| Metric | SPY | CWEAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 17.23% | -16.14% |
| CAGR﹪ | 18.76% | -17.34% |
| Sharpe | 1.07 | -1.52 |
| Prob. Sharpe Ratio | 84.63% | 4.4% |
| Smart Sharpe | 1.04 | -1.5 |
| Sortino | 1.54 | -1.76 |
| Smart Sortino | 1.5 | -1.73 |
| Sortino/√2 | 1.09 | -1.24 |
| Smart Sortino/√2 | 1.06 | -1.23 |
| Omega | 1.26 | 0.77 |
| 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.) | 13.13% | 14.46% |
| R^2 | 0.19 | 0.19 |
| Information Ratio | -0.15 | -0.15 |
| Calmar | 2.11 | -0.85 |
| Skew | -0.2 | -3.54 |
| Kurtosis | 1.09 | 30.94 |
| Ulcer Performance Index | 7.92 | -1.77 |
| Risk-Adjusted Return | 18.76% | -19.26% |
| Risk-Return Ratio | 0.09 | -0.08 |
| Avg. Return | 0.07% | -0.08% |
| Avg. Win | 0.69% | 0.59% |
| Avg. Loss | -0.74% | -0.66% |
| Win/Loss Ratio | 0.93 | 0.89 |
| Profit Ratio | 0.85 | 0.53 |
| Expected Daily | 0.07% | -0.08% |
| Expected Monthly | 1.33% | -1.46% |
| Expected Yearly | 8.27% | -8.43% |
| Kelly Criterion | 6.58% | -7.97% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.29% | -1.57% |
| Expected Shortfall (cVaR) | -1.72% | -2.98% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.26 | -0.23 |
| Gain/Pain (1M) | 2.52 | -0.84 |
| Payoff Ratio | 0.93 | 0.89 |
| Profit Factor | 1.26 | 0.77 |
| Common Sense Ratio | 1.22 | 0.61 |
| CPC Index | 0.64 | 0.33 |
| Tail Ratio | 0.97 | 0.8 |
| Outlier Win Ratio | 2.95 | 3.98 |
| Outlier Loss Ratio | 3.16 | 3.76 |
| MTD | 3.22% | -8.08% |
| 3M | 3.0% | -11.81% |
| 6M | 12.46% | -13.35% |
| YTD | 13.68% | -16.92% |
| 1Y | 17.23% | -16.14% |
| 3Y (ann.) | 18.76% | -17.34% |
| 5Y (ann.) | 18.76% | -17.34% |
| 10Y (ann.) | 18.76% | -17.34% |
| All-time (ann.) | 18.76% | -17.34% |
| Best Day | 2.91% | 2.52% |
| Worst Day | -2.7% | -8.43% |
| Best Month | 10.51% | 1.06% |
| Worst Month | -4.94% | -8.08% |
| Best Year | 13.68% | 0.94% |
| Worst Year | 3.13% | -16.92% |
| Avg. Drawdown | -1.66% | -6.35% |
| Avg. Drawdown Days | 12 | 64 |
| Recovery Factor | 1.88 | 0.81 |
| Ulcer Index | 0.02 | 0.09 |
| Serenity Index | 1.12 | -0.08 |
| Avg. Up Month | 3.74% | 0.61% |
| Avg. Down Month | -2.28% | -1.88% |
| Win Days | 54.94% | 49.28% |
| Win Month | 75.0% | 41.67% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.47 |
| Alpha | - | -0.27 |
| Correlation | - | 43.02% |
| Treynor Ratio | - | -34.09% |
| Year | SPY | CWEAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 0.94 | 0.30 | - |
| 2026 | 13.68 | -16.92 | -1.24 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-14 | 2026-08-27 | -20.51 | 226 |
| 2025-10-28 | 2026-01-08 | -6.46 | 73 |
| 2025-10-09 | 2025-10-24 | -3.67 | 16 |
| 2025-09-25 | 2025-09-25 | -0.76 | 1 |
| 2025-09-30 | 2025-10-02 | -0.35 | 3 |