| Metric | SPY | BIMBX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 81.0% |
| Cumulative Return | 200.03% | 30.88% |
| CAGR﹪ | 16.3% | 3.77% |
| Sharpe | 0.72 | 0.23 |
| Prob. Sharpe Ratio | 97.33% | 73.21% |
| Smart Sharpe | 0.62 | 0.2 |
| Sortino | 1.02 | 0.32 |
| Smart Sortino | 0.88 | 0.28 |
| Sortino/√2 | 0.72 | 0.23 |
| Smart Sortino/√2 | 0.62 | 0.2 |
| Omega | 1.18 | 1.19 |
| 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.) | 19.54% | 3.9% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.48 | 0.43 |
| Skew | -0.29 | -0.1 |
| Kurtosis | 13.9 | 6.97 |
| Ulcer Performance Index | 23.16 | 13.9 |
| Risk-Adjusted Return | 16.3% | 4.65% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.9% | 0.22% |
| Avg. Loss | -0.99% | -0.24% |
| Win/Loss Ratio | 0.9 | 0.91 |
| Profit Ratio | 0.77 | 0.4 |
| Expected Daily | 0.06% | 0.01% |
| Expected Monthly | 1.26% | 0.31% |
| Expected Yearly | 14.72% | 3.42% |
| Kelly Criterion | 5.77% | 4.39% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -0.39% |
| Expected Shortfall (cVaR) | -3.2% | -0.6% |
| Max Consecutive Wins | 11 | 7 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.18 | 0.19 |
| Gain/Pain (1M) | 1.12 | 0.84 |
| Payoff Ratio | 0.9 | 0.91 |
| Profit Factor | 1.18 | 1.19 |
| Common Sense Ratio | 1.13 | 1.23 |
| CPC Index | 0.59 | 0.59 |
| Tail Ratio | 0.96 | 1.03 |
| Outlier Win Ratio | 3.7 | 4.0 |
| Outlier Loss Ratio | 4.1 | 2.77 |
| 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.) | 16.3% | 3.77% |
| All-time (ann.) | 16.3% | 3.77% |
| 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 | -1.81% | -0.79% |
| Avg. Drawdown Days | 16 | 33 |
| Recovery Factor | 3.67 | 3.15 |
| Ulcer Index | 0.09 | 0.02 |
| Serenity Index | 0.87 | 0.59 |
| Avg. Up Month | 4.05% | 1.21% |
| Avg. Down Month | -5.26% | -1.3% |
| Win Days | 55.24% | 54.44% |
| Win Month | 67.05% | 60.23% |
| Win Quarter | 76.67% | 60.0% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.06 |
| Alpha | - | 0.03 |
| Correlation | - | 30.29% |
| Treynor Ratio | - | 511.35% |
| 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 | 14.30 | 0.49 | 0.03 | - |
| 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 | 2026-09-22 | -5.09 | 205 |
| 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 |