| Metric | SPY | PWLIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 6.48% | 9.88% |
| CAGR﹪ | 13.27% | 20.55% |
| Sharpe | 0.78 | 1.26 |
| Prob. Sharpe Ratio | 70.87% | 81.71% |
| Smart Sharpe | 0.75 | 1.12 |
| Sortino | 1.14 | 2.06 |
| Smart Sortino | 1.09 | 1.84 |
| Sortino/√2 | 0.8 | 1.46 |
| Smart Sortino/√2 | 0.77 | 1.3 |
| Omega | 1.19 | 1.29 |
| Max Drawdown | -4.49% | -7.76% |
| Max DD Date | 2026-06-10 | 2026-10-02 |
| Max DD Period Start | 2026-06-03 | 2026-07-30 |
| Max DD Period End | 2026-07-31 | 2026-10-21 |
| Longest DD Days | 59 | 84 |
| Volatility (ann.) | 12.4% | 12.66% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 2.95 | 2.65 |
| Skew | -0.15 | 0.38 |
| Kurtosis | 0.59 | -0.11 |
| Ulcer Performance Index | 3.89 | 3.08 |
| Risk-Adjusted Return | 13.27% | 21.86% |
| Risk-Return Ratio | 0.07 | 0.1 |
| Avg. Return | 0.06% | 0.08% |
| Avg. Win | 0.58% | 0.56% |
| Avg. Loss | -0.4% | -0.45% |
| Win/Loss Ratio | 1.44 | 1.23 |
| Profit Ratio | 1.15 | 1.25 |
| Expected Daily | 0.05% | 0.07% |
| Expected Monthly | 0.9% | 1.35% |
| Expected Yearly | 6.48% | 9.88% |
| Kelly Criterion | 15.88% | 4.16% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -1.23% |
| Expected Shortfall (cVaR) | -1.63% | -1.54% |
| Max Consecutive Wins | 4 | 5 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.19 | 0.29 |
| Gain/Pain (1M) | 3.26 | 1.2 |
| Payoff Ratio | 1.44 | 1.23 |
| Profit Factor | 1.19 | 1.29 |
| Common Sense Ratio | 1.47 | 1.83 |
| CPC Index | 0.86 | 0.75 |
| Tail Ratio | 1.23 | 1.42 |
| Outlier Win Ratio | 2.66 | 2.8 |
| Outlier Loss Ratio | 3.07 | 2.71 |
| MTD | 1.47% | 1.14% |
| 3M | 1.46% | 6.36% |
| 6M | 6.48% | 9.88% |
| YTD | 6.48% | 9.88% |
| 1Y | 6.48% | 9.88% |
| 3Y (ann.) | 13.27% | 20.55% |
| 5Y (ann.) | 13.27% | 20.55% |
| 10Y (ann.) | 13.27% | 20.55% |
| All-time (ann.) | 13.27% | 20.55% |
| Best Day | 1.8% | 2.24% |
| Worst Day | -2.58% | -1.8% |
| Best Month | 4.52% | 10.64% |
| Worst Month | -1.03% | -4.96% |
| Best Year | 6.48% | 9.88% |
| Worst Year | 6.48% | 9.88% |
| Avg. Drawdown | -1.57% | -2.92% |
| Avg. Drawdown Days | 17 | 23 |
| Recovery Factor | 1.48 | 1.27 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.91 | 0.36 |
| Avg. Up Month | 1.39% | 2.61% |
| Avg. Down Month | -0.68% | -2.82% |
| Win Days | 50.39% | 47.06% |
| Win Month | 57.14% | 57.14% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.44 |
| Alpha | - | 0.25 |
| Correlation | - | -42.93% |
| Treynor Ratio | - | -22.52% |
| Year | SPY | PWLIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 9.88 | 1.52 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-30 | 2026-10-21 | -7.76 | 84 |
| 2026-06-11 | 2026-07-15 | -4.25 | 35 |
| 2026-05-20 | 2026-06-09 | -3.18 | 21 |
| 2026-05-06 | 2026-05-18 | -2.26 | 13 |
| 2026-10-27 | 2026-10-29 | -1.41 | 3 |
| 2026-07-20 | 2026-07-23 | -1.06 | 4 |
| 2026-11-03 | 2026-11-03 | -0.50 | 1 |