| Metric | SPY | WARAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 70.69% | 38.09% |
| CAGR﹪ | 11.36% | 6.71% |
| Sharpe | 0.49 | 0.37 |
| Prob. Sharpe Ratio | 86.25% | 79.5% |
| Smart Sharpe | 0.47 | 0.36 |
| Sortino | 0.7 | 0.51 |
| Smart Sortino | 0.68 | 0.5 |
| Sortino/√2 | 0.5 | 0.36 |
| Smart Sortino/√2 | 0.48 | 0.35 |
| Omega | 1.14 | 1.16 |
| Max Drawdown | -26.35% | -13.31% |
| Max DD Date | 2022-10-12 | 2022-09-29 |
| Max DD Period Start | 2022-01-04 | 2022-02-17 |
| Max DD Period End | 2023-12-18 | 2023-07-25 |
| Longest DD Days | 714 | 524 |
| Volatility (ann.) | 17.16% | 7.92% |
| R^2 | 0.19 | 0.19 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.43 | 0.5 |
| Skew | 0.33 | -0.54 |
| Kurtosis | 9.05 | 4.72 |
| Ulcer Performance Index | 7.55 | 8.74 |
| Risk-Adjusted Return | 11.36% | 7.46% |
| Risk-Return Ratio | 0.04 | 0.05 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.82% | 0.43% |
| Avg. Loss | -0.85% | -0.45% |
| Win/Loss Ratio | 0.97 | 0.96 |
| Profit Ratio | 0.86 | 0.54 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.88% | 0.53% |
| Expected Yearly | 9.32% | 5.53% |
| Kelly Criterion | 5.29% | 7.83% |
| 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 | 0.14 | 0.16 |
| Gain/Pain (1M) | 0.74 | 0.75 |
| Payoff Ratio | 0.97 | 0.96 |
| Profit Factor | 1.14 | 1.16 |
| Common Sense Ratio | 1.13 | 1.2 |
| CPC Index | 0.59 | 0.61 |
| Tail Ratio | 1.0 | 1.03 |
| Outlier Win Ratio | 3.42 | 3.66 |
| Outlier Loss Ratio | 3.8 | 3.39 |
| MTD | 1.47% | -0.41% |
| 3M | 1.46% | -2.18% |
| 6M | 6.94% | -5.17% |
| YTD | 13.33% | 9.89% |
| 1Y | 13.43% | 10.69% |
| 3Y (ann.) | 20.78% | 9.58% |
| 5Y (ann.) | 12.3% | 6.92% |
| 10Y (ann.) | 11.36% | 6.71% |
| All-time (ann.) | 11.36% | 6.71% |
| 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% | 12.52% |
| Worst Year | -20.18% | -3.03% |
| Avg. Drawdown | -1.98% | -1.46% |
| Avg. Drawdown Days | 21 | 27 |
| Recovery Factor | 2.31 | 2.54 |
| Ulcer Index | 0.09 | 0.04 |
| Serenity Index | 0.34 | 0.38 |
| Avg. Up Month | 4.13% | 2.32% |
| Avg. Down Month | -3.69% | -2.02% |
| Win Days | 53.44% | 54.8% |
| Win Month | 62.3% | 57.38% |
| Win Quarter | 71.43% | 57.14% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.2 |
| Alpha | - | 0.04 |
| Correlation | - | 43.55% |
| Treynor Ratio | - | 189.44% |
| Year | SPY | WARAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.53 | 0.31 | - |
| 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 | 13.33 | 9.89 | 0.74 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-17 | 2023-07-25 | -13.31 | 524 |
| 2026-05-12 | 2026-11-04 | -8.23 | 177 |
| 2025-03-04 | 2025-09-10 | -5.67 | 191 |
| 2024-12-12 | 2025-02-14 | -4.47 | 65 |
| 2023-08-01 | 2023-11-30 | -4.20 | 122 |
| 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 | 2022-01-11 | -3.24 | 13 |
| 2024-10-21 | 2024-11-27 | -2.89 | 38 |