| Metric | SPY | WTMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 74.99% | 35.99% |
| CAGR﹪ | 11.91% | 6.38% |
| Sharpe | 0.52 | 0.29 |
| Prob. Sharpe Ratio | 87.6% | 74.2% |
| Smart Sharpe | 0.5 | 0.25 |
| Sortino | 0.74 | 0.41 |
| Smart Sortino | 0.72 | 0.35 |
| Sortino/√2 | 0.53 | 0.29 |
| Smart Sortino/√2 | 0.51 | 0.25 |
| Omega | 1.14 | 1.13 |
| Max Drawdown | -24.5% | -13.21% |
| Max DD Date | 2022-10-12 | 2022-12-19 |
| Max DD Period Start | 2022-01-04 | 2022-03-09 |
| Max DD Period End | 2023-12-12 | 2023-11-24 |
| Longest DD Days | 708 | 626 |
| Volatility (ann.) | 17.19% | 9.54% |
| R^2 | 0.15 | 0.15 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.49 | 0.48 |
| Skew | 0.33 | 0.05 |
| Kurtosis | 8.98 | 7.51 |
| Ulcer Performance Index | 8.86 | 7.25 |
| Risk-Adjusted Return | 11.91% | 6.38% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.84% | 0.48% |
| Avg. Loss | -0.87% | -0.51% |
| Win/Loss Ratio | 0.96 | 0.93 |
| Profit Ratio | 0.86 | 0.81 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.51% |
| Expected Yearly | 9.77% | 5.26% |
| Kelly Criterion | 5.06% | 4.12% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.96% |
| Expected Shortfall (cVaR) | -2.58% | -1.41% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.13 |
| Gain/Pain (1M) | 0.79 | 1.02 |
| Payoff Ratio | 0.96 | 0.93 |
| Profit Factor | 1.14 | 1.13 |
| Common Sense Ratio | 1.15 | 1.08 |
| CPC Index | 0.59 | 0.57 |
| Tail Ratio | 1.0 | 0.96 |
| Outlier Win Ratio | 3.4 | 3.16 |
| Outlier Loss Ratio | 3.8 | 3.32 |
| MTD | 1.47% | -1.83% |
| 3M | 1.46% | 2.0% |
| 6M | 6.94% | 3.18% |
| YTD | 13.33% | 10.4% |
| 1Y | 13.43% | 11.7% |
| 3Y (ann.) | 20.78% | 9.75% |
| 5Y (ann.) | 12.86% | 7.41% |
| 10Y (ann.) | 11.91% | 6.38% |
| All-time (ann.) | 11.91% | 6.38% |
| Best Day | 10.5% | 4.57% |
| Worst Day | -5.85% | -3.54% |
| Best Month | 10.51% | 4.81% |
| Worst Month | -9.24% | -3.77% |
| Best Year | 26.18% | 16.72% |
| Worst Year | -18.18% | -6.52% |
| Avg. Drawdown | -1.94% | -1.46% |
| Avg. Drawdown Days | 21 | 28 |
| Recovery Factor | 2.58 | 2.5 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.43 | 0.38 |
| Avg. Up Month | 3.96% | 1.94% |
| Avg. Down Month | -4.18% | -1.56% |
| Win Days | 53.48% | 53.74% |
| Win Month | 62.3% | 62.3% |
| Win Quarter | 71.43% | 61.9% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.21 |
| Alpha | - | 0.04 |
| Correlation | - | 38.23% |
| Treynor Ratio | - | 169.64% |
| Year | SPY | WTMF | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -2.48 | -1.43 | - |
| 2022 | -18.18 | -6.52 | 0.36 | + |
| 2023 | 26.18 | 16.72 | 0.64 | - |
| 2024 | 24.89 | 3.20 | 0.13 | - |
| 2025 | 17.72 | 12.17 | 0.69 | - |
| 2026 | 13.33 | 10.40 | 0.78 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-03-09 | 2023-11-24 | -13.21 | 626 |
| 2024-11-22 | 2025-08-12 | -9.93 | 264 |
| 2024-04-10 | 2024-11-20 | -7.57 | 225 |
| 2021-11-15 | 2022-03-03 | -7.51 | 109 |
| 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 |