| Metric | SPY | PWLIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 89.0% |
| Cumulative Return | 204.97% | 58.13% |
| CAGR﹪ | 16.25% | 6.38% |
| Sharpe | 0.72 | 0.37 |
| Prob. Sharpe Ratio | 97.45% | 84.17% |
| Smart Sharpe | 0.63 | 0.36 |
| Sortino | 1.02 | 0.52 |
| Smart Sortino | 0.88 | 0.5 |
| Sortino/√2 | 0.72 | 0.37 |
| Smart Sortino/√2 | 0.62 | 0.35 |
| Omega | 1.18 | 1.14 |
| Max Drawdown | -33.72% | -26.92% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-01-27 |
| Max DD Period End | 2020-08-07 | 2022-01-03 |
| Longest DD Days | 708 | 708 |
| Volatility (ann.) | 19.45% | 10.41% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.48 | 0.24 |
| Skew | -0.29 | -0.43 |
| Kurtosis | 13.94 | 35.52 |
| Ulcer Performance Index | 25.91 | 8.79 |
| Risk-Adjusted Return | 16.25% | 7.17% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.83% | 0.46% |
| Avg. Loss | -0.97% | -0.54% |
| Win/Loss Ratio | 0.86 | 0.85 |
| Profit Ratio | 0.78 | 0.58 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.51% |
| Expected Yearly | 14.96% | 5.9% |
| Kelly Criterion | 3.06% | -2.67% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.05% |
| Expected Shortfall (cVaR) | -3.2% | -1.84% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.18 | 0.14 |
| Gain/Pain (1M) | 1.15 | 0.68 |
| Payoff Ratio | 0.86 | 0.85 |
| Profit Factor | 1.18 | 1.14 |
| Common Sense Ratio | 1.13 | 1.29 |
| CPC Index | 0.56 | 0.51 |
| Tail Ratio | 0.96 | 1.14 |
| Outlier Win Ratio | 3.69 | 4.17 |
| Outlier Loss Ratio | 4.12 | 3.37 |
| 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.) | 16.25% | 6.38% |
| All-time (ann.) | 16.25% | 6.38% |
| Best Day | 10.5% | 8.75% |
| Worst Day | -10.94% | -7.88% |
| Best Month | 12.7% | 10.64% |
| Worst Month | -12.49% | -11.24% |
| Best Year | 28.73% | 15.14% |
| Worst Year | -18.18% | -12.65% |
| Avg. Drawdown | -1.79% | -2.21% |
| Avg. Drawdown Days | 16 | 46 |
| Recovery Factor | 3.72 | 1.85 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 1.03 | 0.32 |
| Avg. Up Month | 3.71% | 2.23% |
| Avg. Down Month | -3.5% | -2.4% |
| Win Days | 55.15% | 52.85% |
| Win Month | 65.56% | 59.55% |
| Win Quarter | 77.42% | 74.19% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.14 |
| Alpha | - | 0.04 |
| Correlation | - | 26.96% |
| Treynor Ratio | - | 403.01% |
| Year | SPY | PWLIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 5.00 | 0.31 | - |
| 2020 | 18.33 | -12.65 | -0.69 | - |
| 2021 | 28.73 | 15.14 | 0.53 | - |
| 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 |
|---|---|---|---|
| 2020-01-27 | 2022-01-03 | -26.92 | 708 |
| 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 |
| 2019-06-14 | 2019-11-06 | -4.27 | 146 |
| 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 |