| Metric | SPY | WARAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 89.0% |
| Cumulative Return | 197.48% | 43.72% |
| CAGR﹪ | 15.87% | 5.02% |
| Sharpe | 0.71 | 0.28 |
| Prob. Sharpe Ratio | 97.17% | 77.15% |
| Smart Sharpe | 0.61 | 0.27 |
| Sortino | 1.0 | 0.37 |
| Smart Sortino | 0.86 | 0.37 |
| Sortino/√2 | 0.7 | 0.26 |
| Smart Sortino/√2 | 0.61 | 0.26 |
| Omega | 1.18 | 1.12 |
| Max Drawdown | -33.72% | -23.16% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-01-21 |
| Max DD Period End | 2020-08-07 | 2021-03-10 |
| Longest DD Days | 714 | 919 |
| Volatility (ann.) | 19.43% | 8.74% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.47 | 0.22 |
| Skew | -0.29 | -0.96 |
| Kurtosis | 13.99 | 15.19 |
| Ulcer Performance Index | 23.05 | 7.69 |
| Risk-Adjusted Return | 15.87% | 5.64% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.09% | 0.02% |
| Avg. Win | 0.87% | 0.43% |
| Avg. Loss | -0.92% | -0.46% |
| Win/Loss Ratio | 0.95 | 0.93 |
| Profit Ratio | 0.78 | 0.5 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.22% | 0.4% |
| Expected Yearly | 14.6% | 4.64% |
| Kelly Criterion | 7.92% | 6.68% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.88% |
| Expected Shortfall (cVaR) | -3.2% | -1.53% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.18 | 0.12 |
| Gain/Pain (1M) | 1.1 | 0.54 |
| Payoff Ratio | 0.95 | 0.93 |
| Profit Factor | 1.18 | 1.12 |
| Common Sense Ratio | 1.13 | 1.07 |
| CPC Index | 0.62 | 0.57 |
| Tail Ratio | 0.96 | 0.95 |
| Outlier Win Ratio | 3.7 | 4.07 |
| Outlier Loss Ratio | 4.12 | 3.56 |
| 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.) | 15.87% | 5.02% |
| All-time (ann.) | 15.87% | 5.02% |
| Best Day | 10.5% | 4.68% |
| Worst Day | -10.94% | -5.05% |
| Best Month | 12.7% | 8.17% |
| Worst Month | -12.49% | -11.08% |
| Best Year | 28.73% | 12.52% |
| Worst Year | -20.18% | -3.25% |
| Avg. Drawdown | -1.82% | -1.72% |
| Avg. Drawdown Days | 16 | 38 |
| Recovery Factor | 3.65 | 1.69 |
| Ulcer Index | 0.09 | 0.06 |
| Serenity Index | 0.87 | 0.29 |
| Avg. Up Month | 4.24% | 2.26% |
| Avg. Down Month | -3.9% | -2.26% |
| Win Days | 55.13% | 54.98% |
| Win Month | 65.56% | 57.3% |
| Win Quarter | 77.42% | 58.06% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.21 |
| Alpha | - | 0.02 |
| Correlation | - | 46.32% |
| Treynor Ratio | - | 209.93% |
| Year | SPY | WARAX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 5.87 | 0.36 | - |
| 2020 | 18.33 | -3.25 | -0.18 | - |
| 2021 | 28.73 | 2.15 | 0.07 | - |
| 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 |
|---|---|---|---|
| 2020-01-21 | 2021-03-10 | -23.16 | 415 |
| 2021-06-07 | 2023-12-12 | -14.98 | 919 |
| 2026-05-12 | 2026-11-04 | -8.23 | 177 |
| 2025-03-04 | 2025-09-10 | -5.67 | 191 |
| 2019-07-25 | 2019-10-31 | -4.80 | 99 |
| 2024-12-12 | 2025-02-14 | -4.47 | 65 |
| 2025-10-28 | 2026-01-02 | -3.79 | 67 |
| 2024-04-01 | 2024-06-17 | -3.74 | 78 |
| 2024-07-17 | 2024-08-20 | -3.73 | 35 |
| 2024-10-21 | 2024-11-27 | -2.89 | 38 |