| Metric | SPY | WARAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 14.39% | 11.48% |
| CAGR﹪ | 14.51% | 11.58% |
| Sharpe | 0.83 | 0.83 |
| Prob. Sharpe Ratio | 79.61% | 79.26% |
| Smart Sharpe | 0.82 | 0.82 |
| Sortino | 1.22 | 1.16 |
| Smart Sortino | 1.2 | 1.15 |
| Sortino/√2 | 0.86 | 0.82 |
| Smart Sortino/√2 | 0.85 | 0.81 |
| Omega | 1.2 | 1.23 |
| Max Drawdown | -8.88% | -8.23% |
| Max DD Date | 2026-03-30 | 2026-11-03 |
| Max DD Period Start | 2026-01-28 | 2026-05-12 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 177 |
| Volatility (ann.) | 12.86% | 9.26% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 1.63 | 1.41 |
| Skew | -0.02 | -0.65 |
| Kurtosis | 0.78 | 2.29 |
| Ulcer Performance Index | 6.68 | 3.17 |
| Risk-Adjusted Return | 14.51% | 12.06% |
| Risk-Return Ratio | 0.07 | 0.08 |
| Avg. Return | 0.04% | 0.05% |
| Avg. Win | 0.69% | 0.49% |
| Avg. Loss | -0.62% | -0.51% |
| Win/Loss Ratio | 1.11 | 0.96 |
| Profit Ratio | 1.02 | 0.71 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.04% | 0.84% |
| Expected Yearly | 6.95% | 5.59% |
| Kelly Criterion | 8.85% | 7.95% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.91% |
| Expected Shortfall (cVaR) | -1.66% | -1.39% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.2 | 0.23 |
| Gain/Pain (1M) | 1.83 | 1.57 |
| Payoff Ratio | 1.11 | 0.96 |
| Profit Factor | 1.2 | 1.23 |
| Common Sense Ratio | 1.19 | 1.4 |
| CPC Index | 0.69 | 0.64 |
| Tail Ratio | 0.99 | 1.14 |
| Outlier Win Ratio | 2.84 | 2.88 |
| Outlier Loss Ratio | 3.01 | 3.33 |
| MTD | 1.47% | -0.41% |
| 3M | 1.46% | -2.18% |
| 6M | 6.94% | -5.17% |
| YTD | 13.33% | 9.89% |
| 1Y | 14.39% | 11.48% |
| 3Y (ann.) | 14.51% | 11.58% |
| 5Y (ann.) | 14.51% | 11.58% |
| 10Y (ann.) | 14.51% | 11.58% |
| All-time (ann.) | 14.51% | 11.58% |
| Best Day | 2.91% | 1.45% |
| Worst Day | -2.58% | -2.76% |
| Best Month | 10.51% | 8.17% |
| Worst Month | -4.94% | -3.55% |
| Best Year | 13.33% | 9.89% |
| Worst Year | 0.94% | 1.45% |
| Avg. Drawdown | -1.74% | -1.37% |
| Avg. Drawdown Days | 14 | 19 |
| Recovery Factor | 1.61 | 1.37 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 0.94 | 0.25 |
| Avg. Up Month | 3.48% | 2.16% |
| Avg. Down Month | -0.75% | -1.96% |
| Win Days | 52.0% | 55.0% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.27 |
| Alpha | - | 0.08 |
| Correlation | - | 37.5% |
| Treynor Ratio | - | 42.54% |
| Year | SPY | WARAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.45 | 1.55 | + |
| 2026 | 13.33 | 9.89 | 0.74 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-12 | 2026-11-04 | -8.23 | 177 |
| 2025-11-13 | 2025-12-22 | -2.76 | 40 |
| 2026-03-03 | 2026-03-17 | -2.08 | 15 |
| 2026-01-30 | 2026-02-06 | -1.99 | 8 |
| 2026-03-23 | 2026-04-01 | -1.50 | 10 |
| 2026-02-12 | 2026-02-19 | -1.31 | 8 |
| 2026-04-07 | 2026-04-29 | -0.94 | 23 |
| 2026-01-07 | 2026-01-08 | -0.80 | 2 |
| 2025-12-29 | 2026-01-02 | -0.62 | 5 |
| 2026-05-06 | 2026-05-07 | -0.54 | 2 |