| Metric | SPY | PWLIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 88.0% |
| Cumulative Return | 17.89% | 5.1% |
| CAGR﹪ | 18.12% | 5.16% |
| Sharpe | 1.04 | 0.15 |
| Prob. Sharpe Ratio | 84.76% | 56.06% |
| Smart Sharpe | 1.01 | 0.14 |
| Sortino | 1.51 | 0.23 |
| Smart Sortino | 1.47 | 0.22 |
| Sortino/√2 | 1.07 | 0.16 |
| Smart Sortino/√2 | 1.04 | 0.15 |
| Omega | 1.25 | 1.1 |
| 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 | 2026-09-21 |
| Longest DD Days | 76 | 175 |
| Volatility (ann.) | 13.02% | 10.33% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 2.04 | 0.5 |
| Skew | -0.15 | 0.3 |
| Kurtosis | 1.03 | 0.53 |
| Ulcer Performance Index | 8.29 | 1.18 |
| Risk-Adjusted Return | 18.12% | 5.87% |
| Risk-Return Ratio | 0.08 | 0.03 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.5% | 0.47% |
| Avg. Loss | -0.45% | -0.46% |
| Win/Loss Ratio | 1.12 | 1.02 |
| Profit Ratio | 0.92 | 0.76 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.27% | 0.38% |
| Expected Yearly | 8.58% | 2.52% |
| Kelly Criterion | 12.43% | -2.32% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.05% |
| Expected Shortfall (cVaR) | -1.72% | -1.25% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.25 | 0.1 |
| Gain/Pain (1M) | 2.61 | 0.37 |
| Payoff Ratio | 1.12 | 1.02 |
| Profit Factor | 1.25 | 1.1 |
| Common Sense Ratio | 1.24 | 1.17 |
| CPC Index | 0.75 | 0.54 |
| Tail Ratio | 0.99 | 1.07 |
| Outlier Win Ratio | 2.88 | 3.58 |
| Outlier Loss Ratio | 3.17 | 2.79 |
| MTD | 1.09% | -2.69% |
| 3M | 3.84% | 4.41% |
| 6M | 19.87% | -3.33% |
| YTD | 14.32% | 2.85% |
| 1Y | 17.89% | 5.1% |
| 3Y (ann.) | 18.12% | 5.16% |
| 5Y (ann.) | 18.12% | 5.16% |
| 10Y (ann.) | 18.12% | 5.16% |
| All-time (ann.) | 18.12% | 5.16% |
| Best Day | 2.91% | 2.24% |
| Worst Day | -2.7% | -1.8% |
| Best Month | 10.51% | 6.56% |
| Worst Month | -4.94% | -5.22% |
| Best Year | 14.32% | 2.85% |
| Worst Year | 3.13% | 2.19% |
| Avg. Drawdown | -1.71% | -1.73% |
| Avg. Drawdown Days | 13 | 22 |
| Recovery Factor | 1.95 | 0.53 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 1.16 | 0.09 |
| Avg. Up Month | 0.82% | 2.37% |
| Avg. Down Month | -1.03% | -0.68% |
| Win Days | 53.82% | 48.4% |
| Win Month | 76.92% | 61.54% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.28 |
| Alpha | - | 0.1 |
| Correlation | - | -34.94% |
| Treynor Ratio | - | -18.39% |
| Year | SPY | PWLIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 2.19 | 0.70 | - |
| 2026 | 14.32 | 2.85 | 0.20 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-31 | 2026-09-21 | -10.31 | 175 |
| 2025-10-23 | 2025-11-12 | -3.36 | 21 |
| 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 |
| 2025-10-01 | 2025-10-21 | -1.49 | 21 |
| 2026-02-09 | 2026-02-10 | -0.64 | 2 |
| 2026-02-25 | 2026-02-26 | -0.63 | 2 |
| 2025-09-25 | 2025-09-25 | -0.27 | 1 |
| 2026-01-15 | 2026-01-20 | -0.27 | 6 |