| Metric | SPY | WRPIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 89.0% |
| Cumulative Return | 17.87% | 16.92% |
| CAGR﹪ | 18.02% | 17.07% |
| Sharpe | 1.04 | 1.64 |
| Prob. Sharpe Ratio | 84.73% | 94.61% |
| Smart Sharpe | 1.01 | 1.51 |
| Sortino | 1.51 | 2.45 |
| Smart Sortino | 1.47 | 2.25 |
| Sortino/√2 | 1.07 | 1.73 |
| Smart Sortino/√2 | 1.04 | 1.59 |
| Omega | 1.25 | 1.43 |
| 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.) | 12.99% | 7.36% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 2.03 | 4.09 |
| Skew | -0.15 | -0.29 |
| Kurtosis | 1.05 | 0.9 |
| Ulcer Performance Index | 8.3 | 12.13 |
| Risk-Adjusted Return | 18.02% | 19.18% |
| Risk-Return Ratio | 0.08 | 0.14 |
| Avg. Return | 0.08% | 0.07% |
| Avg. Win | 0.64% | 0.43% |
| Avg. Loss | -0.61% | -0.43% |
| Win/Loss Ratio | 1.05 | 0.98 |
| Profit Ratio | 0.94 | 0.54 |
| Expected Daily | 0.07% | 0.06% |
| Expected Monthly | 1.27% | 1.21% |
| Expected Yearly | 8.57% | 8.13% |
| Kelly Criterion | 9.38% | 13.64% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.7% |
| Expected Shortfall (cVaR) | -1.72% | -1.09% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.25 | 0.43 |
| Gain/Pain (1M) | 2.6 | 2.98 |
| Payoff Ratio | 1.05 | 0.98 |
| Profit Factor | 1.25 | 1.43 |
| Common Sense Ratio | 1.24 | 1.76 |
| CPC Index | 0.7 | 0.8 |
| Tail Ratio | 0.99 | 1.23 |
| Outlier Win Ratio | 2.88 | 3.19 |
| Outlier Loss Ratio | 3.19 | 3.15 |
| MTD | 1.08% | 4.0% |
| 3M | 3.82% | 2.59% |
| 6M | 19.85% | 2.59% |
| YTD | 14.3% | 11.66% |
| 1Y | 17.87% | 16.92% |
| 3Y (ann.) | 18.02% | 17.07% |
| 5Y (ann.) | 18.02% | 17.07% |
| 10Y (ann.) | 18.02% | 17.07% |
| All-time (ann.) | 18.02% | 17.07% |
| Best Day | 2.91% | 1.41% |
| Worst Day | -2.7% | -1.65% |
| Best Month | 10.51% | 5.06% |
| Worst Month | -4.94% | -2.67% |
| Best Year | 14.3% | 11.66% |
| Worst Year | 3.13% | 4.71% |
| Avg. Drawdown | -1.71% | -1.01% |
| Avg. Drawdown Days | 13 | 11 |
| Recovery Factor | 1.94 | 3.81 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 1.57 |
| Avg. Up Month | 1.37% | 2.05% |
| Avg. Down Month | -0.95% | -1.29% |
| Win Days | 53.6% | 57.21% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.1 |
| Alpha | - | 0.14 |
| Correlation | - | 17.55% |
| Treynor Ratio | - | 170.22% |
| Year | SPY | WRPIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 4.71 | 1.51 | + |
| 2026 | 14.30 | 11.66 | 0.82 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-23 | 2026-09-16 | -4.18 | 56 |
| 2026-06-04 | 2026-07-21 | -3.76 | 48 |
| 2026-01-28 | 2026-02-27 | -2.79 | 31 |
| 2026-04-07 | 2026-05-29 | -1.88 | 53 |
| 2025-10-27 | 2025-11-10 | -1.63 | 15 |
| 2025-12-24 | 2025-12-31 | -1.47 | 8 |
| 2025-10-10 | 2025-10-21 | -1.40 | 12 |
| 2026-03-10 | 2026-03-11 | -1.15 | 2 |
| 2026-03-23 | 2026-03-27 | -0.90 | 5 |
| 2025-11-21 | 2025-11-28 | -0.69 | 8 |