| Metric | SPY | BDMIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 82.0% | 94.39% |
| CAGR﹪ | 12.81% | 14.31% |
| Sharpe | 0.57 | 1.46 |
| Prob. Sharpe Ratio | 89.76% | 99.94% |
| Smart Sharpe | 0.55 | 1.45 |
| Sortino | 0.82 | 2.19 |
| Smart Sortino | 0.79 | 2.18 |
| Sortino/√2 | 0.58 | 1.55 |
| Smart Sortino/√2 | 0.56 | 1.54 |
| Omega | 1.15 | 1.39 |
| Max Drawdown | -26.35% | -4.99% |
| Max DD Date | 2022-10-12 | 2022-08-12 |
| Max DD Period Start | 2022-01-04 | 2022-02-24 |
| Max DD Period End | 2023-12-18 | 2022-12-22 |
| Longest DD Days | 714 | 302 |
| Volatility (ann.) | 17.17% | 6.73% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.49 | 2.87 |
| Skew | 0.32 | -0.11 |
| Kurtosis | 9.02 | 0.47 |
| Ulcer Performance Index | 8.76 | 54.18 |
| Risk-Adjusted Return | 12.81% | 15.56% |
| Risk-Return Ratio | 0.05 | 0.13 |
| Avg. Return | 0.06% | 0.06% |
| Avg. Win | 0.8% | 0.41% |
| Avg. Loss | -0.77% | -0.37% |
| Win/Loss Ratio | 1.04 | 1.1 |
| Profit Ratio | 0.83 | 0.66 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 0.99% | 1.1% |
| Expected Yearly | 10.5% | 11.72% |
| Kelly Criterion | 9.68% | 15.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.64% |
| Expected Shortfall (cVaR) | -2.58% | -0.88% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.15 | 0.39 |
| Gain/Pain (1M) | 0.81 | 4.55 |
| Payoff Ratio | 1.04 | 1.1 |
| Profit Factor | 1.15 | 1.39 |
| Common Sense Ratio | 1.16 | 1.64 |
| CPC Index | 0.64 | 0.85 |
| Tail Ratio | 1.0 | 1.18 |
| Outlier Win Ratio | 3.43 | 3.23 |
| Outlier Loss Ratio | 3.77 | 3.0 |
| MTD | 1.08% | 2.52% |
| 3M | 3.82% | 3.56% |
| 6M | 19.85% | 12.81% |
| YTD | 14.3% | 16.98% |
| 1Y | 17.78% | 21.91% |
| 3Y (ann.) | 24.86% | 21.27% |
| 5Y (ann.) | 12.49% | 14.91% |
| 10Y (ann.) | 12.81% | 14.31% |
| All-time (ann.) | 12.81% | 14.31% |
| Best Day | 10.5% | 1.36% |
| Worst Day | -5.85% | -1.63% |
| Best Month | 10.51% | 4.28% |
| Worst Month | -10.5% | -2.13% |
| Best Year | 26.18% | 21.38% |
| Worst Year | -20.18% | -0.68% |
| Avg. Drawdown | -1.94% | -0.89% |
| Avg. Drawdown Days | 21 | 13 |
| Recovery Factor | 2.55 | 13.54 |
| Ulcer Index | 0.09 | 0.02 |
| Serenity Index | 0.37 | 4.13 |
| Avg. Up Month | 3.87% | 2.0% |
| Avg. Down Month | -3.45% | -0.91% |
| Win Days | 54.0% | 55.49% |
| Win Month | 63.93% | 75.41% |
| Win Quarter | 66.67% | 85.71% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.06 |
| Alpha | - | 0.13 |
| Correlation | - | 14.23% |
| Treynor Ratio | - | 1692.72% |
| Year | SPY | BDMIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -0.68 | -0.09 | - |
| 2022 | -20.18 | 1.71 | -0.08 | + |
| 2023 | 26.18 | 14.58 | 0.56 | - |
| 2024 | 24.89 | 21.38 | 0.86 | - |
| 2025 | 17.72 | 18.27 | 1.03 | + |
| 2026 | 14.30 | 16.98 | 1.19 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-24 | 2022-12-22 | -4.99 | 302 |
| 2024-08-01 | 2024-10-09 | -4.07 | 70 |
| 2025-06-03 | 2025-08-05 | -3.60 | 64 |
| 2025-02-12 | 2025-03-20 | -3.50 | 37 |
| 2025-09-29 | 2025-12-03 | -3.24 | 66 |
| 2026-06-18 | 2026-08-03 | -2.97 | 47 |
| 2026-02-03 | 2026-02-25 | -2.69 | 23 |
| 2021-09-24 | 2022-02-02 | -2.47 | 132 |
| 2024-11-15 | 2024-12-03 | -2.36 | 19 |
| 2026-06-05 | 2026-06-16 | -2.36 | 12 |