| Metric | SPY | BIMBX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 86.0% |
| Cumulative Return | 14.39% | 5.55% |
| CAGR﹪ | 14.51% | 5.6% |
| Sharpe | 0.83 | 0.43 |
| Prob. Sharpe Ratio | 79.61% | 66.59% |
| Smart Sharpe | 0.82 | 0.42 |
| Sortino | 1.22 | 0.66 |
| Smart Sortino | 1.2 | 0.65 |
| Sortino/√2 | 0.86 | 0.47 |
| Smart Sortino/√2 | 0.85 | 0.46 |
| Omega | 1.2 | 1.24 |
| 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 | 2026-11-04 |
| Longest DD Days | 76 | 248 |
| Volatility (ann.) | 12.86% | 4.38% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 1.63 | 1.1 |
| Skew | -0.02 | 0.3 |
| Kurtosis | 0.78 | 1.43 |
| Ulcer Performance Index | 6.68 | 1.98 |
| Risk-Adjusted Return | 14.51% | 6.51% |
| Risk-Return Ratio | 0.07 | 0.08 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.72% | 0.26% |
| Avg. Loss | -0.57% | -0.25% |
| Win/Loss Ratio | 1.27 | 1.02 |
| Profit Ratio | 1.02 | 0.72 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.04% | 0.42% |
| Expected Yearly | 6.95% | 2.74% |
| Kelly Criterion | 14.09% | -0.24% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.43% |
| Expected Shortfall (cVaR) | -1.66% | -0.6% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.2 | 0.24 |
| Gain/Pain (1M) | 1.83 | 0.87 |
| Payoff Ratio | 1.27 | 1.02 |
| Profit Factor | 1.2 | 1.24 |
| Common Sense Ratio | 1.19 | 1.58 |
| CPC Index | 0.79 | 0.63 |
| Tail Ratio | 0.99 | 1.27 |
| Outlier Win Ratio | 2.84 | 3.87 |
| Outlier Loss Ratio | 3.01 | 2.95 |
| MTD | 1.47% | 0.28% |
| 3M | 1.46% | 2.61% |
| 6M | 6.94% | 3.51% |
| YTD | 13.33% | 3.61% |
| 1Y | 14.39% | 5.55% |
| 3Y (ann.) | 14.51% | 5.6% |
| 5Y (ann.) | 14.51% | 5.6% |
| 10Y (ann.) | 14.51% | 5.6% |
| All-time (ann.) | 14.51% | 5.6% |
| Best Day | 2.91% | 0.96% |
| Worst Day | -2.58% | -1.04% |
| Best Month | 10.51% | 4.03% |
| Worst Month | -4.94% | -2.96% |
| Best Year | 13.33% | 3.61% |
| Worst Year | 0.94% | 1.87% |
| Avg. Drawdown | -1.74% | -0.79% |
| Avg. Drawdown Days | 14 | 31 |
| Recovery Factor | 1.61 | 1.08 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.94 | 0.11 |
| Avg. Up Month | 0.78% | 0.82% |
| Avg. Down Month | -2.63% | -2.35% |
| Win Days | 52.0% | 49.3% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.06 |
| Alpha | - | 0.05 |
| Correlation | - | 17.09% |
| Treynor Ratio | - | 95.34% |
| Year | SPY | BIMBX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.87 | 2.00 | + |
| 2026 | 13.33 | 3.61 | 0.27 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-11-04 | -5.09 | 248 |
| 2025-11-28 | 2025-12-12 | -0.95 | 15 |
| 2025-11-13 | 2025-11-25 | -0.57 | 13 |
| 2025-12-31 | 2026-01-14 | -0.38 | 15 |
| 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 |
| 2026-02-04 | 2026-02-04 | -0.10 | 1 |
| 2025-12-19 | 2025-12-22 | -0.09 | 4 |
| 2026-02-19 | 2026-02-19 | -0.09 | 1 |