| Metric | SPY | WTMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 16.86% |
| CAGR﹪ | 18.02% | 17.01% |
| Sharpe | 1.04 | 1.18 |
| Prob. Sharpe Ratio | 84.73% | 88.27% |
| Smart Sharpe | 1.01 | 0.91 |
| Sortino | 1.51 | 1.76 |
| Smart Sortino | 1.47 | 1.36 |
| Sortino/√2 | 1.07 | 1.24 |
| Smart Sortino/√2 | 1.04 | 0.96 |
| Omega | 1.25 | 1.34 |
| Max Drawdown | -8.88% | -4.04% |
| Max DD Date | 2026-03-30 | 2026-01-30 |
| Max DD Period Start | 2026-01-28 | 2026-01-16 |
| Max DD Period End | 2026-04-13 | 2026-02-24 |
| Longest DD Days | 76 | 50 |
| Volatility (ann.) | 12.99% | 10.4% |
| R^2 | 0.27 | 0.27 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 2.03 | 4.21 |
| Skew | -0.15 | 0.48 |
| Kurtosis | 1.05 | 10.51 |
| Ulcer Performance Index | 8.3 | 15.71 |
| Risk-Adjusted Return | 18.02% | 17.01% |
| Risk-Return Ratio | 0.08 | 0.1 |
| Avg. Return | 0.07% | 0.06% |
| Avg. Win | 0.68% | 0.54% |
| Avg. Loss | -0.76% | -0.58% |
| Win/Loss Ratio | 0.9 | 0.94 |
| Profit Ratio | 0.94 | 0.78 |
| Expected Daily | 0.07% | 0.06% |
| Expected Monthly | 1.27% | 1.21% |
| Expected Yearly | 8.57% | 8.1% |
| Kelly Criterion | 1.82% | 10.26% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.01% |
| Expected Shortfall (cVaR) | -1.72% | -1.59% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.25 | 0.34 |
| Gain/Pain (1M) | 2.6 | 13.03 |
| Payoff Ratio | 0.9 | 0.94 |
| Profit Factor | 1.25 | 1.34 |
| Common Sense Ratio | 1.24 | 1.36 |
| CPC Index | 0.6 | 0.71 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 2.88 | 3.03 |
| Outlier Loss Ratio | 3.19 | 3.91 |
| MTD | 1.08% | 0.9% |
| 3M | 3.82% | 3.37% |
| 6M | 19.85% | 9.67% |
| YTD | 14.3% | 12.44% |
| 1Y | 17.87% | 16.86% |
| 3Y (ann.) | 18.02% | 17.01% |
| 5Y (ann.) | 18.02% | 17.01% |
| 10Y (ann.) | 18.02% | 17.01% |
| All-time (ann.) | 18.02% | 17.01% |
| Best Day | 2.91% | 4.49% |
| Worst Day | -2.7% | -2.84% |
| Best Month | 10.51% | 4.81% |
| Worst Month | -4.94% | -0.8% |
| Best Year | 14.3% | 12.44% |
| Worst Year | 3.13% | 3.93% |
| Avg. Drawdown | -1.71% | -0.95% |
| Avg. Drawdown Days | 13 | 9 |
| Recovery Factor | 1.94 | 3.99 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 4.01 |
| Avg. Up Month | 2.52% | 1.36% |
| Avg. Down Month | -1.03% | -0.8% |
| Win Days | 53.6% | 56.63% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.41 |
| Alpha | - | 0.09 |
| Correlation | - | 51.64% |
| Treynor Ratio | - | 40.81% |
| Year | SPY | WTMF | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 3.93 | 1.26 | + |
| 2026 | 14.30 | 12.44 | 0.87 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-16 | 2026-02-24 | -4.04 | 40 |
| 2026-03-18 | 2026-04-10 | -3.01 | 24 |
| 2026-09-22 | 2026-09-22 | -2.84 | 1 |
| 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 |
| 2025-10-09 | 2025-10-14 | -1.47 | 6 |
| 2025-10-29 | 2025-11-11 | -1.45 | 14 |
| 2025-12-29 | 2026-01-02 | -1.17 | 5 |
| 2026-03-03 | 2026-03-09 | -1.03 | 7 |