| Metric | SPY | CWEAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 33.24% | -21.6% |
| CAGR﹪ | 19.29% | -13.89% |
| Sharpe | 0.85 | -1.29 |
| Prob. Sharpe Ratio | 86.57% | 3.42% |
| Smart Sharpe | 0.75 | -1.29 |
| Sortino | 1.26 | -1.53 |
| Smart Sortino | 1.12 | -1.52 |
| Sortino/√2 | 0.89 | -1.08 |
| Smart Sortino/√2 | 0.79 | -1.08 |
| Omega | 1.24 | 0.82 |
| Max Drawdown | -18.76% | -25.62% |
| Max DD Date | 2025-04-08 | 2026-08-25 |
| Max DD Period Start | 2025-02-20 | 2025-02-20 |
| Max DD Period End | 2025-06-25 | 2026-08-27 |
| Longest DD Days | 126 | 554 |
| Volatility (ann.) | 17.38% | 14.23% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 1.03 | -0.54 |
| Skew | 1.28 | -2.69 |
| Kurtosis | 22.89 | 20.85 |
| Ulcer Performance Index | 8.3 | -1.49 |
| Risk-Adjusted Return | 19.29% | -14.94% |
| Risk-Return Ratio | 0.07 | -0.06 |
| Avg. Return | 0.08% | -0.06% |
| Avg. Win | 0.71% | 0.61% |
| Avg. Loss | -0.83% | -0.73% |
| Win/Loss Ratio | 0.86 | 0.83 |
| Profit Ratio | 0.78 | 0.62 |
| Expected Daily | 0.07% | -0.06% |
| Expected Monthly | 1.45% | -1.21% |
| Expected Yearly | 15.43% | -11.45% |
| Kelly Criterion | 4.32% | -10.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.53% |
| Expected Shortfall (cVaR) | -2.85% | -2.95% |
| Max Consecutive Wins | 9 | 6 |
| Max Consecutive Losses | 5 | 9 |
| Gain/Pain Ratio | 0.24 | -0.18 |
| Gain/Pain (1M) | 2.32 | -0.58 |
| Payoff Ratio | 0.86 | 0.83 |
| Profit Factor | 1.24 | 0.82 |
| Common Sense Ratio | 1.22 | 0.7 |
| CPC Index | 0.59 | 0.34 |
| Tail Ratio | 0.99 | 0.85 |
| Outlier Win Ratio | 3.58 | 3.9 |
| Outlier Loss Ratio | 3.72 | 4.02 |
| MTD | 3.22% | -8.08% |
| 3M | 3.0% | -11.81% |
| 6M | 12.46% | -13.35% |
| YTD | 13.68% | -16.92% |
| 1Y | 20.85% | -11.54% |
| 3Y (ann.) | 19.29% | -13.89% |
| 5Y (ann.) | 19.29% | -13.89% |
| 10Y (ann.) | 19.29% | -13.89% |
| All-time (ann.) | 19.29% | -13.89% |
| Best Day | 10.5% | 2.52% |
| Worst Day | -5.85% | -8.43% |
| Best Month | 10.51% | 5.48% |
| Worst Month | -5.57% | -8.08% |
| Best Year | 17.21% | -5.63% |
| Worst Year | 13.68% | -16.92% |
| Avg. Drawdown | -1.77% | -5.99% |
| Avg. Drawdown Days | 12 | 117 |
| Recovery Factor | 1.66 | 0.88 |
| Ulcer Index | 0.04 | 0.15 |
| Serenity Index | 0.79 | -0.05 |
| Avg. Up Month | 4.17% | 1.79% |
| Avg. Down Month | -2.42% | -3.8% |
| Win Days | 55.85% | 49.74% |
| Win Month | 70.0% | 45.0% |
| Win Quarter | 71.43% | 42.86% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.37 |
| Alpha | - | -0.21 |
| Correlation | - | 45.62% |
| Treynor Ratio | - | -57.82% |
| Year | SPY | CWEAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 17.21 | -5.63 | -0.33 | - |
| 2026 | 13.68 | -16.92 | -1.24 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-20 | 2026-08-27 | -25.62 | 554 |
| 2025-01-24 | 2025-02-14 | -2.73 | 22 |
| 2025-01-10 | 2025-01-14 | -0.75 | 5 |
| 2025-01-16 | 2025-01-16 | -0.43 | 1 |
| 2025-01-21 | 2025-01-21 | -0.42 | 1 |