| Metric | SPY | BPLEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 14.39% | 36.89% |
| CAGR﹪ | 14.51% | 37.23% |
| Sharpe | 0.83 | 2.67 |
| Prob. Sharpe Ratio | 79.61% | 99.7% |
| Smart Sharpe | 0.82 | 2.52 |
| Sortino | 1.22 | 4.65 |
| Smart Sortino | 1.2 | 4.38 |
| Sortino/√2 | 0.86 | 3.29 |
| Smart Sortino/√2 | 0.85 | 3.1 |
| Omega | 1.2 | 1.64 |
| Max Drawdown | -8.88% | -5.23% |
| Max DD Date | 2026-03-30 | 2026-03-20 |
| Max DD Period Start | 2026-01-28 | 2026-03-02 |
| Max DD Period End | 2026-04-13 | 2026-04-07 |
| Longest DD Days | 76 | 37 |
| Volatility (ann.) | 12.86% | 10.69% |
| R^2 | 0.38 | 0.38 |
| Information Ratio | 0.11 | 0.11 |
| Calmar | 1.63 | 7.11 |
| Skew | -0.02 | 0.38 |
| Kurtosis | 0.78 | 0.49 |
| Ulcer Performance Index | 6.68 | 26.47 |
| Risk-Adjusted Return | 14.51% | 38.79% |
| Risk-Return Ratio | 0.07 | 0.19 |
| Avg. Return | 0.06% | 0.13% |
| Avg. Win | 0.72% | 0.68% |
| Avg. Loss | -0.72% | -0.53% |
| Win/Loss Ratio | 1.0 | 1.3 |
| Profit Ratio | 1.02 | 0.81 |
| Expected Daily | 0.05% | 0.13% |
| Expected Monthly | 1.04% | 2.44% |
| Expected Yearly | 6.95% | 17.0% |
| Kelly Criterion | 3.98% | 23.66% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.98% |
| Expected Shortfall (cVaR) | -1.66% | -1.3% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.2 | 0.64 |
| Gain/Pain (1M) | 1.83 | 8.06 |
| Payoff Ratio | 1.0 | 1.3 |
| Profit Factor | 1.2 | 1.64 |
| Common Sense Ratio | 1.19 | 2.58 |
| CPC Index | 0.62 | 1.21 |
| Tail Ratio | 0.99 | 1.57 |
| Outlier Win Ratio | 2.84 | 3.05 |
| Outlier Loss Ratio | 3.01 | 2.82 |
| MTD | 1.47% | 2.41% |
| 3M | 1.46% | 5.75% |
| 6M | 6.94% | 18.43% |
| YTD | 13.33% | 29.22% |
| 1Y | 14.39% | 36.89% |
| 3Y (ann.) | 14.51% | 37.23% |
| 5Y (ann.) | 14.51% | 37.23% |
| 10Y (ann.) | 14.51% | 37.23% |
| All-time (ann.) | 14.51% | 37.23% |
| Best Day | 2.91% | 2.56% |
| Worst Day | -2.58% | -1.63% |
| Best Month | 10.51% | 7.25% |
| Worst Month | -4.94% | -2.89% |
| Best Year | 13.33% | 29.22% |
| Worst Year | 0.94% | 5.93% |
| Avg. Drawdown | -1.74% | -1.1% |
| Avg. Drawdown Days | 14 | 7 |
| Recovery Factor | 1.61 | 6.11 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 4.17 |
| Avg. Up Month | 2.8% | 3.25% |
| Avg. Down Month | -2.63% | -2.01% |
| Win Days | 52.0% | 56.9% |
| Win Month | 61.54% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.51 |
| Alpha | - | 0.25 |
| Correlation | - | 61.78% |
| Treynor Ratio | - | 71.84% |
| Year | SPY | BPLEX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 5.93 | 6.33 | + |
| 2026 | 13.33 | 29.22 | 2.19 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-04-07 | -5.23 | 37 |
| 2026-05-11 | 2026-05-29 | -3.08 | 19 |
| 2026-09-04 | 2026-10-09 | -2.76 | 36 |
| 2025-11-13 | 2025-11-24 | -2.67 | 12 |
| 2026-10-22 | 2026-11-03 | -2.21 | 13 |
| 2025-12-30 | 2026-01-23 | -1.69 | 25 |
| 2026-02-23 | 2026-02-24 | -1.63 | 2 |
| 2026-08-06 | 2026-08-12 | -1.47 | 7 |
| 2026-02-03 | 2026-02-05 | -1.39 | 3 |
| 2026-06-17 | 2026-06-25 | -1.32 | 9 |