| Metric | SPY | WTMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.39% | 11.82% |
| CAGR﹪ | 14.51% | 11.92% |
| Sharpe | 0.83 | 0.77 |
| Prob. Sharpe Ratio | 79.61% | 77.97% |
| Smart Sharpe | 0.82 | 0.63 |
| Sortino | 1.22 | 1.11 |
| Smart Sortino | 1.2 | 0.91 |
| Sortino/√2 | 0.86 | 0.79 |
| Smart Sortino/√2 | 0.85 | 0.65 |
| Omega | 1.2 | 1.23 |
| Max Drawdown | -8.88% | -5.11% |
| Max DD Date | 2026-03-30 | 2026-09-25 |
| Max DD Period Start | 2026-01-28 | 2026-09-22 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 50 |
| Volatility (ann.) | 12.86% | 10.6% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 1.63 | 2.33 |
| Skew | -0.02 | 0.4 |
| Kurtosis | 0.78 | 9.79 |
| Ulcer Performance Index | 6.68 | 7.16 |
| Risk-Adjusted Return | 14.51% | 11.92% |
| Risk-Return Ratio | 0.07 | 0.07 |
| Avg. Return | 0.06% | 0.05% |
| Avg. Win | 0.69% | 0.55% |
| Avg. Loss | -0.75% | -0.59% |
| Win/Loss Ratio | 0.91 | 0.93 |
| Profit Ratio | 1.02 | 0.79 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.04% | 0.86% |
| Expected Yearly | 6.95% | 5.75% |
| Kelly Criterion | -0.56% | 7.33% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.05% |
| Expected Shortfall (cVaR) | -1.66% | -1.62% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.2 | 0.23 |
| Gain/Pain (1M) | 1.83 | 3.53 |
| Payoff Ratio | 0.91 | 0.93 |
| Profit Factor | 1.2 | 1.23 |
| Common Sense Ratio | 1.19 | 1.14 |
| CPC Index | 0.57 | 0.63 |
| Tail Ratio | 0.99 | 0.93 |
| Outlier Win Ratio | 2.84 | 3.02 |
| Outlier Loss Ratio | 3.01 | 4.0 |
| MTD | 1.47% | -1.83% |
| 3M | 1.46% | 2.0% |
| 6M | 6.94% | 3.18% |
| YTD | 13.33% | 10.4% |
| 1Y | 14.39% | 11.82% |
| 3Y (ann.) | 14.51% | 11.92% |
| 5Y (ann.) | 14.51% | 11.92% |
| 10Y (ann.) | 14.51% | 11.92% |
| All-time (ann.) | 14.51% | 11.92% |
| Best Day | 2.91% | 4.49% |
| Worst Day | -2.58% | -2.84% |
| Best Month | 10.51% | 4.81% |
| Worst Month | -4.94% | -1.83% |
| Best Year | 13.33% | 10.4% |
| Worst Year | 0.94% | 1.29% |
| Avg. Drawdown | -1.74% | -1.08% |
| Avg. Drawdown Days | 14 | 11 |
| Recovery Factor | 1.61 | 2.29 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 1.24 |
| Avg. Up Month | 3.24% | 1.45% |
| Avg. Down Month | -0.68% | -0.61% |
| Win Days | 52.0% | 55.42% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.37 |
| Alpha | - | 0.06 |
| Correlation | - | 45.34% |
| Treynor Ratio | - | 31.65% |
| Year | SPY | WTMF | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.29 | 1.38 | + |
| 2026 | 13.33 | 10.40 | 0.78 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-22 | 2026-11-04 | -5.11 | 44 |
| 2026-01-16 | 2026-02-24 | -4.04 | 40 |
| 2026-03-18 | 2026-04-10 | -3.01 | 24 |
| 2026-05-15 | 2026-06-16 | -2.51 | 33 |
| 2026-06-23 | 2026-08-11 | -2.27 | 50 |
| 2025-11-13 | 2025-11-26 | -2.04 | 14 |
| 2025-12-29 | 2026-01-02 | -1.17 | 5 |
| 2026-03-03 | 2026-03-09 | -1.03 | 7 |
| 2025-11-06 | 2025-11-07 | -0.88 | 2 |
| 2026-09-01 | 2026-09-18 | -0.87 | 18 |