| Metric | SPY | WCEIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 81.0% |
| Cumulative Return | 74.99% | 16.42% |
| CAGR﹪ | 11.91% | 3.11% |
| Sharpe | 0.52 | -0.14 |
| Prob. Sharpe Ratio | 87.6% | 38.07% |
| Smart Sharpe | 0.5 | -0.12 |
| Sortino | 0.74 | -0.18 |
| Smart Sortino | 0.72 | -0.16 |
| Sortino/√2 | 0.53 | -0.13 |
| Smart Sortino/√2 | 0.51 | -0.12 |
| Omega | 1.14 | 1.14 |
| Max Drawdown | -24.5% | -7.87% |
| Max DD Date | 2022-10-12 | 2022-06-16 |
| Max DD Period Start | 2022-01-04 | 2021-11-16 |
| Max DD Period End | 2023-12-12 | 2023-11-20 |
| Longest DD Days | 708 | 735 |
| Volatility (ann.) | 17.19% | 4.99% |
| R^2 | 0.29 | 0.29 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.39 |
| Skew | 0.33 | -0.84 |
| Kurtosis | 8.98 | 42.92 |
| Ulcer Performance Index | 8.86 | 7.92 |
| Risk-Adjusted Return | 11.91% | 3.83% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.94% | 0.24% |
| Avg. Loss | -1.0% | -0.28% |
| Win/Loss Ratio | 0.93 | 0.88 |
| Profit Ratio | 0.86 | 0.38 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.92% | 0.25% |
| Expected Yearly | 9.77% | 2.57% |
| Kelly Criterion | 3.7% | 3.13% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.5% |
| Expected Shortfall (cVaR) | -2.58% | -0.93% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.14 |
| Gain/Pain (1M) | 0.79 | 0.97 |
| Payoff Ratio | 0.93 | 0.88 |
| Profit Factor | 1.14 | 1.14 |
| Common Sense Ratio | 1.15 | 1.16 |
| CPC Index | 0.57 | 0.55 |
| Tail Ratio | 1.0 | 1.02 |
| Outlier Win Ratio | 3.4 | 4.54 |
| Outlier Loss Ratio | 3.8 | 3.7 |
| MTD | 1.47% | 0.0% |
| 3M | 1.46% | 0.57% |
| 6M | 6.94% | 1.45% |
| YTD | 13.33% | 2.33% |
| 1Y | 13.43% | 2.94% |
| 3Y (ann.) | 20.78% | 5.07% |
| 5Y (ann.) | 12.86% | 3.37% |
| 10Y (ann.) | 11.91% | 3.11% |
| All-time (ann.) | 11.91% | 3.11% |
| Best Day | 10.5% | 3.77% |
| Worst Day | -5.85% | -4.12% |
| Best Month | 10.51% | 2.48% |
| Worst Month | -9.24% | -3.27% |
| Best Year | 26.18% | 7.89% |
| Worst Year | -18.18% | -2.79% |
| Avg. Drawdown | -1.94% | -0.65% |
| Avg. Drawdown Days | 21 | 26 |
| Recovery Factor | 2.58 | 2.01 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.43 | 0.5 |
| Avg. Up Month | 4.23% | 0.93% |
| Avg. Down Month | -4.3% | -0.85% |
| Win Days | 53.48% | 54.65% |
| Win Month | 62.3% | 65.52% |
| Win Quarter | 71.43% | 76.19% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.16 |
| Alpha | - | 0.01 |
| Correlation | - | 54.31% |
| Treynor Ratio | - | 104.1% |
| Year | SPY | WCEIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -0.61 | -0.35 | - |
| 2022 | -18.18 | -2.79 | 0.15 | + |
| 2023 | 26.18 | 5.86 | 0.22 | - |
| 2024 | 24.89 | 3.09 | 0.12 | - |
| 2025 | 17.72 | 7.89 | 0.45 | - |
| 2026 | 13.33 | 2.33 | 0.18 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-16 | 2023-11-20 | -7.87 | 735 |
| 2024-12-19 | 2025-05-16 | -4.21 | 149 |
| 2024-11-08 | 2024-12-17 | -1.99 | 40 |
| 2024-04-02 | 2024-07-02 | -1.86 | 92 |
| 2026-08-20 | 2026-10-14 | -1.52 | 56 |
| 2024-10-21 | 2024-11-05 | -1.45 | 16 |
| 2024-08-30 | 2024-10-02 | -1.37 | 34 |
| 2026-02-12 | 2026-04-15 | -1.35 | 63 |
| 2025-11-13 | 2025-12-10 | -1.31 | 28 |
| 2024-08-01 | 2024-08-13 | -1.19 | 13 |