| Metric | SPY | BIMBX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 82.0% |
| Cumulative Return | 82.0% | 18.57% |
| CAGR﹪ | 12.81% | 3.49% |
| Sharpe | 0.57 | -0.08 |
| Prob. Sharpe Ratio | 89.76% | 42.72% |
| Smart Sharpe | 0.55 | -0.08 |
| Sortino | 0.82 | -0.12 |
| Smart Sortino | 0.79 | -0.11 |
| Sortino/√2 | 0.58 | -0.08 |
| Smart Sortino/√2 | 0.56 | -0.08 |
| Omega | 1.15 | 1.17 |
| 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.) | 17.17% | 3.68% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.52 |
| Skew | 0.32 | -0.03 |
| Kurtosis | 9.02 | 1.23 |
| Ulcer Performance Index | 8.76 | 7.66 |
| Risk-Adjusted Return | 12.81% | 4.25% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.86% | 0.22% |
| Avg. Loss | -0.87% | -0.24% |
| Win/Loss Ratio | 0.99 | 0.93 |
| Profit Ratio | 0.83 | 0.44 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 0.99% | 0.28% |
| Expected Yearly | 10.5% | 2.88% |
| Kelly Criterion | 7.35% | 2.72% |
| 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 | 0.15 | 0.17 |
| Gain/Pain (1M) | 0.81 | 0.73 |
| Payoff Ratio | 0.99 | 0.93 |
| Profit Factor | 1.15 | 1.17 |
| Common Sense Ratio | 1.16 | 1.2 |
| CPC Index | 0.61 | 0.58 |
| Tail Ratio | 1.0 | 1.02 |
| Outlier Win Ratio | 3.43 | 3.88 |
| Outlier Loss Ratio | 3.77 | 2.76 |
| MTD | 1.08% | -0.58% |
| 3M | 3.82% | 0.39% |
| 6M | 19.85% | -1.04% |
| YTD | 14.3% | 0.49% |
| 1Y | 17.78% | 2.86% |
| 3Y (ann.) | 24.86% | 5.74% |
| 5Y (ann.) | 12.49% | 3.55% |
| 10Y (ann.) | 12.81% | 3.49% |
| All-time (ann.) | 12.81% | 3.49% |
| Best Day | 10.5% | 0.96% |
| Worst Day | -5.85% | -1.04% |
| Best Month | 10.51% | 3.05% |
| Worst Month | -10.5% | -2.96% |
| Best Year | 26.18% | 6.82% |
| Worst Year | -20.18% | -3.23% |
| Avg. Drawdown | -1.94% | -0.74% |
| Avg. Drawdown Days | 21 | 36 |
| Recovery Factor | 2.55 | 2.57 |
| Ulcer Index | 0.09 | 0.02 |
| Serenity Index | 0.37 | 0.31 |
| Avg. Up Month | 4.03% | 1.21% |
| Avg. Down Month | -4.75% | -1.32% |
| Win Days | 54.0% | 53.2% |
| Win Month | 63.93% | 59.02% |
| Win Quarter | 66.67% | 57.14% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.06 |
| Alpha | - | 0.03 |
| Correlation | - | 27.1% |
| Treynor Ratio | - | 319.93% |
| Year | SPY | BIMBX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 2.14 | 0.28 | - |
| 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 | 14.30 | 0.49 | 0.03 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-17 | 2023-11-21 | -6.77 | 705 |
| 2026-03-02 | 2026-09-22 | -5.09 | 205 |
| 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 |
| 2025-11-28 | 2025-12-12 | -0.95 | 15 |
| 2024-08-05 | 2024-08-12 | -0.86 | 8 |
| 2021-09-24 | 2021-10-19 | -0.76 | 26 |