| Metric | SPY | WARAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 6.48% | -6.2% |
| CAGR﹪ | 13.27% | -11.92% |
| Sharpe | 0.78 | -1.83 |
| Prob. Sharpe Ratio | 70.87% | 8.78% |
| Smart Sharpe | 0.75 | -1.74 |
| Sortino | 1.14 | -2.26 |
| Smart Sortino | 1.09 | -2.15 |
| Sortino/√2 | 0.8 | -1.6 |
| Smart Sortino/√2 | 0.77 | -1.52 |
| Omega | 1.19 | 0.78 |
| Max Drawdown | -4.49% | -8.23% |
| Max DD Date | 2026-06-10 | 2026-11-03 |
| Max DD Period Start | 2026-06-03 | 2026-05-12 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 177 |
| Volatility (ann.) | 12.4% | 8.68% |
| R^2 | 0.36 | 0.36 |
| Information Ratio | -0.16 | -0.16 |
| Calmar | 2.95 | -1.45 |
| Skew | -0.15 | -0.88 |
| Kurtosis | 0.59 | 4.73 |
| Ulcer Performance Index | 3.89 | -1.24 |
| Risk-Adjusted Return | 13.27% | -12.55% |
| Risk-Return Ratio | 0.07 | -0.09 |
| Avg. Return | 0.02% | -0.05% |
| Avg. Win | 0.72% | 0.42% |
| Avg. Loss | -0.63% | -0.51% |
| Win/Loss Ratio | 1.16 | 0.82 |
| Profit Ratio | 1.15 | 0.67 |
| Expected Daily | 0.05% | -0.05% |
| Expected Monthly | 0.9% | -0.91% |
| Expected Yearly | 6.48% | -6.2% |
| Kelly Criterion | 7.5% | -12.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.95% |
| Expected Shortfall (cVaR) | -1.63% | -1.53% |
| Max Consecutive Wins | 4 | 5 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.19 | -0.22 |
| Gain/Pain (1M) | 3.26 | -0.86 |
| Payoff Ratio | 1.16 | 0.82 |
| Profit Factor | 1.19 | 0.78 |
| Common Sense Ratio | 1.47 | 0.7 |
| CPC Index | 0.69 | 0.31 |
| Tail Ratio | 1.23 | 0.9 |
| Outlier Win Ratio | 2.66 | 3.57 |
| Outlier Loss Ratio | 3.07 | 3.42 |
| MTD | 1.47% | -0.41% |
| 3M | 1.46% | -2.18% |
| 6M | 6.48% | -6.2% |
| YTD | 6.48% | -6.2% |
| 1Y | 6.48% | -6.2% |
| 3Y (ann.) | 13.27% | -11.92% |
| 5Y (ann.) | 13.27% | -11.92% |
| 10Y (ann.) | 13.27% | -11.92% |
| All-time (ann.) | 13.27% | -11.92% |
| Best Day | 1.8% | 1.45% |
| Worst Day | -2.58% | -2.76% |
| Best Month | 4.52% | 0.57% |
| Worst Month | -1.03% | -3.55% |
| Best Year | 6.48% | -6.2% |
| Worst Year | 6.48% | -6.2% |
| Avg. Drawdown | -1.57% | -4.38% |
| Avg. Drawdown Days | 17 | 90 |
| Recovery Factor | 1.48 | 0.75 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 0.91 | -0.08 |
| Avg. Up Month | 3.6% | 0.48% |
| Avg. Down Month | -0.75% | -1.96% |
| Win Days | 50.39% | 49.17% |
| Win Month | 57.14% | 28.57% |
| Win Quarter | 100.0% | 0.0% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.42 |
| Alpha | - | -0.18 |
| Correlation | - | 59.71% |
| Treynor Ratio | - | -14.82% |
| Year | SPY | WARAX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | -6.20 | -0.96 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-12 | 2026-11-04 | -8.23 | 177 |
| 2026-05-06 | 2026-05-07 | -0.54 | 2 |