| Metric | SPY | WRPIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 86.0% |
| Cumulative Return | 82.0% | 43.27% |
| CAGR﹪ | 12.81% | 7.5% |
| Sharpe | 0.57 | 0.51 |
| Prob. Sharpe Ratio | 89.76% | 87.25% |
| Smart Sharpe | 0.55 | 0.48 |
| Sortino | 0.82 | 0.72 |
| Smart Sortino | 0.79 | 0.67 |
| Sortino/√2 | 0.58 | 0.51 |
| Smart Sortino/√2 | 0.56 | 0.47 |
| Omega | 1.15 | 1.2 |
| Max Drawdown | -26.35% | -8.72% |
| Max DD Date | 2022-10-12 | 2025-04-14 |
| Max DD Period Start | 2022-01-04 | 2025-03-04 |
| Max DD Period End | 2023-12-18 | 2025-10-22 |
| Longest DD Days | 714 | 260 |
| Volatility (ann.) | 17.17% | 7.2% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.49 | 0.86 |
| Skew | 0.32 | -0.32 |
| Kurtosis | 9.02 | 5.59 |
| Ulcer Performance Index | 8.76 | 17.51 |
| Risk-Adjusted Return | 12.81% | 8.73% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.69% | 0.37% |
| Avg. Loss | -0.79% | -0.4% |
| Win/Loss Ratio | 0.87 | 0.91 |
| Profit Ratio | 0.83 | 0.47 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 0.99% | 0.59% |
| Expected Yearly | 10.5% | 6.18% |
| Kelly Criterion | 0.97% | 5.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.72% |
| Expected Shortfall (cVaR) | -2.58% | -1.12% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.15 | 0.2 |
| Gain/Pain (1M) | 0.81 | 1.28 |
| Payoff Ratio | 0.87 | 0.91 |
| Profit Factor | 1.15 | 1.2 |
| Common Sense Ratio | 1.16 | 1.36 |
| CPC Index | 0.54 | 0.6 |
| Tail Ratio | 1.0 | 1.13 |
| Outlier Win Ratio | 3.43 | 3.69 |
| Outlier Loss Ratio | 3.77 | 3.38 |
| MTD | 1.08% | 4.0% |
| 3M | 3.82% | 2.59% |
| 6M | 19.85% | 2.59% |
| YTD | 14.3% | 11.66% |
| 1Y | 17.78% | 17.34% |
| 3Y (ann.) | 24.86% | 8.78% |
| 5Y (ann.) | 12.49% | 7.61% |
| 10Y (ann.) | 12.81% | 7.5% |
| All-time (ann.) | 12.81% | 7.5% |
| 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% | 11.66% |
| Worst Year | -20.18% | -0.35% |
| Avg. Drawdown | -1.94% | -1.38% |
| Avg. Drawdown Days | 21 | 28 |
| Recovery Factor | 2.55 | 4.27 |
| Ulcer Index | 0.09 | 0.02 |
| Serenity Index | 0.37 | 0.99 |
| Avg. Up Month | 3.15% | 1.62% |
| Avg. Down Month | -3.1% | -1.59% |
| Win Days | 54.0% | 54.82% |
| Win Month | 63.93% | 59.02% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 83.33% | 66.67% |
| Beta | - | -0.0 |
| Alpha | - | 0.08 |
| Correlation | - | -0.91% |
| Treynor Ratio | - | -11373.67% |
| Year | SPY | WRPIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -0.35 | -0.05 | - |
| 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 | 14.30 | 11.66 | 0.82 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-03-04 | 2025-10-22 | -8.72 | 233 |
| 2023-11-14 | 2024-02-07 | -4.34 | 86 |
| 2022-06-15 | 2023-03-01 | -4.28 | 260 |
| 2026-07-23 | 2026-09-22 | -4.18 | 62 |
| 2026-06-04 | 2026-07-21 | -3.76 | 48 |
| 2022-02-04 | 2022-03-04 | -3.48 | 29 |
| 2022-03-09 | 2022-04-14 | -3.30 | 37 |
| 2021-09-30 | 2022-01-26 | -3.06 | 119 |
| 2024-07-05 | 2024-11-13 | -3.03 | 132 |
| 2024-03-28 | 2024-06-20 | -2.81 | 85 |