| Metric | SPY | WCEIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 81.0% |
| Cumulative Return | 86.58% | 17.22% |
| CAGR﹪ | 13.36% | 3.25% |
| Sharpe | 0.59 | -0.1 |
| Prob. Sharpe Ratio | 90.85% | 41.56% |
| Smart Sharpe | 0.58 | -0.08 |
| Sortino | 0.86 | -0.13 |
| Smart Sortino | 0.83 | -0.11 |
| Sortino/√2 | 0.61 | -0.09 |
| Smart Sortino/√2 | 0.59 | -0.08 |
| Omega | 1.16 | 1.15 |
| Max Drawdown | -24.5% | -7.95% |
| Max DD Date | 2022-10-12 | 2022-06-16 |
| Max DD Period Start | 2022-01-04 | 2021-11-04 |
| Max DD Period End | 2023-12-12 | 2023-11-20 |
| Longest DD Days | 708 | 747 |
| Volatility (ann.) | 17.2% | 4.99% |
| R^2 | 0.3 | 0.3 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 0.41 |
| Skew | 0.32 | -0.84 |
| Kurtosis | 8.95 | 42.91 |
| Ulcer Performance Index | 10.24 | 8.14 |
| Risk-Adjusted Return | 13.36% | 4.01% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.94% | 0.24% |
| Avg. Loss | -1.01% | -0.28% |
| Win/Loss Ratio | 0.93 | 0.87 |
| Profit Ratio | 0.83 | 0.37 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.03% | 0.26% |
| Expected Yearly | 10.95% | 2.68% |
| Kelly Criterion | 4.54% | 3.18% |
| 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 | 0.16 | 0.15 |
| Gain/Pain (1M) | 0.87 | 1.05 |
| Payoff Ratio | 0.93 | 0.87 |
| Profit Factor | 1.16 | 1.15 |
| Common Sense Ratio | 1.17 | 1.17 |
| CPC Index | 0.58 | 0.55 |
| Tail Ratio | 1.01 | 1.02 |
| Outlier Win Ratio | 3.41 | 4.55 |
| Outlier Loss Ratio | 3.77 | 3.69 |
| MTD | 1.08% | 0.19% |
| 3M | 3.82% | 0.96% |
| 6M | 19.85% | 2.24% |
| YTD | 14.3% | 2.24% |
| 1Y | 17.78% | 4.03% |
| 3Y (ann.) | 24.86% | 6.15% |
| 5Y (ann.) | 13.06% | 3.28% |
| 10Y (ann.) | 13.36% | 3.25% |
| All-time (ann.) | 13.36% | 3.25% |
| 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 | -1.89% | -0.67% |
| Avg. Drawdown Days | 20 | 25 |
| Recovery Factor | 2.85 | 2.08 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.47 | 0.5 |
| Avg. Up Month | 4.31% | 0.92% |
| Avg. Down Month | -4.45% | -0.86% |
| Win Days | 54.04% | 54.91% |
| Win Month | 63.93% | 67.24% |
| Win Quarter | 66.67% | 80.95% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.16 |
| Alpha | - | 0.01 |
| Correlation | - | 54.4% |
| Treynor Ratio | - | 109.05% |
| Year | SPY | WCEIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 0.17 | 0.02 | - |
| 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 | 14.30 | 2.24 | 0.16 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-04 | 2023-11-20 | -7.95 | 747 |
| 2024-12-19 | 2025-02-14 | -4.21 | 58 |
| 2025-02-19 | 2025-05-16 | -3.57 | 87 |
| 2024-11-08 | 2024-12-17 | -1.99 | 40 |
| 2024-04-02 | 2024-07-02 | -1.86 | 92 |
| 2026-08-20 | 2026-09-22 | -1.52 | 34 |
| 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 | 2025-12-09 | -1.31 | 27 |