| Metric | SPY | WCEIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 80.0% |
| Cumulative Return | 18.6% | 2.14% |
| CAGR﹪ | 40.67% | 4.32% |
| Sharpe | 2.32 | 0.18 |
| Prob. Sharpe Ratio | 95.04% | 54.94% |
| Smart Sharpe | 2.3 | 0.14 |
| Sortino | 3.78 | 0.28 |
| Smart Sortino | 3.75 | 0.22 |
| Sortino/√2 | 2.67 | 0.2 |
| Smart Sortino/√2 | 2.65 | 0.16 |
| Omega | 1.54 | 1.22 |
| Max Drawdown | -4.49% | -1.52% |
| Max DD Date | 2026-06-10 | 2026-09-18 |
| Max DD Period Start | 2026-06-03 | 2026-08-20 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 39 |
| Volatility (ann.) | 13.55% | 4.01% |
| R^2 | 0.37 | 0.37 |
| Information Ratio | -0.17 | -0.17 |
| Calmar | 9.05 | 2.84 |
| Skew | 0.1 | 1.41 |
| Kurtosis | 1.12 | 6.99 |
| Ulcer Performance Index | 11.86 | 4.47 |
| Risk-Adjusted Return | 40.67% | 5.4% |
| Risk-Return Ratio | 0.16 | 0.07 |
| Avg. Return | 0.17% | 0.02% |
| Avg. Win | 0.85% | 0.25% |
| Avg. Loss | -0.73% | -0.23% |
| Win/Loss Ratio | 1.16 | 1.09 |
| Profit Ratio | 1.12 | 0.43 |
| Expected Daily | 0.14% | 0.02% |
| Expected Monthly | 2.47% | 0.3% |
| Expected Yearly | 18.6% | 2.14% |
| Kelly Criterion | 14.34% | 9.7% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.4% |
| Expected Shortfall (cVaR) | -1.77% | -0.58% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.54 | 0.22 |
| Gain/Pain (1M) | 10.92 | - |
| Payoff Ratio | 1.16 | 1.09 |
| Profit Factor | 1.54 | 1.22 |
| Common Sense Ratio | 2.01 | 1.53 |
| CPC Index | 0.97 | 0.7 |
| Tail Ratio | 1.3 | 1.25 |
| Outlier Win Ratio | 3.21 | 5.86 |
| Outlier Loss Ratio | 3.16 | 2.71 |
| MTD | 1.08% | 0.19% |
| 3M | 3.82% | 0.96% |
| 6M | 18.6% | 2.14% |
| YTD | 18.6% | 2.14% |
| 1Y | 18.6% | 2.14% |
| 3Y (ann.) | 40.67% | 4.32% |
| 5Y (ann.) | 40.67% | 4.32% |
| 10Y (ann.) | 40.67% | 4.32% |
| All-time (ann.) | 40.67% | 4.32% |
| Best Day | 2.91% | 1.35% |
| Worst Day | -2.58% | -0.67% |
| Best Month | 10.51% | 0.58% |
| Worst Month | -1.03% | 0.0% |
| Best Year | 18.6% | 2.14% |
| Worst Year | 18.6% | 2.14% |
| Avg. Drawdown | -1.13% | -0.56% |
| Avg. Drawdown Days | 9 | 12 |
| Recovery Factor | 3.9 | 1.42 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 2.75 | 0.97 |
| Avg. Up Month | 4.88% | 0.43% |
| Avg. Down Month | - | - |
| Win Days | 53.97% | 53.0% |
| Win Month | 71.43% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.18 |
| Alpha | - | -0.02 |
| Correlation | - | 61.02% |
| Treynor Ratio | - | 11.84% |
| Year | SPY | WCEIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 2.14 | 0.11 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-20 | 2026-09-22 | -1.52 | 34 |
| 2026-06-03 | 2026-06-18 | -1.05 | 16 |
| 2026-04-21 | 2026-05-29 | -0.96 | 39 |
| 2026-06-30 | 2026-07-14 | -0.67 | 15 |
| 2026-07-17 | 2026-07-31 | -0.57 | 15 |
| 2026-03-26 | 2026-03-30 | -0.48 | 5 |
| 2026-08-10 | 2026-08-11 | -0.29 | 2 |
| 2026-04-02 | 2026-04-07 | -0.19 | 6 |
| 2026-08-06 | 2026-08-06 | -0.19 | 1 |
| 2026-06-26 | 2026-06-26 | -0.10 | 1 |