| Metric | SPY | CWEAX |
|---|---|---|
| Risk-Free Proxy | Kenneth French daily RF | Kenneth French daily RF |
| Time in Market | 100.0% | 78.0% |
| Cumulative Return | 6.81% | -11.04% |
| CAGR﹪ | 23.4% | -31.15% |
| Sharpe | 1.38 | -2.37 |
| Prob. Sharpe Ratio | 77.63% | 0.98% |
| Smart Sharpe | 1.26 | -2.35 |
| Sortino | 2.04 | -2.46 |
| Smart Sortino | 1.86 | -2.43 |
| Sortino/√2 | 1.44 | -1.74 |
| Smart Sortino/√2 | 1.32 | -1.72 |
| Omega | 1.32 | 0.5 |
| 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.) | 13.12% | 16.69% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | -0.2 | -0.2 |
| Calmar | 5.21 | -2.41 |
| Skew | -0.29 | -6.39 |
| Kurtosis | 0.76 | 50.47 |
| Ulcer Performance Index | 4.07 | -2.55 |
| Risk-Adjusted Return | 23.4% | -39.94% |
| Risk-Return Ratio | 0.11 | -0.14 |
| Avg. Return | 0.13% | -0.18% |
| Avg. Win | 0.78% | 0.38% |
| Avg. Loss | -0.81% | -0.54% |
| Win/Loss Ratio | 0.96 | 0.7 |
| Profit Ratio | 0.92 | 0.21 |
| Expected Daily | 0.08% | -0.15% |
| Expected Monthly | 1.66% | -2.88% |
| Expected Yearly | 6.81% | -11.04% |
| Kelly Criterion | 6.85% | -23.8% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.27% | -1.87% |
| Expected Shortfall (cVaR) | -1.79% | -8.43% |
| Max Consecutive Wins | 4 | 4 |
| Max Consecutive Losses | 3 | 4 |
| Gain/Pain Ratio | 0.32 | -0.5 |
| Gain/Pain (1M) | 7.56 | -0.93 |
| Payoff Ratio | 0.96 | 0.7 |
| Profit Factor | 1.32 | 0.5 |
| Common Sense Ratio | 1.71 | 0.43 |
| CPC Index | 0.69 | 0.17 |
| Tail Ratio | 1.3 | 0.86 |
| Outlier Win Ratio | 2.68 | 4.45 |
| Outlier Loss Ratio | 3.0 | 4.03 |
| MTD | 3.22% | -8.08% |
| 3M | 3.0% | -11.81% |
| 6M | 6.81% | -11.04% |
| YTD | 6.81% | -11.04% |
| 1Y | 6.81% | -11.04% |
| 3Y (ann.) | 23.4% | -31.15% |
| 5Y (ann.) | 23.4% | -31.15% |
| 10Y (ann.) | 23.4% | -31.15% |
| All-time (ann.) | 23.4% | -31.15% |
| Best Day | 1.8% | 1.14% |
| Worst Day | -2.58% | -8.43% |
| Best Month | 4.52% | 0.87% |
| Worst Month | -1.03% | -8.08% |
| Best Year | 6.81% | -11.04% |
| Worst Year | 6.81% | -11.04% |
| Avg. Drawdown | -1.2% | -6.65% |
| Avg. Drawdown Days | 11 | 54 |
| Recovery Factor | 1.53 | 0.87 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 0.95 | -0.21 |
| Avg. Up Month | 4.52% | 0.87% |
| Avg. Down Month | -1.03% | -1.66% |
| Win Days | 54.43% | 49.18% |
| Win Month | 75.0% | 25.0% |
| Win Quarter | 100.0% | 0.0% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.32 |
| Alpha | - | -0.43 |
| Correlation | - | 25.06% |
| Treynor Ratio | - | -34.63% |
| Year | SPY | CWEAX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.81 | -11.04 | -1.62 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-14 | 2026-08-27 | -12.93 | 106 |
| 2026-05-06 | 2026-05-08 | -0.37 | 3 |