| Metric | SPY | WCEIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 80.0% |
| Cumulative Return | 17.87% | 3.94% |
| CAGR﹪ | 18.02% | 3.97% |
| Sharpe | 1.04 | -0.0 |
| Prob. Sharpe Ratio | 84.73% | 49.89% |
| Smart Sharpe | 1.01 | -0.0 |
| Sortino | 1.51 | -0.0 |
| Smart Sortino | 1.47 | -0.0 |
| Sortino/√2 | 1.07 | -0.0 |
| Smart Sortino/√2 | 1.04 | -0.0 |
| Omega | 1.25 | 1.23 |
| Max Drawdown | -8.88% | -1.52% |
| Max DD Date | 2026-03-30 | 2026-09-18 |
| Max DD Period Start | 2026-01-28 | 2026-08-20 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 63 |
| Volatility (ann.) | 12.99% | 3.45% |
| R^2 | 0.35 | 0.35 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 2.03 | 2.61 |
| Skew | -0.15 | 1.12 |
| Kurtosis | 1.05 | 6.64 |
| Ulcer Performance Index | 8.3 | 8.29 |
| Risk-Adjusted Return | 18.02% | 4.97% |
| Risk-Return Ratio | 0.08 | 0.07 |
| Avg. Return | 0.08% | 0.02% |
| Avg. Win | 0.76% | 0.22% |
| Avg. Loss | -0.79% | -0.21% |
| Win/Loss Ratio | 0.96 | 1.03 |
| Profit Ratio | 0.94 | 0.38 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.27% | 0.3% |
| Expected Yearly | 8.57% | 1.95% |
| Kelly Criterion | 5.12% | 11.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.34% |
| Expected Shortfall (cVaR) | -1.72% | -0.44% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.25 | 0.23 |
| Gain/Pain (1M) | 2.6 | 5.33 |
| Payoff Ratio | 0.96 | 1.03 |
| Profit Factor | 1.25 | 1.23 |
| Common Sense Ratio | 1.24 | 1.23 |
| CPC Index | 0.64 | 0.69 |
| Tail Ratio | 0.99 | 1.0 |
| Outlier Win Ratio | 2.88 | 4.29 |
| Outlier Loss Ratio | 3.19 | 2.27 |
| MTD | 1.08% | 0.19% |
| 3M | 3.82% | 0.96% |
| 6M | 19.85% | 2.24% |
| YTD | 14.3% | 2.24% |
| 1Y | 17.87% | 3.94% |
| 3Y (ann.) | 18.02% | 3.97% |
| 5Y (ann.) | 18.02% | 3.97% |
| 10Y (ann.) | 18.02% | 3.97% |
| All-time (ann.) | 18.02% | 3.97% |
| Best Day | 2.91% | 1.35% |
| Worst Day | -2.7% | -0.67% |
| Best Month | 10.51% | 0.71% |
| Worst Month | -4.94% | -0.48% |
| Best Year | 14.3% | 2.24% |
| Worst Year | 3.13% | 1.67% |
| Avg. Drawdown | -1.71% | -0.53% |
| Avg. Drawdown Days | 13 | 14 |
| Recovery Factor | 1.94 | 2.58 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 1.16 | 1.57 |
| Avg. Up Month | 2.99% | 0.49% |
| Avg. Down Month | -4.94% | -0.48% |
| Win Days | 53.6% | 55.05% |
| Win Month | 76.92% | 83.33% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.16 |
| Alpha | - | 0.01 |
| Correlation | - | 58.91% |
| Treynor Ratio | - | 25.17% |
| Year | SPY | WCEIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 1.67 | 0.53 | - |
| 2026 | 14.30 | 2.24 | 0.16 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-20 | 2026-09-22 | -1.52 | 34 |
| 2026-02-12 | 2026-04-15 | -1.35 | 63 |
| 2025-11-13 | 2025-12-10 | -1.31 | 28 |
| 2026-06-03 | 2026-06-23 | -1.05 | 21 |
| 2026-04-21 | 2026-05-29 | -0.96 | 39 |
| 2026-06-30 | 2026-07-14 | -0.67 | 15 |
| 2025-10-06 | 2025-10-17 | -0.62 | 12 |
| 2026-07-17 | 2026-07-31 | -0.57 | 15 |
| 2025-10-28 | 2025-10-30 | -0.53 | 3 |
| 2026-01-16 | 2026-02-05 | -0.48 | 21 |