| Metric | SPY | WRPIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 14.39% | 12.19% |
| CAGR﹪ | 14.51% | 12.29% |
| Sharpe | 0.83 | 1.11 |
| Prob. Sharpe Ratio | 79.61% | 86.43% |
| Smart Sharpe | 0.82 | 1.07 |
| Sortino | 1.22 | 1.63 |
| Smart Sortino | 1.2 | 1.56 |
| Sortino/√2 | 0.86 | 1.16 |
| Smart Sortino/√2 | 0.85 | 1.11 |
| Omega | 1.2 | 1.3 |
| Max Drawdown | -8.88% | -4.18% |
| Max DD Date | 2026-03-30 | 2026-08-27 |
| Max DD Period Start | 2026-01-28 | 2026-07-23 |
| Max DD Period End | 2026-04-13 | 2026-09-16 |
| Longest DD Days | 76 | 56 |
| Volatility (ann.) | 12.86% | 7.36% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 1.63 | 2.94 |
| Skew | -0.02 | -0.21 |
| Kurtosis | 0.78 | 0.62 |
| Ulcer Performance Index | 6.68 | 8.38 |
| Risk-Adjusted Return | 14.51% | 13.66% |
| Risk-Return Ratio | 0.07 | 0.1 |
| Avg. Return | 0.06% | 0.05% |
| Avg. Win | 0.65% | 0.42% |
| Avg. Loss | -0.59% | -0.42% |
| Win/Loss Ratio | 1.1 | 1.01 |
| Profit Ratio | 1.02 | 0.6 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.04% | 0.89% |
| Expected Yearly | 6.95% | 5.92% |
| Kelly Criterion | 8.29% | 10.44% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.72% |
| Expected Shortfall (cVaR) | -1.66% | -0.99% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.2 | 0.3 |
| Gain/Pain (1M) | 1.83 | 1.46 |
| Payoff Ratio | 1.1 | 1.01 |
| Profit Factor | 1.2 | 1.3 |
| Common Sense Ratio | 1.19 | 1.41 |
| CPC Index | 0.69 | 0.72 |
| Tail Ratio | 0.99 | 1.09 |
| Outlier Win Ratio | 2.84 | 3.18 |
| Outlier Loss Ratio | 3.01 | 2.94 |
| MTD | 1.47% | -1.22% |
| 3M | 1.46% | -0.22% |
| 6M | 6.94% | 0.11% |
| YTD | 13.33% | 9.33% |
| 1Y | 14.39% | 12.19% |
| 3Y (ann.) | 14.51% | 12.29% |
| 5Y (ann.) | 14.51% | 12.29% |
| 10Y (ann.) | 14.51% | 12.29% |
| All-time (ann.) | 14.51% | 12.29% |
| Best Day | 2.91% | 1.41% |
| Worst Day | -2.58% | -1.65% |
| Best Month | 10.51% | 5.06% |
| Worst Month | -4.94% | -2.67% |
| Best Year | 13.33% | 9.33% |
| Worst Year | 0.94% | 2.62% |
| Avg. Drawdown | -1.74% | -1.19% |
| Avg. Drawdown Days | 14 | 13 |
| Recovery Factor | 1.61 | 2.82 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 1.1 |
| Avg. Up Month | 1.54% | 2.07% |
| Avg. Down Month | -0.93% | -1.37% |
| Win Days | 52.0% | 54.91% |
| Win Month | 61.54% | 53.85% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.06 |
| Alpha | - | 0.11 |
| Correlation | - | 10.51% |
| Treynor Ratio | - | 202.66% |
| Year | SPY | WRPIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 2.62 | 2.80 | + |
| 2026 | 13.33 | 9.33 | 0.70 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-23 | 2026-09-16 | -4.18 | 56 |
| 2026-06-04 | 2026-07-21 | -3.76 | 48 |
| 2026-10-13 | 2026-11-04 | -3.36 | 23 |
| 2026-01-28 | 2026-02-27 | -2.79 | 31 |
| 2026-04-07 | 2026-05-29 | -1.88 | 53 |
| 2025-12-24 | 2025-12-31 | -1.47 | 8 |
| 2026-03-10 | 2026-03-11 | -1.15 | 2 |
| 2026-10-01 | 2026-10-07 | -1.09 | 7 |
| 2026-03-23 | 2026-03-27 | -0.90 | 5 |
| 2025-11-21 | 2025-11-28 | -0.69 | 8 |