| Metric | SPY | BILPX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 78.0% |
| Cumulative Return | 86.58% | 23.67% |
| CAGR﹪ | 13.36% | 4.37% |
| Sharpe | 0.59 | 0.14 |
| Prob. Sharpe Ratio | 90.85% | 62.15% |
| Smart Sharpe | 0.58 | 0.13 |
| Sortino | 0.86 | 0.2 |
| Smart Sortino | 0.83 | 0.19 |
| Sortino/√2 | 0.61 | 0.14 |
| Smart Sortino/√2 | 0.59 | 0.13 |
| Omega | 1.16 | 1.22 |
| 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.) | 17.2% | 4.03% |
| R^2 | 0.44 | 0.44 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 1.01 |
| Skew | 0.32 | 0.01 |
| Kurtosis | 8.95 | 13.24 |
| Ulcer Performance Index | 10.24 | 24.02 |
| Risk-Adjusted Return | 13.36% | 5.6% |
| 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 | 0.93 | 0.96 |
| Profit Ratio | 0.83 | 0.37 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.35% |
| Expected Yearly | 10.95% | 3.6% |
| Kelly Criterion | 4.74% | 7.09% |
| 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 | 0.16 | 0.22 |
| Gain/Pain (1M) | 0.87 | 1.66 |
| Payoff Ratio | 0.93 | 0.96 |
| Profit Factor | 1.16 | 1.22 |
| Common Sense Ratio | 1.17 | 1.6 |
| CPC Index | 0.58 | 0.64 |
| Tail Ratio | 1.01 | 1.3 |
| Outlier Win Ratio | 3.41 | 4.28 |
| Outlier Loss Ratio | 3.77 | 2.84 |
| MTD | 1.08% | 0.19% |
| 3M | 3.82% | 1.23% |
| 6M | 19.85% | 3.17% |
| YTD | 14.3% | 3.37% |
| 1Y | 17.78% | 5.44% |
| 3Y (ann.) | 24.86% | 7.18% |
| 5Y (ann.) | 13.06% | 4.44% |
| 10Y (ann.) | 13.36% | 4.37% |
| All-time (ann.) | 13.36% | 4.37% |
| 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 | -1.89% | -0.61% |
| Avg. Drawdown Days | 20 | 19 |
| Recovery Factor | 2.85 | 5.03 |
| Ulcer Index | 0.08 | 0.01 |
| Serenity Index | 0.47 | 2.25 |
| Avg. Up Month | 4.25% | 0.88% |
| Avg. Down Month | -4.64% | -0.68% |
| Win Days | 54.04% | 54.47% |
| Win Month | 63.93% | 65.57% |
| Win Quarter | 66.67% | 80.95% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.16 |
| Alpha | - | 0.02 |
| Correlation | - | 66.56% |
| Treynor Ratio | - | 151.93% |
| Year | SPY | BILPX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 0.40 | 0.05 | - |
| 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 | 14.30 | 3.37 | 0.24 | - |
| 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 | 2026-02-25 | -1.53 | 34 |
| 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 | 2024-11-22 | -1.36 | 36 |