| Metric | SPY | PWLIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 88.0% |
| Cumulative Return | 74.99% | 54.22% |
| CAGR﹪ | 11.91% | 9.1% |
| Sharpe | 0.52 | 0.54 |
| Prob. Sharpe Ratio | 87.6% | 88.51% |
| Smart Sharpe | 0.5 | 0.51 |
| Sortino | 0.74 | 0.79 |
| Smart Sortino | 0.72 | 0.76 |
| Sortino/√2 | 0.53 | 0.56 |
| Smart Sortino/√2 | 0.51 | 0.54 |
| Omega | 1.14 | 1.2 |
| Max Drawdown | -24.5% | -10.31% |
| Max DD Date | 2022-10-12 | 2026-06-22 |
| Max DD Period Start | 2022-01-04 | 2026-03-31 |
| Max DD Period End | 2023-12-12 | 2026-10-23 |
| Longest DD Days | 708 | 320 |
| Volatility (ann.) | 17.19% | 9.93% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.49 | 0.88 |
| Skew | 0.33 | 0.48 |
| Kurtosis | 8.98 | 50.51 |
| Ulcer Performance Index | 8.86 | 15.72 |
| Risk-Adjusted Return | 11.91% | 10.34% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.04% | 0.04% |
| Avg. Win | 0.73% | 0.44% |
| Avg. Loss | -0.8% | -0.47% |
| Win/Loss Ratio | 0.91 | 0.92 |
| Profit Ratio | 0.86 | 0.63 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.92% | 0.71% |
| Expected Yearly | 9.77% | 7.49% |
| Kelly Criterion | 2.44% | 0.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.99% |
| Expected Shortfall (cVaR) | -2.58% | -1.51% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.14 | 0.2 |
| Gain/Pain (1M) | 0.79 | 0.99 |
| Payoff Ratio | 0.91 | 0.92 |
| Profit Factor | 1.14 | 1.2 |
| Common Sense Ratio | 1.15 | 1.43 |
| CPC Index | 0.56 | 0.58 |
| Tail Ratio | 1.0 | 1.19 |
| Outlier Win Ratio | 3.4 | 3.88 |
| Outlier Loss Ratio | 3.8 | 2.85 |
| MTD | 1.47% | 1.14% |
| 3M | 1.46% | 6.36% |
| 6M | 6.94% | 8.44% |
| YTD | 13.33% | 12.41% |
| 1Y | 13.43% | 17.43% |
| 3Y (ann.) | 20.78% | 12.13% |
| 5Y (ann.) | 12.86% | 9.38% |
| 10Y (ann.) | 11.91% | 9.1% |
| All-time (ann.) | 11.91% | 9.1% |
| Best Day | 10.5% | 8.75% |
| Worst Day | -5.85% | -7.88% |
| Best Month | 10.51% | 10.64% |
| Worst Month | -9.24% | -5.22% |
| Best Year | 26.18% | 13.81% |
| Worst Year | -18.18% | 2.99% |
| Avg. Drawdown | -1.94% | -1.78% |
| Avg. Drawdown Days | 21 | 32 |
| Recovery Factor | 2.58 | 4.44 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 0.43 | 1.04 |
| Avg. Up Month | 3.22% | 2.37% |
| Avg. Down Month | -3.19% | -2.01% |
| Win Days | 53.48% | 52.27% |
| Win Month | 62.3% | 60.66% |
| Win Quarter | 71.43% | 66.67% |
| Win Year | 83.33% | 100.0% |
| Beta | - | -0.01 |
| Alpha | - | 0.09 |
| Correlation | - | -1.7% |
| Treynor Ratio | - | -5504.89% |
| Year | SPY | PWLIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 2.99 | 1.73 | + |
| 2022 | -18.18 | 4.32 | -0.24 | + |
| 2023 | 26.18 | 4.23 | 0.16 | - |
| 2024 | 24.89 | 13.81 | 0.55 | - |
| 2025 | 17.72 | 7.64 | 0.43 | - |
| 2026 | 13.33 | 12.41 | 0.93 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-31 | 2026-10-23 | -10.31 | 207 |
| 2024-12-27 | 2025-03-07 | -9.24 | 71 |
| 2022-05-26 | 2023-04-10 | -8.96 | 320 |
| 2025-04-04 | 2026-01-23 | -5.79 | 295 |
| 2023-04-26 | 2023-09-12 | -4.44 | 140 |
| 2023-09-21 | 2023-12-29 | -4.16 | 100 |
| 2022-02-09 | 2022-04-05 | -3.84 | 56 |
| 2024-04-01 | 2024-05-10 | -3.48 | 40 |
| 2024-10-18 | 2024-12-24 | -3.35 | 68 |
| 2024-05-20 | 2024-07-11 | -3.22 | 53 |