| Metric | SPY | BILPX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 78.0% |
| Cumulative Return | 74.99% | 25.28% |
| CAGR﹪ | 11.91% | 4.64% |
| Sharpe | 0.52 | 0.19 |
| Prob. Sharpe Ratio | 87.6% | 66.17% |
| Smart Sharpe | 0.5 | 0.18 |
| Sortino | 0.74 | 0.27 |
| Smart Sortino | 0.72 | 0.26 |
| Sortino/√2 | 0.53 | 0.19 |
| Smart Sortino/√2 | 0.51 | 0.18 |
| Omega | 1.14 | 1.24 |
| Max Drawdown | -24.5% | -4.31% |
| Max DD Date | 2022-10-12 | 2022-06-16 |
| Max DD Period Start | 2022-01-04 | 2022-03-30 |
| Max DD Period End | 2023-12-12 | 2022-08-11 |
| Longest DD Days | 708 | 207 |
| Volatility (ann.) | 17.19% | 4.04% |
| R^2 | 0.44 | 0.44 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 1.08 |
| Skew | 0.33 | 0.0 |
| Kurtosis | 8.98 | 13.11 |
| Ulcer Performance Index | 8.86 | 25.64 |
| Risk-Adjusted Return | 11.91% | 5.95% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.94% | 0.23% |
| Avg. Loss | -1.01% | -0.24% |
| Win/Loss Ratio | 0.94 | 0.97 |
| Profit Ratio | 0.86 | 0.36 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.37% |
| Expected Yearly | 9.77% | 3.83% |
| Kelly Criterion | 3.79% | 7.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.4% |
| Expected Shortfall (cVaR) | -2.58% | -0.61% |
| Max Consecutive Wins | 10 | 6 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.14 | 0.24 |
| Gain/Pain (1M) | 0.79 | 1.71 |
| Payoff Ratio | 0.94 | 0.97 |
| Profit Factor | 1.14 | 1.24 |
| Common Sense Ratio | 1.15 | 1.61 |
| CPC Index | 0.57 | 0.66 |
| Tail Ratio | 1.0 | 1.3 |
| Outlier Win Ratio | 3.4 | 4.26 |
| Outlier Loss Ratio | 3.8 | 2.83 |
| MTD | 1.47% | 0.94% |
| 3M | 1.46% | 1.8% |
| 6M | 6.94% | 3.25% |
| YTD | 13.33% | 5.04% |
| 1Y | 13.43% | 6.63% |
| 3Y (ann.) | 20.78% | 6.82% |
| 5Y (ann.) | 12.86% | 4.82% |
| 10Y (ann.) | 11.91% | 4.64% |
| All-time (ann.) | 11.91% | 4.64% |
| Best Day | 10.5% | 2.13% |
| Worst Day | -5.85% | -2.28% |
| Best Month | 10.51% | 2.58% |
| Worst Month | -9.24% | -2.46% |
| Best Year | 26.18% | 8.43% |
| Worst Year | -18.18% | 0.01% |
| Avg. Drawdown | -1.94% | -0.61% |
| Avg. Drawdown Days | 21 | 19 |
| Recovery Factor | 2.58 | 5.33 |
| Ulcer Index | 0.08 | 0.01 |
| Serenity Index | 0.43 | 2.38 |
| Avg. Up Month | 4.17% | 0.93% |
| Avg. Down Month | -4.58% | -0.71% |
| Win Days | 53.48% | 54.69% |
| Win Month | 62.3% | 65.57% |
| Win Quarter | 71.43% | 85.71% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.16 |
| Alpha | - | 0.03 |
| Correlation | - | 66.63% |
| Treynor Ratio | - | 161.64% |
| Year | SPY | BILPX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.10 | 0.06 | - |
| 2022 | -18.18 | 0.01 | -0.00 | + |
| 2023 | 26.18 | 5.37 | 0.21 | - |
| 2024 | 24.89 | 4.28 | 0.17 | - |
| 2025 | 17.72 | 8.43 | 0.48 | - |
| 2026 | 13.33 | 5.04 | 0.38 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-03-30 | 2022-08-11 | -4.31 | 135 |
| 2023-02-03 | 2023-08-28 | -3.46 | 207 |
| 2025-02-20 | 2025-04-23 | -3.33 | 63 |
| 2022-08-17 | 2023-01-11 | -2.40 | 148 |
| 2023-09-05 | 2023-11-20 | -1.83 | 77 |
| 2026-01-23 | 2026-02-17 | -1.53 | 26 |
| 2024-02-27 | 2024-05-02 | -1.49 | 66 |
| 2022-01-03 | 2022-02-09 | -1.41 | 38 |
| 2022-03-01 | 2022-03-21 | -1.41 | 21 |
| 2024-10-18 | 2024-11-27 | -1.36 | 41 |