| Metric | SPY | BIMBX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 83.0% |
| Cumulative Return | 17.87% | 2.57% |
| CAGR﹪ | 18.02% | 2.59% |
| Sharpe | 1.04 | -0.32 |
| Prob. Sharpe Ratio | 84.73% | 37.39% |
| Smart Sharpe | 1.01 | -0.32 |
| Sortino | 1.51 | -0.47 |
| Smart Sortino | 1.47 | -0.47 |
| Sortino/√2 | 1.07 | -0.33 |
| Smart Sortino/√2 | 1.04 | -0.33 |
| Omega | 1.25 | 1.12 |
| Max Drawdown | -8.88% | -5.09% |
| Max DD Date | 2026-03-30 | 2026-05-15 |
| Max DD Period Start | 2026-01-28 | 2026-03-02 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 205 |
| Volatility (ann.) | 12.99% | 4.1% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 2.03 | 0.51 |
| Skew | -0.15 | 0.27 |
| Kurtosis | 1.05 | 2.14 |
| Ulcer Performance Index | 8.3 | 1.0 |
| Risk-Adjusted Return | 18.02% | 3.12% |
| Risk-Return Ratio | 0.08 | 0.04 |
| Avg. Return | 0.06% | 0.01% |
| Avg. Win | 0.72% | 0.24% |
| Avg. Loss | -0.58% | -0.25% |
| Win/Loss Ratio | 1.23 | 0.97 |
| Profit Ratio | 0.94 | 0.61 |
| Expected Daily | 0.07% | 0.01% |
| Expected Monthly | 1.27% | 0.2% |
| Expected Yearly | 8.57% | 1.28% |
| Kelly Criterion | 15.84% | -3.86% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.41% |
| Expected Shortfall (cVaR) | -1.72% | -0.62% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.25 | 0.12 |
| Gain/Pain (1M) | 2.6 | 0.49 |
| Payoff Ratio | 1.23 | 0.97 |
| Profit Factor | 1.25 | 1.12 |
| Common Sense Ratio | 1.24 | 1.4 |
| CPC Index | 0.82 | 0.53 |
| Tail Ratio | 0.99 | 1.25 |
| Outlier Win Ratio | 2.88 | 4.47 |
| Outlier Loss Ratio | 3.19 | 2.95 |
| MTD | 1.08% | -0.58% |
| 3M | 3.82% | 0.39% |
| 6M | 19.85% | -1.04% |
| YTD | 14.3% | 0.49% |
| 1Y | 17.87% | 2.57% |
| 3Y (ann.) | 18.02% | 2.59% |
| 5Y (ann.) | 18.02% | 2.59% |
| 10Y (ann.) | 18.02% | 2.59% |
| All-time (ann.) | 18.02% | 2.59% |
| Best Day | 2.91% | 0.96% |
| Worst Day | -2.7% | -1.04% |
| Best Month | 10.51% | 3.05% |
| Worst Month | -4.94% | -2.96% |
| Best Year | 14.3% | 2.07% |
| Worst Year | 3.13% | 0.49% |
| Avg. Drawdown | -1.71% | -0.75% |
| Avg. Drawdown Days | 13 | 23 |
| Recovery Factor | 1.94 | 0.51 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.16 | 0.05 |
| Avg. Up Month | 0.45% | 0.84% |
| Avg. Down Month | -4.94% | -2.96% |
| Win Days | 53.6% | 48.79% |
| Win Month | 76.92% | 53.85% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.06 |
| Alpha | - | 0.02 |
| Correlation | - | 17.55% |
| Treynor Ratio | - | 46.39% |
| Year | SPY | BIMBX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 2.07 | 0.66 | - |
| 2026 | 14.30 | 0.49 | 0.03 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-09-22 | -5.09 | 205 |
| 2025-10-24 | 2025-11-10 | -0.95 | 18 |
| 2025-11-28 | 2025-12-12 | -0.95 | 15 |
| 2025-10-01 | 2025-10-15 | -0.58 | 15 |
| 2025-11-13 | 2025-11-25 | -0.57 | 13 |
| 2025-12-31 | 2026-01-14 | -0.38 | 15 |
| 2025-09-24 | 2025-09-26 | -0.29 | 3 |
| 2026-01-16 | 2026-01-22 | -0.29 | 7 |
| 2026-01-28 | 2026-02-02 | -0.19 | 6 |
| 2026-02-09 | 2026-02-10 | -0.19 | 2 |