| Metric | SPY | PWLIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 18.62% | -3.2% |
| CAGR﹪ | 41.09% | -6.35% |
| Sharpe | 2.33 | -0.77 |
| Prob. Sharpe Ratio | 95.05% | 29.56% |
| Smart Sharpe | 2.31 | -0.72 |
| Sortino | 3.8 | -1.11 |
| Smart Sortino | 3.76 | -1.04 |
| Sortino/√2 | 2.69 | -0.78 |
| Smart Sortino/√2 | 2.66 | -0.74 |
| Omega | 1.54 | 0.93 |
| Max Drawdown | -4.49% | -10.31% |
| Max DD Date | 2026-06-10 | 2026-06-22 |
| Max DD Period Start | 2026-06-03 | 2026-03-31 |
| Max DD Period End | 2026-07-31 | 2026-09-21 |
| Longest DD Days | 59 | 175 |
| Volatility (ann.) | 13.6% | 12.25% |
| R^2 | 0.19 | 0.19 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 9.14 | -0.62 |
| Skew | 0.1 | 0.35 |
| Kurtosis | 1.09 | 0.02 |
| Ulcer Performance Index | 11.83 | -0.54 |
| Risk-Adjusted Return | 41.09% | -6.83% |
| Risk-Return Ratio | 0.16 | -0.03 |
| Avg. Return | 0.17% | -0.02% |
| Avg. Win | 0.54% | 0.49% |
| Avg. Loss | -0.39% | -0.53% |
| Win/Loss Ratio | 1.41 | 0.92 |
| Profit Ratio | 1.08 | 1.09 |
| Expected Daily | 0.14% | -0.03% |
| Expected Monthly | 2.47% | -0.46% |
| Expected Yearly | 18.62% | -3.2% |
| Kelly Criterion | 21.99% | -16.79% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.27% | -1.29% |
| Expected Shortfall (cVaR) | -1.77% | -1.54% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.54 | -0.07 |
| Gain/Pain (1M) | 10.93 | -0.23 |
| Payoff Ratio | 1.41 | 0.92 |
| Profit Factor | 1.54 | 0.93 |
| Common Sense Ratio | 2.01 | 1.14 |
| CPC Index | 1.18 | 0.38 |
| Tail Ratio | 1.31 | 1.23 |
| Outlier Win Ratio | 3.22 | 2.98 |
| Outlier Loss Ratio | 3.1 | 2.47 |
| MTD | 1.09% | -2.69% |
| 3M | 3.84% | 4.41% |
| 6M | 18.62% | -3.2% |
| YTD | 18.62% | -3.2% |
| 1Y | 18.62% | -3.2% |
| 3Y (ann.) | 41.09% | -6.35% |
| 5Y (ann.) | 41.09% | -6.35% |
| 10Y (ann.) | 41.09% | -6.35% |
| All-time (ann.) | 41.09% | -6.35% |
| Best Day | 2.91% | 2.24% |
| Worst Day | -2.58% | -1.8% |
| Best Month | 10.51% | 6.56% |
| Worst Month | -1.03% | -5.22% |
| Best Year | 18.62% | -3.2% |
| Worst Year | 18.62% | -3.2% |
| Avg. Drawdown | -1.13% | -10.31% |
| Avg. Drawdown Days | 9 | 175 |
| Recovery Factor | 3.9 | 0.28 |
| Ulcer Index | 0.02 | 0.06 |
| Serenity Index | 2.75 | -0.04 |
| Avg. Up Month | 1.36% | 3.35% |
| Avg. Down Month | -1.03% | -0.68% |
| Win Days | 54.4% | 43.97% |
| Win Month | 71.43% | 42.86% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 0.0% |
| Beta | - | -0.39 |
| Alpha | - | 0.08 |
| Correlation | - | -43.54% |
| Treynor Ratio | - | 8.16% |
| Year | SPY | PWLIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.62 | -3.20 | -0.17 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-31 | 2026-09-21 | -10.31 | 175 |