| Metric | SPY | BDMIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 70.69% | 94.58% |
| CAGR﹪ | 11.36% | 14.34% |
| Sharpe | 0.49 | 1.44 |
| Prob. Sharpe Ratio | 86.25% | 99.93% |
| Smart Sharpe | 0.47 | 1.44 |
| Sortino | 0.7 | 2.16 |
| Smart Sortino | 0.68 | 2.16 |
| Sortino/√2 | 0.5 | 1.53 |
| Smart Sortino/√2 | 0.48 | 1.53 |
| Omega | 1.14 | 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.) | 17.16% | 6.78% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.43 | 2.87 |
| Skew | 0.33 | -0.12 |
| Kurtosis | 9.05 | 0.49 |
| Ulcer Performance Index | 7.55 | 54.39 |
| Risk-Adjusted Return | 11.36% | 15.58% |
| Risk-Return Ratio | 0.04 | 0.13 |
| Avg. Return | 0.06% | 0.06% |
| Avg. Win | 0.8% | 0.41% |
| Avg. Loss | -0.76% | -0.37% |
| Win/Loss Ratio | 1.05 | 1.11 |
| Profit Ratio | 0.86 | 0.67 |
| Expected Daily | 0.04% | 0.05% |
| Expected Monthly | 0.88% | 1.1% |
| Expected Yearly | 9.32% | 11.73% |
| Kelly Criterion | 9.03% | 15.33% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.65% |
| Expected Shortfall (cVaR) | -2.58% | -0.89% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.39 |
| Gain/Pain (1M) | 0.74 | 4.53 |
| Payoff Ratio | 1.05 | 1.11 |
| Profit Factor | 1.14 | 1.39 |
| Common Sense Ratio | 1.13 | 1.64 |
| CPC Index | 0.64 | 0.85 |
| Tail Ratio | 1.0 | 1.19 |
| Outlier Win Ratio | 3.42 | 3.2 |
| Outlier Loss Ratio | 3.8 | 3.04 |
| MTD | 1.47% | -0.51% |
| 3M | 1.46% | 2.95% |
| 6M | 6.94% | 8.3% |
| YTD | 13.33% | 16.1% |
| 1Y | 13.43% | 21.4% |
| 3Y (ann.) | 20.78% | 19.35% |
| 5Y (ann.) | 12.3% | 14.61% |
| 10Y (ann.) | 11.36% | 14.34% |
| All-time (ann.) | 11.36% | 14.34% |
| Best Day | 10.5% | 1.36% |
| Worst Day | -5.85% | -1.63% |
| Best Month | 10.51% | 4.28% |
| Worst Month | -10.5% | -1.96% |
| Best Year | 26.18% | 21.38% |
| Worst Year | -20.18% | 0.17% |
| Avg. Drawdown | -1.98% | -0.87% |
| Avg. Drawdown Days | 21 | 12 |
| Recovery Factor | 2.31 | 13.56 |
| Ulcer Index | 0.09 | 0.02 |
| Serenity Index | 0.34 | 4.18 |
| Avg. Up Month | 3.85% | 2.03% |
| Avg. Down Month | -3.08% | -0.75% |
| Win Days | 53.44% | 55.39% |
| Win Month | 62.3% | 72.13% |
| Win Quarter | 71.43% | 85.71% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.06 |
| Alpha | - | 0.13 |
| Correlation | - | 14.39% |
| Treynor Ratio | - | 1662.33% |
| Year | SPY | BDMIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.17 | 0.10 | - |
| 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 | 13.33 | 16.10 | 1.21 | + |
| 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 |
| 2026-10-05 | 2026-11-04 | -3.14 | 31 |
| 2026-06-05 | 2026-08-03 | -2.97 | 60 |
| 2026-02-03 | 2026-02-25 | -2.69 | 23 |
| 2021-11-19 | 2022-01-27 | -2.39 | 70 |
| 2024-11-15 | 2024-12-04 | -2.36 | 20 |