| Metric | SPY | WRPIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 86.0% |
| Cumulative Return | 200.03% | 26.07% |
| CAGR﹪ | 16.3% | 3.23% |
| Sharpe | 0.72 | 0.08 |
| Prob. Sharpe Ratio | 97.33% | 58.36% |
| Smart Sharpe | 0.62 | 0.08 |
| Sortino | 1.02 | 0.11 |
| Smart Sortino | 0.88 | 0.1 |
| Sortino/√2 | 0.72 | 0.08 |
| Smart Sortino/√2 | 0.62 | 0.07 |
| Omega | 1.18 | 1.09 |
| Max Drawdown | -33.72% | -21.14% |
| Max DD Date | 2020-03-23 | 2020-12-14 |
| Max DD Period Start | 2020-02-20 | 2019-09-27 |
| Max DD Period End | 2020-08-07 | 2024-03-26 |
| Longest DD Days | 714 | 1643 |
| Volatility (ann.) | 19.54% | 7.13% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.48 | 0.15 |
| Skew | -0.29 | -0.52 |
| Kurtosis | 13.9 | 5.27 |
| Ulcer Performance Index | 23.16 | 2.75 |
| Risk-Adjusted Return | 16.3% | 3.76% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.74% | 0.35% |
| Avg. Loss | -0.92% | -0.42% |
| Win/Loss Ratio | 0.81 | 0.84 |
| Profit Ratio | 0.77 | 0.47 |
| Expected Daily | 0.06% | 0.01% |
| Expected Monthly | 1.26% | 0.26% |
| Expected Yearly | 14.72% | 2.94% |
| Kelly Criterion | -0.09% | -0.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -0.73% |
| Expected Shortfall (cVaR) | -3.2% | -1.13% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.09 |
| Gain/Pain (1M) | 1.12 | 0.45 |
| Payoff Ratio | 0.81 | 0.84 |
| Profit Factor | 1.18 | 1.09 |
| Common Sense Ratio | 1.13 | 1.12 |
| CPC Index | 0.53 | 0.5 |
| Tail Ratio | 0.96 | 1.03 |
| Outlier Win Ratio | 3.7 | 3.72 |
| Outlier Loss Ratio | 4.1 | 3.43 |
| 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.) | 16.3% | 3.23% |
| All-time (ann.) | 16.3% | 3.23% |
| Best Day | 10.5% | 2.73% |
| Worst Day | -10.94% | -3.18% |
| Best Month | 12.7% | 5.06% |
| Worst Month | -12.49% | -9.71% |
| Best Year | 28.73% | 11.66% |
| Worst Year | -20.18% | -16.77% |
| Avg. Drawdown | -1.81% | -1.78% |
| Avg. Drawdown Days | 16 | 63 |
| Recovery Factor | 3.67 | 1.18 |
| Ulcer Index | 0.09 | 0.09 |
| Serenity Index | 0.87 | 0.06 |
| Avg. Up Month | 3.23% | 1.52% |
| Avg. Down Month | -4.12% | -2.21% |
| Win Days | 55.24% | 53.84% |
| Win Month | 67.05% | 54.02% |
| Win Quarter | 76.67% | 56.67% |
| Win Year | 87.5% | 62.5% |
| Beta | - | 0.01 |
| Alpha | - | 0.03 |
| Correlation | - | 3.78% |
| Treynor Ratio | - | 1891.75% |
| Year | SPY | WRPIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | -1.40 | -0.09 | - |
| 2020 | 18.33 | -16.77 | -0.91 | - |
| 2021 | 28.73 | 6.84 | 0.24 | - |
| 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 |
|---|---|---|---|
| 2019-09-27 | 2024-03-26 | -21.14 | 1643 |
| 2025-03-04 | 2025-10-22 | -8.72 | 233 |
| 2026-07-23 | 2026-09-16 | -4.18 | 56 |
| 2026-06-04 | 2026-07-21 | -3.76 | 48 |
| 2024-07-05 | 2024-11-13 | -3.03 | 132 |
| 2024-03-28 | 2024-06-21 | -2.81 | 86 |
| 2026-01-28 | 2026-02-27 | -2.79 | 31 |
| 2024-12-23 | 2025-01-31 | -2.51 | 40 |
| 2019-09-05 | 2019-09-25 | -2.00 | 21 |
| 2019-06-20 | 2019-07-03 | -1.92 | 14 |