| Metric | SPY | WRPIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 86.0% |
| Cumulative Return | 70.69% | 42.81% |
| CAGR﹪ | 11.36% | 7.44% |
| Sharpe | 0.49 | 0.49 |
| Prob. Sharpe Ratio | 86.25% | 86.32% |
| Smart Sharpe | 0.47 | 0.46 |
| Sortino | 0.7 | 0.69 |
| Smart Sortino | 0.68 | 0.64 |
| Sortino/√2 | 0.5 | 0.49 |
| Smart Sortino/√2 | 0.48 | 0.46 |
| Omega | 1.14 | 1.2 |
| Max Drawdown | -26.35% | -8.72% |
| Max DD Date | 2022-10-12 | 2025-04-14 |
| Max DD Period Start | 2022-01-04 | 2025-03-26 |
| Max DD Period End | 2023-12-18 | 2025-10-22 |
| Longest DD Days | 714 | 260 |
| Volatility (ann.) | 17.16% | 7.23% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.43 | 0.85 |
| Skew | 0.33 | -0.32 |
| Kurtosis | 9.05 | 5.5 |
| Ulcer Performance Index | 7.55 | 17.39 |
| Risk-Adjusted Return | 11.36% | 8.65% |
| Risk-Return Ratio | 0.04 | 0.06 |
| Avg. Return | 0.04% | 0.03% |
| Avg. Win | 0.69% | 0.37% |
| Avg. Loss | -0.79% | -0.4% |
| Win/Loss Ratio | 0.87 | 0.91 |
| Profit Ratio | 0.86 | 0.47 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.88% | 0.59% |
| Expected Yearly | 9.32% | 6.12% |
| Kelly Criterion | -0.11% | 5.25% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.72% |
| Expected Shortfall (cVaR) | -2.58% | -1.1% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.14 | 0.2 |
| Gain/Pain (1M) | 0.74 | 1.23 |
| Payoff Ratio | 0.87 | 0.91 |
| Profit Factor | 1.14 | 1.2 |
| Common Sense Ratio | 1.13 | 1.29 |
| CPC Index | 0.53 | 0.6 |
| Tail Ratio | 1.0 | 1.08 |
| Outlier Win Ratio | 3.42 | 3.68 |
| Outlier Loss Ratio | 3.8 | 3.36 |
| MTD | 1.47% | -1.22% |
| 3M | 1.46% | -0.22% |
| 6M | 6.94% | 0.11% |
| YTD | 13.33% | 9.33% |
| 1Y | 13.43% | 12.06% |
| 3Y (ann.) | 20.78% | 8.06% |
| 5Y (ann.) | 12.3% | 7.45% |
| 10Y (ann.) | 11.36% | 7.44% |
| All-time (ann.) | 11.36% | 7.44% |
| Best Day | 10.5% | 2.73% |
| Worst Day | -5.85% | -3.18% |
| Best Month | 10.51% | 5.06% |
| Worst Month | -10.5% | -6.33% |
| Best Year | 26.18% | 11.13% |
| Worst Year | -20.18% | -0.04% |
| Avg. Drawdown | -1.98% | -1.37% |
| Avg. Drawdown Days | 21 | 25 |
| Recovery Factor | 2.31 | 4.24 |
| Ulcer Index | 0.09 | 0.02 |
| Serenity Index | 0.34 | 0.99 |
| Avg. Up Month | 3.24% | 1.52% |
| Avg. Down Month | -3.08% | -1.46% |
| Win Days | 53.44% | 54.9% |
| Win Month | 62.3% | 57.38% |
| Win Quarter | 71.43% | 66.67% |
| Win Year | 83.33% | 83.33% |
| Beta | - | -0.0 |
| Alpha | - | 0.07 |
| Correlation | - | -1.14% |
| Treynor Ratio | - | -8946.98% |
| Year | SPY | WRPIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 1.44 | 0.84 | - |
| 2022 | -20.18 | 10.04 | -0.50 | + |
| 2023 | 26.18 | -0.04 | -0.00 | - |
| 2024 | 24.89 | 11.13 | 0.45 | - |
| 2025 | 17.72 | 5.35 | 0.30 | - |
| 2026 | 13.33 | 9.33 | 0.70 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-03-26 | 2025-10-22 | -8.72 | 211 |
| 2023-11-14 | 2024-02-07 | -4.34 | 86 |
| 2022-06-15 | 2023-03-01 | -4.28 | 260 |
| 2026-07-23 | 2026-09-29 | -4.18 | 69 |
| 2026-06-04 | 2026-07-21 | -3.76 | 48 |
| 2022-02-04 | 2022-03-04 | -3.48 | 29 |
| 2026-10-13 | 2026-11-04 | -3.36 | 23 |
| 2022-03-09 | 2022-04-14 | -3.30 | 37 |
| 2024-07-05 | 2024-11-13 | -3.03 | 132 |
| 2024-03-28 | 2024-06-20 | -2.81 | 85 |