| Metric | SPY | BLNDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 14.39% | 19.73% |
| CAGR﹪ | 14.51% | 19.91% |
| Sharpe | 0.83 | 1.27 |
| Prob. Sharpe Ratio | 79.61% | 88.89% |
| Smart Sharpe | 0.82 | 1.26 |
| Sortino | 1.22 | 1.75 |
| Smart Sortino | 1.2 | 1.73 |
| Sortino/√2 | 0.86 | 1.24 |
| Smart Sortino/√2 | 0.85 | 1.23 |
| Omega | 1.2 | 1.3 |
| Max Drawdown | -8.88% | -7.24% |
| Max DD Date | 2026-03-30 | 2026-06-26 |
| Max DD Period Start | 2026-01-28 | 2026-05-19 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 127 |
| Volatility (ann.) | 12.86% | 12.0% |
| R^2 | 0.27 | 0.27 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 1.63 | 2.75 |
| Skew | -0.02 | -0.79 |
| Kurtosis | 0.78 | 2.34 |
| Ulcer Performance Index | 6.68 | 7.96 |
| Risk-Adjusted Return | 14.51% | 20.74% |
| Risk-Return Ratio | 0.07 | 0.1 |
| Avg. Return | 0.06% | 0.08% |
| Avg. Win | 0.67% | 0.65% |
| Avg. Loss | -0.7% | -0.68% |
| Win/Loss Ratio | 0.95 | 0.97 |
| Profit Ratio | 1.02 | 0.58 |
| Expected Daily | 0.05% | 0.07% |
| Expected Monthly | 1.04% | 1.39% |
| Expected Yearly | 6.95% | 9.42% |
| Kelly Criterion | 1.43% | 14.54% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.17% |
| Expected Shortfall (cVaR) | -1.66% | -1.67% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.2 | 0.3 |
| Gain/Pain (1M) | 1.83 | 3.55 |
| Payoff Ratio | 0.95 | 0.97 |
| Profit Factor | 1.2 | 1.3 |
| Common Sense Ratio | 1.19 | 1.14 |
| CPC Index | 0.59 | 0.73 |
| Tail Ratio | 0.99 | 0.88 |
| Outlier Win Ratio | 2.84 | 2.72 |
| Outlier Loss Ratio | 3.01 | 2.82 |
| MTD | 1.47% | -1.83% |
| 3M | 1.46% | 1.78% |
| 6M | 6.94% | 0.76% |
| YTD | 13.33% | 15.96% |
| 1Y | 14.39% | 19.73% |
| 3Y (ann.) | 14.51% | 19.91% |
| 5Y (ann.) | 14.51% | 19.91% |
| 10Y (ann.) | 14.51% | 19.91% |
| All-time (ann.) | 14.51% | 19.91% |
| Best Day | 2.91% | 2.25% |
| Worst Day | -2.58% | -3.74% |
| Best Month | 10.51% | 7.49% |
| Worst Month | -4.94% | -3.1% |
| Best Year | 13.33% | 15.96% |
| Worst Year | 0.94% | 3.26% |
| Avg. Drawdown | -1.74% | -1.69% |
| Avg. Drawdown Days | 14 | 12 |
| Recovery Factor | 1.61 | 2.59 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 1.05 |
| Avg. Up Month | 2.98% | 2.51% |
| Avg. Down Month | -0.97% | -1.75% |
| Win Days | 52.0% | 57.98% |
| Win Month | 61.54% | 76.92% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.48 |
| Alpha | - | 0.12 |
| Correlation | - | 51.91% |
| Treynor Ratio | - | 40.73% |
| Year | SPY | BLNDX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 3.26 | 3.47 | + |
| 2026 | 13.33 | 15.96 | 1.20 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-19 | 2026-09-22 | -7.24 | 127 |
| 2025-11-13 | 2025-12-10 | -4.67 | 28 |
| 2026-01-30 | 2026-02-24 | -4.43 | 26 |
| 2026-10-13 | 2026-11-04 | -3.76 | 23 |
| 2026-03-18 | 2026-04-02 | -3.28 | 16 |
| 2026-01-16 | 2026-01-22 | -2.07 | 7 |
| 2026-04-08 | 2026-04-10 | -1.72 | 3 |
| 2025-12-12 | 2025-12-19 | -1.69 | 8 |
| 2025-12-29 | 2026-01-02 | -1.66 | 5 |
| 2026-03-03 | 2026-03-06 | -1.52 | 4 |