| Metric | SPY | PWLIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 88.0% |
| Cumulative Return | 86.61% | 41.93% |
| CAGR﹪ | 13.38% | 7.3% |
| Sharpe | 0.6 | 0.38 |
| Prob. Sharpe Ratio | 90.86% | 80.31% |
| Smart Sharpe | 0.58 | 0.36 |
| Sortino | 0.86 | 0.55 |
| Smart Sortino | 0.83 | 0.52 |
| Sortino/√2 | 0.61 | 0.39 |
| Smart Sortino/√2 | 0.59 | 0.37 |
| Omega | 1.16 | 1.16 |
| 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 | 2026-09-21 |
| Longest DD Days | 708 | 320 |
| Volatility (ann.) | 17.21% | 9.75% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.55 | 0.71 |
| Skew | 0.32 | 0.47 |
| Kurtosis | 8.94 | 54.55 |
| Ulcer Performance Index | 10.24 | 12.53 |
| Risk-Adjusted Return | 13.38% | 8.3% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.72% | 0.43% |
| Avg. Loss | -0.82% | -0.48% |
| Win/Loss Ratio | 0.89 | 0.9 |
| Profit Ratio | 0.83 | 0.6 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.03% | 0.58% |
| Expected Yearly | 10.96% | 6.01% |
| Kelly Criterion | 2.24% | -0.71% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.98% |
| Expected Shortfall (cVaR) | -2.58% | -1.51% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.16 |
| Gain/Pain (1M) | 0.87 | 0.86 |
| Payoff Ratio | 0.89 | 0.9 |
| Profit Factor | 1.16 | 1.16 |
| Common Sense Ratio | 1.17 | 1.37 |
| CPC Index | 0.55 | 0.55 |
| Tail Ratio | 1.01 | 1.17 |
| Outlier Win Ratio | 3.41 | 3.83 |
| Outlier Loss Ratio | 3.77 | 2.86 |
| MTD | 1.09% | -2.69% |
| 3M | 3.84% | 4.41% |
| 6M | 19.87% | -3.33% |
| YTD | 14.32% | 2.85% |
| 1Y | 17.8% | 4.67% |
| 3Y (ann.) | 24.9% | 9.43% |
| 5Y (ann.) | 13.12% | 7.24% |
| 10Y (ann.) | 13.38% | 7.3% |
| All-time (ann.) | 13.38% | 7.3% |
| Best Day | 10.5% | 8.75% |
| Worst Day | -5.85% | -7.88% |
| Best Month | 10.51% | 6.56% |
| Worst Month | -9.24% | -5.22% |
| Best Year | 26.18% | 13.81% |
| Worst Year | -18.18% | 2.85% |
| Avg. Drawdown | -1.89% | -1.82% |
| Avg. Drawdown Days | 20 | 34 |
| Recovery Factor | 2.85 | 3.63 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 0.47 | 0.86 |
| Avg. Up Month | 3.29% | 2.42% |
| Avg. Down Month | -3.27% | -1.71% |
| Win Days | 54.08% | 52.37% |
| Win Month | 63.93% | 59.02% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 83.33% | 100.0% |
| Beta | - | -0.01 |
| Alpha | - | 0.08 |
| Correlation | - | -0.95% |
| Treynor Ratio | - | -7831.31% |
| Year | SPY | PWLIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 3.60 | 0.48 | - |
| 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 | 14.32 | 2.85 | 0.20 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-31 | 2026-09-21 | -10.31 | 175 |
| 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 |