| Metric | SPY | BIMBX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 81.0% |
| Cumulative Return | 197.48% | 34.95% |
| CAGR﹪ | 15.87% | 4.13% |
| Sharpe | 0.71 | 0.32 |
| Prob. Sharpe Ratio | 97.17% | 80.7% |
| Smart Sharpe | 0.61 | 0.28 |
| Sortino | 1.0 | 0.45 |
| Smart Sortino | 0.86 | 0.4 |
| Sortino/√2 | 0.7 | 0.32 |
| Smart Sortino/√2 | 0.61 | 0.28 |
| Omega | 1.18 | 1.21 |
| Max Drawdown | -33.72% | -8.73% |
| Max DD Date | 2020-03-23 | 2020-03-25 |
| Max DD Period Start | 2020-02-20 | 2020-03-09 |
| Max DD Period End | 2020-08-07 | 2020-04-27 |
| Longest DD Days | 714 | 705 |
| Volatility (ann.) | 19.43% | 3.93% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.47 | 0.47 |
| Skew | -0.29 | -0.08 |
| Kurtosis | 13.99 | 6.64 |
| Ulcer Performance Index | 23.05 | 15.59 |
| Risk-Adjusted Return | 15.87% | 5.1% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.89% | 0.22% |
| Avg. Loss | -0.98% | -0.24% |
| Win/Loss Ratio | 0.91 | 0.91 |
| Profit Ratio | 0.78 | 0.4 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.22% | 0.33% |
| Expected Yearly | 14.6% | 3.82% |
| Kelly Criterion | 5.92% | 4.77% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.39% |
| Expected Shortfall (cVaR) | -3.2% | -0.59% |
| Max Consecutive Wins | 11 | 7 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.18 | 0.21 |
| Gain/Pain (1M) | 1.1 | 0.9 |
| Payoff Ratio | 0.91 | 0.91 |
| Profit Factor | 1.18 | 1.21 |
| Common Sense Ratio | 1.13 | 1.25 |
| CPC Index | 0.59 | 0.6 |
| Tail Ratio | 0.96 | 1.04 |
| Outlier Win Ratio | 3.7 | 3.93 |
| Outlier Loss Ratio | 4.12 | 2.75 |
| 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.) | 15.87% | 4.13% |
| All-time (ann.) | 15.87% | 4.13% |
| Best Day | 10.5% | 2.07% |
| Worst Day | -10.94% | -1.56% |
| Best Month | 12.7% | 5.16% |
| Worst Month | -12.49% | -2.96% |
| Best Year | 28.73% | 6.82% |
| Worst Year | -20.18% | -3.23% |
| Avg. Drawdown | -1.82% | -0.79% |
| Avg. Drawdown Days | 16 | 33 |
| Recovery Factor | 3.65 | 3.5 |
| Ulcer Index | 0.09 | 0.02 |
| Serenity Index | 0.87 | 0.66 |
| Avg. Up Month | 3.99% | 1.19% |
| Avg. Down Month | -5.0% | -1.33% |
| Win Days | 55.13% | 54.52% |
| Win Month | 65.56% | 61.11% |
| Win Quarter | 77.42% | 58.06% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.06 |
| Alpha | - | 0.03 |
| Correlation | - | 29.62% |
| Treynor Ratio | - | 583.84% |
| Year | SPY | BIMBX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 2.52 | 0.15 | - |
| 2020 | 18.33 | 3.57 | 0.19 | - |
| 2021 | 28.73 | 6.18 | 0.22 | - |
| 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 |
|---|---|---|---|
| 2020-03-09 | 2020-04-27 | -8.73 | 50 |
| 2021-12-17 | 2023-11-21 | -6.77 | 705 |
| 2026-03-02 | 2026-11-04 | -5.09 | 248 |
| 2020-08-04 | 2021-05-04 | -3.92 | 274 |
| 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 |
| 2021-08-17 | 2021-12-02 | -1.70 | 108 |
| 2024-04-05 | 2024-06-17 | -1.56 | 74 |
| 2019-07-05 | 2019-08-29 | -1.06 | 56 |