| Metric | SPY | BDMIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 197.48% | 92.85% |
| CAGR﹪ | 15.87% | 9.28% |
| Sharpe | 0.71 | 0.97 |
| Prob. Sharpe Ratio | 97.17% | 99.56% |
| Smart Sharpe | 0.61 | 0.94 |
| Sortino | 1.0 | 1.41 |
| Smart Sortino | 0.86 | 1.37 |
| Sortino/√2 | 0.7 | 1.0 |
| Smart Sortino/√2 | 0.61 | 0.97 |
| Omega | 1.18 | 1.26 |
| Max Drawdown | -33.72% | -8.8% |
| Max DD Date | 2020-03-23 | 2020-03-18 |
| Max DD Period Start | 2020-02-20 | 2019-06-13 |
| Max DD Period End | 2020-08-07 | 2021-03-04 |
| Longest DD Days | 714 | 631 |
| Volatility (ann.) | 19.43% | 6.42% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.47 | 1.06 |
| Skew | -0.29 | -0.19 |
| Kurtosis | 13.99 | 1.27 |
| Ulcer Performance Index | 23.05 | 30.32 |
| Risk-Adjusted Return | 15.87% | 10.2% |
| Risk-Return Ratio | 0.05 | 0.09 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.82% | 0.38% |
| Avg. Loss | -0.87% | -0.35% |
| Win/Loss Ratio | 0.94 | 1.08 |
| Profit Ratio | 0.78 | 0.63 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.22% | 0.73% |
| Expected Yearly | 14.6% | 8.56% |
| Kelly Criterion | 7.44% | 11.39% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.63% |
| Expected Shortfall (cVaR) | -3.2% | -0.88% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.26 |
| Gain/Pain (1M) | 1.1 | 1.96 |
| Payoff Ratio | 0.94 | 1.08 |
| Profit Factor | 1.18 | 1.26 |
| Common Sense Ratio | 1.13 | 1.45 |
| CPC Index | 0.61 | 0.74 |
| Tail Ratio | 0.96 | 1.15 |
| Outlier Win Ratio | 3.7 | 3.49 |
| Outlier Loss Ratio | 4.12 | 3.02 |
| 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.) | 15.87% | 9.28% |
| All-time (ann.) | 15.87% | 9.28% |
| Best Day | 10.5% | 1.36% |
| Worst Day | -10.94% | -2.2% |
| Best Month | 12.7% | 4.28% |
| Worst Month | -12.49% | -3.21% |
| Best Year | 28.73% | 21.38% |
| Worst Year | -20.18% | -4.2% |
| Avg. Drawdown | -1.82% | -0.98% |
| Avg. Drawdown Days | 16 | 21 |
| Recovery Factor | 3.65 | 7.64 |
| Ulcer Index | 0.09 | 0.03 |
| Serenity Index | 0.87 | 1.37 |
| Avg. Up Month | 4.16% | 1.76% |
| Avg. Down Month | -4.22% | -1.35% |
| Win Days | 55.13% | 54.07% |
| Win Month | 65.56% | 66.67% |
| Win Quarter | 77.42% | 64.52% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.04 |
| Alpha | - | 0.08 |
| Correlation | - | 11.99% |
| Treynor Ratio | - | 2343.41% |
| Year | SPY | BDMIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | -4.20 | -0.26 | - |
| 2020 | 18.33 | 0.29 | 0.02 | - |
| 2021 | 28.73 | 3.34 | 0.12 | - |
| 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 |
|---|---|---|---|
| 2019-06-13 | 2021-03-04 | -8.80 | 631 |
| 2021-05-14 | 2023-02-01 | -7.53 | 629 |
| 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 |
| 2021-03-31 | 2021-05-05 | -2.46 | 36 |