| Metric | SPY | PWLIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 89.0% |
| Cumulative Return | 207.63% | 44.67% |
| CAGR﹪ | 16.7% | 5.21% |
| Sharpe | 0.74 | 0.26 |
| Prob. Sharpe Ratio | 97.6% | 76.05% |
| Smart Sharpe | 0.64 | 0.26 |
| Sortino | 1.04 | 0.36 |
| Smart Sortino | 0.9 | 0.36 |
| Sortino/√2 | 0.74 | 0.26 |
| Smart Sortino/√2 | 0.64 | 0.25 |
| Omega | 1.19 | 1.12 |
| 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.) | 19.56% | 10.36% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.5 | 0.19 |
| Skew | -0.29 | -0.47 |
| Kurtosis | 13.83 | 36.8 |
| Ulcer Performance Index | 26.03 | 6.73 |
| Risk-Adjusted Return | 16.7% | 5.85% |
| Risk-Return Ratio | 0.06 | 0.03 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.83% | 0.46% |
| Avg. Loss | -0.98% | -0.55% |
| Win/Loss Ratio | 0.85 | 0.84 |
| Profit Ratio | 0.77 | 0.57 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.29% | 0.42% |
| Expected Yearly | 15.08% | 4.72% |
| Kelly Criterion | 2.86% | -3.35% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -1.05% |
| Expected Shortfall (cVaR) | -3.2% | -1.83% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.19 | 0.12 |
| Gain/Pain (1M) | 1.17 | 0.57 |
| Payoff Ratio | 0.85 | 0.84 |
| Profit Factor | 1.19 | 1.12 |
| Common Sense Ratio | 1.14 | 1.24 |
| CPC Index | 0.56 | 0.49 |
| Tail Ratio | 0.96 | 1.11 |
| Outlier Win Ratio | 3.69 | 4.12 |
| Outlier Loss Ratio | 4.1 | 3.39 |
| 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.) | 16.7% | 5.21% |
| All-time (ann.) | 16.7% | 5.21% |
| Best Day | 10.5% | 8.75% |
| Worst Day | -10.94% | -7.88% |
| Best Month | 12.7% | 6.61% |
| Worst Month | -12.49% | -11.24% |
| Best Year | 28.73% | 15.14% |
| Worst Year | -18.18% | -12.65% |
| Avg. Drawdown | -1.78% | -2.22% |
| Avg. Drawdown Days | 16 | 46 |
| Recovery Factor | 3.75 | 1.52 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 1.03 | 0.26 |
| Avg. Up Month | 3.76% | 2.26% |
| Avg. Down Month | -3.66% | -2.27% |
| Win Days | 55.29% | 52.81% |
| Win Month | 67.05% | 58.62% |
| Win Quarter | 76.67% | 73.33% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.15 |
| Alpha | - | 0.03 |
| Correlation | - | 27.83% |
| Treynor Ratio | - | 303.12% |
| 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 | 14.32 | 2.85 | 0.20 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-01-27 | 2022-01-03 | -26.92 | 708 |
| 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 |
| 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 | 2024-05-09 | -3.48 | 39 |