| Metric | SPY | BDMIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 14.39% | 20.82% |
| CAGR﹪ | 14.51% | 21.0% |
| Sharpe | 0.83 | 2.21 |
| Prob. Sharpe Ratio | 79.61% | 98.5% |
| Smart Sharpe | 0.82 | 1.92 |
| Sortino | 1.22 | 3.43 |
| Smart Sortino | 1.2 | 2.98 |
| Sortino/√2 | 0.86 | 2.43 |
| Smart Sortino/√2 | 0.85 | 2.11 |
| Omega | 1.2 | 1.55 |
| Max Drawdown | -8.88% | -3.14% |
| Max DD Date | 2026-03-30 | 2026-11-04 |
| Max DD Period Start | 2026-01-28 | 2026-10-05 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 47 |
| Volatility (ann.) | 12.86% | 7.07% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 1.63 | 6.69 |
| Skew | -0.02 | -0.23 |
| Kurtosis | 0.78 | 0.22 |
| Ulcer Performance Index | 6.68 | 19.87 |
| Risk-Adjusted Return | 14.51% | 22.34% |
| Risk-Return Ratio | 0.07 | 0.17 |
| Avg. Return | 0.06% | 0.08% |
| Avg. Win | 0.75% | 0.46% |
| Avg. Loss | -0.62% | -0.39% |
| Win/Loss Ratio | 1.2 | 1.19 |
| Profit Ratio | 1.02 | 0.76 |
| Expected Daily | 0.05% | 0.08% |
| Expected Monthly | 1.04% | 1.47% |
| Expected Yearly | 6.95% | 9.92% |
| Kelly Criterion | 11.86% | 18.89% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.66% |
| Expected Shortfall (cVaR) | -1.66% | -0.89% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.2 | 0.55 |
| Gain/Pain (1M) | 1.83 | 8.29 |
| Payoff Ratio | 1.2 | 1.19 |
| Profit Factor | 1.2 | 1.55 |
| Common Sense Ratio | 1.19 | 1.76 |
| CPC Index | 0.75 | 1.03 |
| Tail Ratio | 0.99 | 1.14 |
| Outlier Win Ratio | 2.84 | 2.78 |
| Outlier Loss Ratio | 3.01 | 3.23 |
| MTD | 1.47% | -0.51% |
| 3M | 1.46% | 2.95% |
| 6M | 6.94% | 8.3% |
| YTD | 13.33% | 16.1% |
| 1Y | 14.39% | 20.82% |
| 3Y (ann.) | 14.51% | 21.0% |
| 5Y (ann.) | 14.51% | 21.0% |
| 10Y (ann.) | 14.51% | 21.0% |
| All-time (ann.) | 14.51% | 21.0% |
| Best Day | 2.91% | 1.13% |
| Worst Day | -2.58% | -1.37% |
| Best Month | 10.51% | 3.78% |
| Worst Month | -4.94% | -1.43% |
| Best Year | 13.33% | 16.1% |
| Worst Year | 0.94% | 4.06% |
| Avg. Drawdown | -1.74% | -0.8% |
| Avg. Drawdown Days | 14 | 8 |
| Recovery Factor | 1.61 | 6.1 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 3.19 |
| Avg. Up Month | 2.98% | 2.09% |
| Avg. Down Month | -0.97% | -0.93% |
| Win Days | 52.0% | 55.98% |
| Win Month | 61.54% | 76.92% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.23 |
| Alpha | - | 0.16 |
| Correlation | - | 42.21% |
| Treynor Ratio | - | 89.74% |
| Year | SPY | BDMIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 4.06 | 4.33 | + |
| 2026 | 13.33 | 16.10 | 1.21 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-10-05 | 2026-11-04 | -3.14 | 31 |
| 2026-06-18 | 2026-08-03 | -2.97 | 47 |
| 2026-02-03 | 2026-02-25 | -2.69 | 23 |
| 2026-06-05 | 2026-06-16 | -2.36 | 12 |
| 2026-01-13 | 2026-01-30 | -1.82 | 18 |
| 2026-08-18 | 2026-09-02 | -1.66 | 16 |
| 2026-03-10 | 2026-03-17 | -1.07 | 8 |
| 2025-11-06 | 2025-11-12 | -0.96 | 7 |
| 2026-03-26 | 2026-03-31 | -0.85 | 6 |
| 2026-09-04 | 2026-09-10 | -0.83 | 7 |