| Metric | SPY | WCEIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 80.0% |
| Cumulative Return | 14.39% | 2.85% |
| CAGR﹪ | 14.51% | 2.88% |
| Sharpe | 0.83 | -0.23 |
| Prob. Sharpe Ratio | 79.61% | 41.2% |
| Smart Sharpe | 0.82 | -0.18 |
| Sortino | 1.22 | -0.34 |
| Smart Sortino | 1.2 | -0.27 |
| Sortino/√2 | 0.86 | -0.24 |
| Smart Sortino/√2 | 0.85 | -0.19 |
| Omega | 1.2 | 1.17 |
| Max Drawdown | -8.88% | -1.52% |
| Max DD Date | 2026-03-30 | 2026-09-18 |
| Max DD Period Start | 2026-01-28 | 2026-08-28 |
| Max DD Period End | 2026-04-13 | 2026-10-12 |
| Longest DD Days | 76 | 63 |
| Volatility (ann.) | 12.86% | 3.41% |
| R^2 | 0.34 | 0.34 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 1.63 | 1.89 |
| Skew | -0.02 | 1.17 |
| Kurtosis | 0.78 | 7.06 |
| Ulcer Performance Index | 6.68 | 5.99 |
| Risk-Adjusted Return | 14.51% | 3.6% |
| Risk-Return Ratio | 0.07 | 0.05 |
| Avg. Return | 0.06% | 0.01% |
| Avg. Win | 0.73% | 0.21% |
| Avg. Loss | -0.76% | -0.2% |
| Win/Loss Ratio | 0.97 | 1.05 |
| Profit Ratio | 1.02 | 0.4 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.04% | 0.22% |
| Expected Yearly | 6.95% | 1.42% |
| Kelly Criterion | 2.35% | 9.33% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.34% |
| Expected Shortfall (cVaR) | -1.66% | -0.44% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.2 | 0.17 |
| Gain/Pain (1M) | 1.83 | 3.43 |
| Payoff Ratio | 0.97 | 1.05 |
| Profit Factor | 1.2 | 1.17 |
| Common Sense Ratio | 1.19 | 1.17 |
| CPC Index | 0.6 | 0.66 |
| Tail Ratio | 0.99 | 1.0 |
| Outlier Win Ratio | 2.84 | 4.39 |
| Outlier Loss Ratio | 3.01 | 2.31 |
| MTD | 1.47% | 0.0% |
| 3M | 1.46% | 0.57% |
| 6M | 6.94% | 1.45% |
| YTD | 13.33% | 2.33% |
| 1Y | 14.39% | 2.85% |
| 3Y (ann.) | 14.51% | 2.88% |
| 5Y (ann.) | 14.51% | 2.88% |
| 10Y (ann.) | 14.51% | 2.88% |
| All-time (ann.) | 14.51% | 2.88% |
| Best Day | 2.91% | 1.35% |
| Worst Day | -2.58% | -0.67% |
| Best Month | 10.51% | 0.6% |
| Worst Month | -4.94% | -0.48% |
| Best Year | 13.33% | 2.33% |
| Worst Year | 0.94% | 0.51% |
| Avg. Drawdown | -1.74% | -0.46% |
| Avg. Drawdown Days | 14 | 12 |
| Recovery Factor | 1.61 | 1.89 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 0.94 | 1.13 |
| Avg. Up Month | 3.58% | 0.41% |
| Avg. Down Month | -2.63% | -0.38% |
| Win Days | 52.0% | 53.54% |
| Win Month | 61.54% | 75.0% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.15 |
| Alpha | - | 0.01 |
| Correlation | - | 58.2% |
| Treynor Ratio | - | 18.47% |
| Year | SPY | WCEIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 0.51 | 0.54 | - |
| 2026 | 13.33 | 2.33 | 0.18 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-28 | 2026-10-12 | -1.52 | 46 |
| 2026-02-12 | 2026-04-15 | -1.35 | 63 |
| 2025-11-13 | 2025-12-10 | -1.31 | 28 |
| 2026-06-03 | 2026-06-18 | -1.05 | 16 |
| 2026-04-21 | 2026-05-26 | -0.96 | 36 |
| 2026-06-30 | 2026-07-14 | -0.67 | 15 |
| 2026-07-17 | 2026-07-31 | -0.57 | 15 |
| 2026-01-16 | 2026-02-05 | -0.48 | 21 |
| 2026-10-22 | 2026-10-28 | -0.38 | 7 |
| 2026-08-10 | 2026-08-11 | -0.29 | 2 |