| Metric | SPY | PWLIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 89.0% |
| Cumulative Return | 14.39% | 16.3% |
| CAGR﹪ | 14.51% | 16.44% |
| Sharpe | 0.83 | 1.11 |
| Prob. Sharpe Ratio | 79.61% | 86.83% |
| Smart Sharpe | 0.82 | 1.02 |
| Sortino | 1.22 | 1.77 |
| Smart Sortino | 1.2 | 1.63 |
| Sortino/√2 | 0.86 | 1.25 |
| Smart Sortino/√2 | 0.85 | 1.15 |
| Omega | 1.2 | 1.27 |
| Max Drawdown | -8.88% | -10.31% |
| Max DD Date | 2026-03-30 | 2026-06-22 |
| Max DD Period Start | 2026-01-28 | 2026-03-31 |
| Max DD Period End | 2026-04-13 | 2026-10-23 |
| Longest DD Days | 76 | 207 |
| Volatility (ann.) | 12.86% | 10.95% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 1.63 | 1.6 |
| Skew | -0.02 | 0.34 |
| Kurtosis | 0.78 | 0.3 |
| Ulcer Performance Index | 6.68 | 3.49 |
| Risk-Adjusted Return | 14.51% | 18.47% |
| Risk-Return Ratio | 0.07 | 0.09 |
| Avg. Return | 0.04% | 0.07% |
| Avg. Win | 0.53% | 0.49% |
| Avg. Loss | -0.43% | -0.46% |
| Win/Loss Ratio | 1.25 | 1.07 |
| Profit Ratio | 1.02 | 0.81 |
| Expected Daily | 0.05% | 0.06% |
| Expected Monthly | 1.04% | 1.17% |
| Expected Yearly | 6.95% | 7.84% |
| Kelly Criterion | 13.45% | 3.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.07% |
| Expected Shortfall (cVaR) | -1.66% | -1.31% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.2 | 0.27 |
| Gain/Pain (1M) | 1.83 | 1.06 |
| Payoff Ratio | 1.25 | 1.07 |
| Profit Factor | 1.2 | 1.27 |
| Common Sense Ratio | 1.19 | 1.5 |
| CPC Index | 0.78 | 0.68 |
| Tail Ratio | 0.99 | 1.18 |
| Outlier Win Ratio | 2.84 | 3.37 |
| Outlier Loss Ratio | 3.01 | 2.77 |
| MTD | 1.47% | 1.14% |
| 3M | 1.46% | 6.36% |
| 6M | 6.94% | 8.44% |
| YTD | 13.33% | 12.41% |
| 1Y | 14.39% | 16.3% |
| 3Y (ann.) | 14.51% | 16.44% |
| 5Y (ann.) | 14.51% | 16.44% |
| 10Y (ann.) | 14.51% | 16.44% |
| All-time (ann.) | 14.51% | 16.44% |
| Best Day | 2.91% | 2.24% |
| Worst Day | -2.58% | -1.8% |
| Best Month | 10.51% | 10.64% |
| Worst Month | -4.94% | -5.22% |
| Best Year | 13.33% | 12.41% |
| Worst Year | 0.94% | 3.46% |
| Avg. Drawdown | -1.74% | -1.52% |
| Avg. Drawdown Days | 14 | 22 |
| Recovery Factor | 1.61 | 1.52 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 0.94 | 0.25 |
| Avg. Up Month | 1.1% | 2.38% |
| Avg. Down Month | -0.68% | -2.82% |
| Win Days | 52.0% | 50.0% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.3 |
| Alpha | - | 0.2 |
| Correlation | - | -35.69% |
| Treynor Ratio | - | -53.65% |
| Year | SPY | PWLIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 3.46 | 3.69 | + |
| 2026 | 13.33 | 12.41 | 0.93 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-31 | 2026-10-23 | -10.31 | 207 |
| 2026-03-02 | 2026-03-27 | -2.49 | 26 |
| 2025-11-24 | 2025-12-29 | -2.39 | 36 |
| 2025-12-31 | 2026-01-13 | -1.49 | 14 |
| 2026-10-27 | 2026-10-29 | -1.41 | 3 |
| 2026-02-09 | 2026-02-10 | -0.64 | 2 |
| 2026-02-25 | 2026-02-26 | -0.63 | 2 |
| 2026-11-03 | 2026-11-03 | -0.50 | 1 |
| 2025-11-10 | 2025-11-10 | -0.27 | 1 |
| 2026-01-15 | 2026-01-23 | -0.27 | 9 |