| Metric | SPY | WARAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 82.0% | 39.79% |
| CAGR﹪ | 12.81% | 6.97% |
| Sharpe | 0.57 | 0.41 |
| Prob. Sharpe Ratio | 89.76% | 81.9% |
| Smart Sharpe | 0.55 | 0.4 |
| Sortino | 0.82 | 0.57 |
| Smart Sortino | 0.79 | 0.55 |
| Sortino/√2 | 0.58 | 0.4 |
| Smart Sortino/√2 | 0.56 | 0.39 |
| Omega | 1.15 | 1.17 |
| Max Drawdown | -26.35% | -13.31% |
| Max DD Date | 2022-10-12 | 2022-09-29 |
| Max DD Period Start | 2022-01-04 | 2022-02-14 |
| Max DD Period End | 2023-12-18 | 2023-07-25 |
| Longest DD Days | 714 | 527 |
| Volatility (ann.) | 17.17% | 7.91% |
| R^2 | 0.19 | 0.19 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.52 |
| Skew | 0.32 | -0.55 |
| Kurtosis | 9.02 | 4.77 |
| Ulcer Performance Index | 8.76 | 9.38 |
| Risk-Adjusted Return | 12.81% | 7.75% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.82% | 0.43% |
| Avg. Loss | -0.86% | -0.45% |
| Win/Loss Ratio | 0.96 | 0.96 |
| Profit Ratio | 0.83 | 0.54 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 0.99% | 0.55% |
| Expected Yearly | 10.5% | 5.74% |
| Kelly Criterion | 6.01% | 7.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.79% |
| Expected Shortfall (cVaR) | -2.58% | -1.28% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.15 | 0.17 |
| Gain/Pain (1M) | 0.81 | 0.79 |
| Payoff Ratio | 0.96 | 0.96 |
| Profit Factor | 1.15 | 1.17 |
| Common Sense Ratio | 1.16 | 1.2 |
| CPC Index | 0.6 | 0.62 |
| Tail Ratio | 1.0 | 1.03 |
| Outlier Win Ratio | 3.43 | 3.67 |
| Outlier Loss Ratio | 3.77 | 3.41 |
| MTD | 1.08% | -0.16% |
| 3M | 3.82% | -1.82% |
| 6M | 19.85% | -1.97% |
| YTD | 14.3% | 12.79% |
| 1Y | 17.78% | 17.29% |
| 3Y (ann.) | 24.86% | 12.31% |
| 5Y (ann.) | 12.49% | 7.21% |
| 10Y (ann.) | 12.81% | 6.97% |
| All-time (ann.) | 12.81% | 6.97% |
| Best Day | 10.5% | 3.13% |
| Worst Day | -5.85% | -3.24% |
| Best Month | 10.51% | 8.17% |
| Worst Month | -10.5% | -5.3% |
| Best Year | 26.18% | 12.79% |
| Worst Year | -20.18% | -3.03% |
| Avg. Drawdown | -1.94% | -1.43% |
| Avg. Drawdown Days | 21 | 26 |
| Recovery Factor | 2.55 | 2.63 |
| Ulcer Index | 0.09 | 0.04 |
| Serenity Index | 0.37 | 0.4 |
| Avg. Up Month | 4.13% | 2.32% |
| Avg. Down Month | -3.91% | -1.99% |
| Win Days | 54.0% | 54.8% |
| Win Month | 63.93% | 57.38% |
| Win Quarter | 66.67% | 52.38% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.2 |
| Alpha | - | 0.04 |
| Correlation | - | 43.18% |
| Treynor Ratio | - | 200.07% |
| Year | SPY | WARAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -0.85 | -0.11 | - |
| 2022 | -20.18 | -3.03 | 0.15 | + |
| 2023 | 26.18 | 12.52 | 0.48 | - |
| 2024 | 24.89 | 6.00 | 0.24 | - |
| 2025 | 17.72 | 8.08 | 0.46 | - |
| 2026 | 14.30 | 12.79 | 0.89 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-14 | 2023-07-25 | -13.31 | 527 |
| 2026-05-12 | 2026-09-22 | -6.17 | 134 |
| 2025-03-04 | 2025-09-10 | -5.67 | 191 |
| 2024-12-12 | 2025-02-14 | -4.47 | 65 |
| 2023-08-01 | 2023-11-29 | -4.20 | 121 |
| 2021-10-11 | 2021-12-28 | -3.94 | 79 |
| 2025-10-28 | 2026-01-02 | -3.79 | 67 |
| 2024-04-01 | 2024-06-18 | -3.74 | 79 |
| 2024-07-17 | 2024-08-20 | -3.73 | 35 |
| 2021-12-30 | 2022-01-12 | -3.24 | 14 |