| Metric | SPY | WTMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 204.97% | 53.0% |
| CAGR﹪ | 16.25% | 5.91% |
| Sharpe | 0.72 | 0.36 |
| Prob. Sharpe Ratio | 97.45% | 83.74% |
| Smart Sharpe | 0.63 | 0.31 |
| Sortino | 1.02 | 0.51 |
| Smart Sortino | 0.88 | 0.43 |
| Sortino/√2 | 0.72 | 0.36 |
| Smart Sortino/√2 | 0.62 | 0.31 |
| Omega | 1.18 | 1.13 |
| Max Drawdown | -33.72% | -13.21% |
| Max DD Date | 2020-03-23 | 2022-12-19 |
| Max DD Period Start | 2020-02-20 | 2022-03-09 |
| Max DD Period End | 2020-08-07 | 2023-11-24 |
| Longest DD Days | 708 | 626 |
| Volatility (ann.) | 19.45% | 9.06% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.48 | 0.45 |
| Skew | -0.29 | -0.08 |
| Kurtosis | 13.94 | 6.92 |
| Ulcer Performance Index | 25.91 | 10.24 |
| Risk-Adjusted Return | 16.25% | 5.91% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.8% | 0.45% |
| Avg. Loss | -0.89% | -0.5% |
| Win/Loss Ratio | 0.9 | 0.89 |
| Profit Ratio | 0.78 | 0.82 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.47% |
| Expected Yearly | 14.96% | 5.46% |
| Kelly Criterion | 5.39% | 1.43% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.91% |
| Expected Shortfall (cVaR) | -3.2% | -1.39% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 12 |
| Gain/Pain Ratio | 0.18 | 0.13 |
| Gain/Pain (1M) | 1.15 | 0.93 |
| Payoff Ratio | 0.9 | 0.89 |
| Profit Factor | 1.18 | 1.13 |
| Common Sense Ratio | 1.13 | 1.08 |
| CPC Index | 0.59 | 0.54 |
| Tail Ratio | 0.96 | 0.96 |
| Outlier Win Ratio | 3.69 | 3.27 |
| Outlier Loss Ratio | 4.12 | 3.27 |
| 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.) | 16.25% | 5.91% |
| All-time (ann.) | 16.25% | 5.91% |
| Best Day | 10.5% | 4.57% |
| Worst Day | -10.94% | -3.54% |
| Best Month | 12.7% | 4.81% |
| Worst Month | -12.49% | -3.84% |
| Best Year | 28.73% | 16.72% |
| Worst Year | -18.18% | -6.52% |
| Avg. Drawdown | -1.79% | -1.45% |
| Avg. Drawdown Days | 16 | 32 |
| Recovery Factor | 3.72 | 3.45 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 1.03 | 0.48 |
| Avg. Up Month | 4.04% | 1.92% |
| Avg. Down Month | -3.75% | -1.58% |
| Win Days | 55.15% | 53.46% |
| Win Month | 65.56% | 60.0% |
| Win Quarter | 77.42% | 61.29% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.11 |
| Alpha | - | 0.04 |
| Correlation | - | 23.54% |
| Treynor Ratio | - | 483.04% |
| Year | SPY | WTMF | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | -0.25 | -0.02 | - |
| 2020 | 18.33 | 0.48 | 0.03 | - |
| 2021 | 28.73 | 9.48 | 0.33 | - |
| 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 |
| 2019-09-04 | 2021-02-08 | -11.11 | 524 |
| 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 |
| 2021-05-13 | 2021-10-22 | -4.80 | 163 |
| 2026-01-16 | 2026-02-24 | -4.04 | 40 |
| 2021-02-25 | 2021-04-22 | -3.64 | 57 |
| 2026-03-18 | 2026-04-10 | -3.01 | 24 |