 70.0% | 40.0% |
| Win Quarter | 75.0% | 50.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.4 |
| Alpha | - | -0.29 |
| Correlation | - | 37.45% |
| Treynor Ratio | - | -41.05% |
| Year | SPY | CWEAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 0.52 | 0.56 | - |
| 2026 | 13.68 | -16.92 | -1.24 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-14 | 2026-08-27 | -20.51 | 226 |
| 2025-11-13 | 2026-01-08 | -6.25 | 57 |
| 2025-11-06 | 2025-11-07 | -0.93 | 2 |