| Metric | SPY | BIMBX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 82.0% |
| Cumulative Return | 70.69% | 22.14% |
| CAGR﹪ | 11.36% | 4.11% |
| Sharpe | 0.49 | 0.06 |
| Prob. Sharpe Ratio | 86.25% | 55.51% |
| Smart Sharpe | 0.47 | 0.06 |
| Sortino | 0.7 | 0.09 |
| Smart Sortino | 0.68 | 0.09 |
| Sortino/√2 | 0.5 | 0.06 |
| Smart Sortino/√2 | 0.48 | 0.06 |
| Omega | 1.14 | 1.2 |
| Max Drawdown | -26.35% | -6.77% |
| Max DD Date | 2022-10-12 | 2022-09-27 |
| Max DD Period Start | 2022-01-04 | 2021-12-17 |
| Max DD Period End | 2023-12-18 | 2023-11-21 |
| Longest DD Days | 714 | 705 |
| Volatility (ann.) | 17.16% | 3.75% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.43 | 0.61 |
| Skew | 0.33 | -0.01 |
| Kurtosis | 9.05 | 1.13 |
| Ulcer Performance Index | 7.55 | 8.95 |
| Risk-Adjusted Return | 11.36% | 5.01% |
| Risk-Return Ratio | 0.04 | 0.07 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.86% | 0.22% |
| Avg. Loss | -0.85% | -0.24% |
| Win/Loss Ratio | 1.01 | 0.94 |
| Profit Ratio | 0.86 | 0.45 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.88% | 0.33% |
| Expected Yearly | 9.32% | 3.39% |
| Kelly Criterion | 7.12% | 3.66% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.37% |
| Expected Shortfall (cVaR) | -2.58% | -0.48% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.14 | 0.2 |
| Gain/Pain (1M) | 0.74 | 0.83 |
| Payoff Ratio | 1.01 | 0.94 |
| Profit Factor | 1.14 | 1.2 |
| Common Sense Ratio | 1.13 | 1.24 |
| CPC Index | 0.61 | 0.6 |
| Tail Ratio | 1.0 | 1.03 |
| Outlier Win Ratio | 3.42 | 3.79 |
| Outlier Loss Ratio | 3.8 | 2.76 |
| MTD | 1.47% | 0.28% |
| 3M | 1.46% | 2.61% |
| 6M | 6.94% | 3.51% |
| YTD | 13.33% | 3.61% |
| 1Y | 13.43% | 5.55% |
| 3Y (ann.) | 20.78% | 5.82% |
| 5Y (ann.) | 12.3% | 3.95% |
| 10Y (ann.) | 11.36% | 4.11% |
| All-time (ann.) | 11.36% | 4.11% |
| Best Day | 10.5% | 0.96% |
| Worst Day | -5.85% | -1.04% |
| Best Month | 10.51% | 4.03% |
| Worst Month | -10.5% | -2.96% |
| Best Year | 26.18% | 6.82% |
| Worst Year | -20.18% | -3.23% |
| Avg. Drawdown | -1.98% | -0.77% |
| Avg. Drawdown Days | 21 | 40 |
| Recovery Factor | 2.31 | 3.01 |
| Ulcer Index | 0.09 | 0.02 |
| Serenity Index | 0.34 | 0.36 |
| Avg. Up Month | 3.83% | 1.21% |
| Avg. Down Month | -4.55% | -1.4% |
| Win Days | 53.44% | 53.33% |
| Win Month | 62.3% | 60.66% |
| Win Quarter | 71.43% | 57.14% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.06 |
| Alpha | - | 0.03 |
| Correlation | - | 25.81% |
| Treynor Ratio | - | 392.62% |
| Year | SPY | BIMBX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 2.04 | 1.18 | + |
| 2022 | -20.18 | -3.23 | 0.16 | + |
| 2023 | 26.18 | 6.44 | 0.25 | - |
| 2024 | 24.89 | 6.82 | 0.27 | - |
| 2025 | 17.72 | 5.00 | 0.28 | - |
| 2026 | 13.33 | 3.61 | 0.27 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-17 | 2023-11-21 | -6.77 | 705 |
| 2026-03-02 | 2026-11-04 | -5.09 | 248 |
| 2025-03-04 | 2025-06-30 | -2.87 | 119 |
| 2024-10-02 | 2025-02-21 | -2.79 | 143 |
| 2025-07-02 | 2025-11-11 | -2.00 | 133 |
| 2024-04-05 | 2024-06-17 | -1.56 | 74 |
| 2024-06-26 | 2024-07-10 | -0.97 | 15 |
| 2025-11-13 | 2025-12-12 | -0.95 | 30 |
| 2024-08-05 | 2024-08-12 | -0.86 | 8 |
| 2024-01-16 | 2024-01-26 | -0.70 | 11 |