| Metric | SPY | BDMIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 18.6% | 12.66% |
| CAGR﹪ | 40.67% | 26.92% |
| Sharpe | 2.32 | 2.75 |
| Prob. Sharpe Ratio | 95.04% | 97.23% |
| Smart Sharpe | 2.3 | 2.64 |
| Sortino | 3.78 | 4.41 |
| Smart Sortino | 3.75 | 4.24 |
| Sortino/√2 | 2.67 | 3.12 |
| Smart Sortino/√2 | 2.65 | 3.0 |
| Omega | 1.54 | 1.65 |
| Max Drawdown | -4.49% | -2.97% |
| Max DD Date | 2026-06-10 | 2026-06-26 |
| Max DD Period Start | 2026-06-03 | 2026-06-18 |
| Max DD Period End | 2026-07-31 | 2026-08-03 |
| Longest DD Days | 59 | 47 |
| Volatility (ann.) | 13.55% | 7.48% |
| R^2 | 0.24 | 0.24 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 9.05 | 9.07 |
| Skew | 0.1 | -0.17 |
| Kurtosis | 1.12 | -0.32 |
| Ulcer Performance Index | 11.86 | 12.37 |
| Risk-Adjusted Return | 40.67% | 28.63% |
| Risk-Return Ratio | 0.16 | 0.2 |
| Avg. Return | 0.14% | 0.1% |
| Avg. Win | 0.85% | 0.51% |
| Avg. Loss | -0.6% | -0.41% |
| Win/Loss Ratio | 1.41 | 1.24 |
| Profit Ratio | 1.12 | 0.76 |
| Expected Daily | 0.14% | 0.09% |
| Expected Monthly | 2.47% | 1.72% |
| Expected Yearly | 18.6% | 12.66% |
| Kelly Criterion | 21.4% | 22.01% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.68% |
| Expected Shortfall (cVaR) | -1.77% | -0.91% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.54 | 0.65 |
| Gain/Pain (1M) | 10.92 | 30.81 |
| Payoff Ratio | 1.41 | 1.24 |
| Profit Factor | 1.54 | 1.65 |
| Common Sense Ratio | 2.01 | 1.91 |
| CPC Index | 1.17 | 1.17 |
| Tail Ratio | 1.3 | 1.16 |
| Outlier Win Ratio | 3.21 | 2.59 |
| Outlier Loss Ratio | 3.16 | 2.67 |
| MTD | 1.08% | 2.52% |
| 3M | 3.82% | 3.56% |
| 6M | 18.6% | 12.66% |
| YTD | 18.6% | 12.66% |
| 1Y | 18.6% | 12.66% |
| 3Y (ann.) | 40.67% | 26.92% |
| 5Y (ann.) | 40.67% | 26.92% |
| 10Y (ann.) | 40.67% | 26.92% |
| All-time (ann.) | 40.67% | 26.92% |
| Best Day | 2.91% | 1.13% |
| Worst Day | -2.58% | -1.21% |
| Best Month | 10.51% | 3.26% |
| Worst Month | -1.03% | -0.43% |
| Best Year | 18.6% | 12.66% |
| Worst Year | 18.6% | 12.66% |
| Avg. Drawdown | -1.13% | -0.69% |
| Avg. Drawdown Days | 9 | 6 |
| Recovery Factor | 3.9 | 4.06 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 2.75 | 2.24 |
| Avg. Up Month | 3.91% | 2.41% |
| Avg. Down Month | -1.03% | -0.43% |
| Win Days | 53.97% | 56.78% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.27 |
| Alpha | - | 0.15 |
| Correlation | - | 49.19% |
| Treynor Ratio | - | 46.59% |
| Year | SPY | BDMIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 12.66 | 0.68 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-18 | 2026-08-03 | -2.97 | 47 |
| 2026-06-05 | 2026-06-16 | -2.36 | 12 |
| 2026-08-18 | 2026-09-02 | -1.66 | 16 |
| 2026-03-26 | 2026-03-31 | -0.85 | 6 |
| 2026-09-04 | 2026-09-10 | -0.83 | 7 |
| 2026-08-14 | 2026-08-14 | -0.51 | 1 |
| 2026-05-01 | 2026-05-04 | -0.51 | 4 |
| 2026-09-22 | 2026-09-22 | -0.50 | 1 |
| 2026-05-27 | 2026-05-27 | -0.44 | 1 |
| 2026-04-02 | 2026-04-07 | -0.39 | 6 |