| Metric | SPY | BDMIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 17.87% | 21.82% |
| CAGR﹪ | 18.02% | 22.02% |
| Sharpe | 1.04 | 2.27 |
| Prob. Sharpe Ratio | 84.73% | 98.7% |
| Smart Sharpe | 1.01 | 2.05 |
| Sortino | 1.51 | 3.52 |
| Smart Sortino | 1.47 | 3.18 |
| Sortino/√2 | 1.07 | 2.49 |
| Smart Sortino/√2 | 1.04 | 2.25 |
| Omega | 1.25 | 1.56 |
| Max Drawdown | -8.88% | -3.24% |
| Max DD Date | 2026-03-30 | 2025-10-17 |
| Max DD Period Start | 2026-01-28 | 2025-09-29 |
| Max DD Period End | 2026-04-13 | 2025-12-03 |
| Longest DD Days | 76 | 66 |
| Volatility (ann.) | 12.99% | 7.14% |
| R^2 | 0.17 | 0.17 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 2.03 | 6.79 |
| Skew | -0.15 | -0.21 |
| Kurtosis | 1.05 | 0.04 |
| Ulcer Performance Index | 8.3 | 17.52 |
| Risk-Adjusted Return | 18.02% | 23.42% |
| Risk-Return Ratio | 0.08 | 0.18 |
| Avg. Return | 0.07% | 0.09% |
| Avg. Win | 0.77% | 0.48% |
| Avg. Loss | -0.64% | -0.38% |
| Win/Loss Ratio | 1.2 | 1.25 |
| Profit Ratio | 0.94 | 0.72 |
| Expected Daily | 0.07% | 0.08% |
| Expected Monthly | 1.27% | 1.53% |
| Expected Yearly | 8.57% | 10.37% |
| Kelly Criterion | 14.99% | 21.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.66% |
| Expected Shortfall (cVaR) | -1.72% | -0.86% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.25 | 0.56 |
| Gain/Pain (1M) | 2.6 | 8.53 |
| Payoff Ratio | 1.2 | 1.25 |
| Profit Factor | 1.25 | 1.56 |
| Common Sense Ratio | 1.24 | 1.77 |
| CPC Index | 0.8 | 1.1 |
| Tail Ratio | 0.99 | 1.13 |
| Outlier Win Ratio | 2.88 | 2.78 |
| Outlier Loss Ratio | 3.19 | 3.12 |
| MTD | 1.08% | 2.52% |
| 3M | 3.82% | 3.56% |
| 6M | 19.85% | 12.81% |
| YTD | 14.3% | 16.98% |
| 1Y | 17.87% | 21.82% |
| 3Y (ann.) | 18.02% | 22.02% |
| 5Y (ann.) | 18.02% | 22.02% |
| 10Y (ann.) | 18.02% | 22.02% |
| All-time (ann.) | 18.02% | 22.02% |
| Best Day | 2.91% | 1.13% |
| Worst Day | -2.7% | -1.29% |
| Best Month | 10.51% | 3.78% |
| Worst Month | -4.94% | -1.96% |
| Best Year | 14.3% | 16.98% |
| Worst Year | 3.13% | 4.14% |
| Avg. Drawdown | -1.71% | -0.79% |
| Avg. Drawdown Days | 13 | 9 |
| Recovery Factor | 1.94 | 6.17 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 2.63 |
| Avg. Up Month | 2.42% | 2.13% |
| Avg. Down Month | -1.03% | -0.43% |
| Win Days | 53.6% | 56.65% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.22 |
| Alpha | - | 0.16 |
| Correlation | - | 40.8% |
| Treynor Ratio | - | 97.3% |
| Year | SPY | BDMIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 4.14 | 1.32 | + |
| 2026 | 14.30 | 16.98 | 1.19 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-09-29 | 2025-12-03 | -3.24 | 66 |
| 2026-06-05 | 2026-08-03 | -2.97 | 60 |
| 2026-02-03 | 2026-02-25 | -2.69 | 23 |
| 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 |
| 2026-03-26 | 2026-03-31 | -0.85 | 6 |
| 2026-09-04 | 2026-09-10 | -0.83 | 7 |
| 2025-12-24 | 2026-01-02 | -0.55 | 10 |
| 2026-08-14 | 2026-08-14 | -0.51 | 1 |