| Metric | SPY | WARAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 17.87% | 16.43% |
| CAGR﹪ | 18.02% | 16.57% |
| Sharpe | 1.04 | 1.23 |
| Prob. Sharpe Ratio | 84.73% | 88.31% |
| Smart Sharpe | 1.01 | 1.19 |
| Sortino | 1.51 | 1.73 |
| Smart Sortino | 1.47 | 1.69 |
| Sortino/√2 | 1.07 | 1.23 |
| Smart Sortino/√2 | 1.04 | 1.19 |
| Omega | 1.25 | 1.31 |
| Max Drawdown | -8.88% | -6.17% |
| Max DD Date | 2026-03-30 | 2026-07-29 |
| Max DD Period Start | 2026-01-28 | 2026-05-12 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 134 |
| Volatility (ann.) | 12.99% | 9.65% |
| R^2 | 0.16 | 0.16 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 2.03 | 2.69 |
| Skew | -0.15 | -0.62 |
| Kurtosis | 1.05 | 1.86 |
| Ulcer Performance Index | 8.3 | 5.79 |
| Risk-Adjusted Return | 18.02% | 17.08% |
| Risk-Return Ratio | 0.08 | 0.1 |
| Avg. Return | 0.05% | 0.07% |
| Avg. Win | 0.68% | 0.52% |
| Avg. Loss | -0.64% | -0.55% |
| Win/Loss Ratio | 1.07 | 0.96 |
| Profit Ratio | 0.94 | 0.69 |
| Expected Daily | 0.07% | 0.06% |
| Expected Monthly | 1.27% | 1.18% |
| Expected Yearly | 8.57% | 7.9% |
| Kelly Criterion | 10.44% | 11.16% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.94% |
| Expected Shortfall (cVaR) | -1.72% | -1.38% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.25 | 0.31 |
| Gain/Pain (1M) | 2.6 | 3.4 |
| Payoff Ratio | 1.07 | 0.96 |
| Profit Factor | 1.25 | 1.31 |
| Common Sense Ratio | 1.24 | 1.5 |
| CPC Index | 0.72 | 0.71 |
| Tail Ratio | 0.99 | 1.15 |
| Outlier Win Ratio | 2.88 | 2.94 |
| Outlier Loss Ratio | 3.19 | 3.18 |
| MTD | 1.08% | -0.16% |
| 3M | 3.82% | -1.82% |
| 6M | 19.85% | -1.97% |
| YTD | 14.3% | 12.79% |
| 1Y | 17.87% | 16.43% |
| 3Y (ann.) | 18.02% | 16.57% |
| 5Y (ann.) | 18.02% | 16.57% |
| 10Y (ann.) | 18.02% | 16.57% |
| All-time (ann.) | 18.02% | 16.57% |
| Best Day | 2.91% | 1.47% |
| Worst Day | -2.7% | -2.76% |
| Best Month | 10.51% | 8.17% |
| Worst Month | -4.94% | -3.55% |
| Best Year | 14.3% | 12.79% |
| Worst Year | 3.13% | 3.22% |
| Avg. Drawdown | -1.71% | -1.35% |
| Avg. Drawdown Days | 13 | 16 |
| Recovery Factor | 1.94 | 2.54 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.16 | 0.6 |
| Avg. Up Month | 2.88% | 1.84% |
| Avg. Down Month | -1.03% | -3.55% |
| Win Days | 53.6% | 56.43% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.3 |
| Alpha | - | 0.11 |
| Correlation | - | 40.54% |
| Treynor Ratio | - | 54.53% |
| Year | SPY | WARAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 3.22 | 1.03 | + |
| 2026 | 14.30 | 12.79 | 0.89 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-12 | 2026-09-22 | -6.17 | 134 |
| 2025-10-28 | 2026-01-02 | -3.79 | 67 |
| 2026-03-03 | 2026-03-17 | -2.08 | 15 |
| 2026-01-30 | 2026-02-06 | -1.99 | 8 |
| 2025-10-09 | 2025-10-14 | -1.89 | 6 |
| 2026-03-23 | 2026-04-01 | -1.50 | 10 |
| 2026-02-12 | 2026-02-19 | -1.31 | 8 |
| 2025-09-24 | 2025-09-26 | -1.01 | 3 |
| 2026-04-07 | 2026-04-29 | -0.94 | 23 |
| 2026-01-07 | 2026-01-08 | -0.80 | 2 |