| Metric | SPY | WCEIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 83.0% |
| Cumulative Return | 204.97% | 34.23% |
| CAGR﹪ | 16.25% | 4.06% |
| Sharpe | 0.72 | 0.19 |
| Prob. Sharpe Ratio | 97.45% | 68.96% |
| Smart Sharpe | 0.63 | 0.16 |
| Sortino | 1.02 | 0.24 |
| Smart Sortino | 0.88 | 0.2 |
| Sortino/√2 | 0.72 | 0.17 |
| Smart Sortino/√2 | 0.62 | 0.14 |
| Omega | 1.18 | 1.16 |
| Max Drawdown | -33.72% | -21.65% |
| Max DD Date | 2020-03-23 | 2020-03-18 |
| Max DD Period Start | 2020-02-20 | 2020-02-20 |
| Max DD Period End | 2020-08-07 | 2020-11-24 |
| Longest DD Days | 708 | 1331 |
| Volatility (ann.) | 19.45% | 7.4% |
| R^2 | 0.4 | 0.4 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.48 | 0.19 |
| Skew | -0.29 | -4.18 |
| Kurtosis | 13.94 | 81.9 |
| Ulcer Performance Index | 25.91 | 6.76 |
| Risk-Adjusted Return | 16.25% | 4.89% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.08% | 0.02% |
| Avg. Win | 0.97% | 0.29% |
| Avg. Loss | -1.1% | -0.35% |
| Win/Loss Ratio | 0.88 | 0.82 |
| Profit Ratio | 0.78 | 0.36 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.33% |
| Expected Yearly | 14.96% | 3.75% |
| Kelly Criterion | 3.91% | 2.91% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.75% |
| Expected Shortfall (cVaR) | -3.2% | -1.66% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.16 |
| Gain/Pain (1M) | 1.15 | 0.9 |
| Payoff Ratio | 0.88 | 0.82 |
| Profit Factor | 1.18 | 1.16 |
| Common Sense Ratio | 1.13 | 1.36 |
| CPC Index | 0.57 | 0.53 |
| Tail Ratio | 0.96 | 1.18 |
| Outlier Win Ratio | 3.69 | 5.58 |
| Outlier Loss Ratio | 4.12 | 4.0 |
| 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.) | 16.25% | 4.06% |
| All-time (ann.) | 16.25% | 4.06% |
| Best Day | 10.5% | 3.77% |
| Worst Day | -10.94% | -8.02% |
| Best Month | 12.7% | 7.22% |
| Worst Month | -12.49% | -10.77% |
| Best Year | 28.73% | 7.89% |
| Worst Year | -18.18% | -2.79% |
| Avg. Drawdown | -1.79% | -1.04% |
| Avg. Drawdown Days | 16 | 37 |
| Recovery Factor | 3.72 | 1.45 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 1.03 | 0.25 |
| Avg. Up Month | 4.37% | 1.26% |
| Avg. Down Month | -4.77% | -1.49% |
| Win Days | 55.15% | 56.24% |
| Win Month | 65.56% | 70.11% |
| Win Quarter | 77.42% | 80.65% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.24 |
| Alpha | - | 0.0 |
| Correlation | - | 63.53% |
| Treynor Ratio | - | 141.67% |
| Year | SPY | WCEIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 5.70 | 0.35 | - |
| 2020 | 18.33 | 6.55 | 0.36 | - |
| 2021 | 28.73 | 1.75 | 0.06 | - |
| 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 |
|---|---|---|---|
| 2020-02-20 | 2020-11-24 | -21.65 | 279 |
| 2021-02-22 | 2024-10-14 | -12.39 | 1331 |
| 2024-12-19 | 2025-05-16 | -4.21 | 149 |
| 2021-01-26 | 2021-02-01 | -2.80 | 7 |
| 2024-11-08 | 2024-12-17 | -1.99 | 40 |
| 2026-08-20 | 2026-10-14 | -1.52 | 56 |
| 2024-10-21 | 2024-11-05 | -1.45 | 16 |
| 2020-12-29 | 2021-01-11 | -1.36 | 14 |
| 2026-02-12 | 2026-04-15 | -1.35 | 63 |
| 2025-11-13 | 2025-12-10 | -1.31 | 28 |