| Metric | SPY | CWEAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 82.0% |
| Cumulative Return | 17.96% | -9.24% |
| CAGR﹪ | 46.5% | -20.08% |
| Sharpe | 2.56 | -1.71 |
| Prob. Sharpe Ratio | 95.31% | 4.38% |
| Smart Sharpe | 2.54 | -1.68 |
| Sortino | 4.12 | -1.79 |
| Smart Sortino | 4.08 | -1.76 |
| Sortino/√2 | 2.91 | -1.27 |
| Smart Sortino/√2 | 2.89 | -1.25 |
| Omega | 1.61 | 0.64 |
| Max Drawdown | -4.49% | -12.93% |
| Max DD Date | 2026-06-10 | 2026-08-25 |
| Max DD Period Start | 2026-06-03 | 2026-05-14 |
| Max DD Period End | 2026-07-31 | 2026-08-27 |
| Longest DD Days | 59 | 106 |
| Volatility (ann.) | 13.91% | 14.61% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.21 | -0.21 |
| Calmar | 10.35 | -1.55 |
| Skew | 0.02 | -7.01 |
| Kurtosis | 1.19 | 63.31 |
| Ulcer Performance Index | 11.77 | -2.5 |
| Risk-Adjusted Return | 46.5% | -24.49% |
| Risk-Return Ratio | 0.18 | -0.09 |
| Avg. Return | 0.18% | -0.1% |
| Avg. Win | 0.76% | 0.34% |
| Avg. Loss | -0.75% | -0.45% |
| Win/Loss Ratio | 1.01 | 0.75 |
| Profit Ratio | 0.92 | 0.25 |
| Expected Daily | 0.15% | -0.09% |
| Expected Monthly | 2.79% | -1.6% |
| Expected Yearly | 17.96% | -9.24% |
| Kelly Criterion | 14.11% | -10.4% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.29% | -1.6% |
| Expected Shortfall (cVaR) | -1.77% | -8.43% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 3 | 4 |
| Gain/Pain Ratio | 0.61 | -0.36 |
| Gain/Pain (1M) | 10.56 | -0.76 |
| Payoff Ratio | 1.01 | 0.75 |
| Profit Factor | 1.61 | 0.64 |
| Common Sense Ratio | 1.95 | 0.56 |
| CPC Index | 0.92 | 0.25 |
| Tail Ratio | 1.21 | 0.88 |
| Outlier Win Ratio | 3.44 | 4.06 |
| Outlier Loss Ratio | 3.0 | 2.21 |
| MTD | 3.22% | -8.08% |
| 3M | 3.0% | -11.81% |
| 6M | 17.96% | -9.24% |
| YTD | 17.96% | -9.24% |
| 1Y | 17.96% | -9.24% |
| 3Y (ann.) | 46.5% | -20.08% |
| 5Y (ann.) | 46.5% | -20.08% |
| 10Y (ann.) | 46.5% | -20.08% |
| All-time (ann.) | 46.5% | -20.08% |
| Best Day | 2.91% | 1.14% |
| Worst Day | -2.58% | -8.43% |
| Best Month | 10.51% | 1.14% |
| Worst Month | -1.03% | -8.08% |
| Best Year | 17.96% | -9.24% |
| Worst Year | 17.96% | -9.24% |
| Avg. Drawdown | -1.06% | -2.24% |
| Avg. Drawdown Days | 7 | 19 |
| Recovery Factor | 3.77 | 0.71 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 2.81 | -0.18 |
| Avg. Up Month | 7.88% | 0.87% |
| Avg. Down Month | -1.03% | -1.66% |
| Win Days | 56.88% | 52.81% |
| Win Month | 66.67% | 50.0% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.2 |
| Alpha | - | -0.29 |
| Correlation | - | 19.17% |
| Treynor Ratio | - | -45.88% |
| Year | SPY | CWEAX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 17.96 | -9.24 | -0.51 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-14 | 2026-08-27 | -12.93 | 106 |
| 2026-04-30 | 2026-05-11 | -1.47 | 12 |
| 2026-03-27 | 2026-04-01 | -0.56 | 6 |
| 2026-04-08 | 2026-04-08 | -0.25 | 1 |
| 2026-04-14 | 2026-04-15 | -0.25 | 2 |
| 2026-04-20 | 2026-04-22 | -0.19 | 3 |
| 2026-04-10 | 2026-04-10 | -0.06 | 1 |