| Metric | SPY | BPLEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 17.87% | 33.03% |
| CAGR﹪ | 18.02% | 33.33% |
| Sharpe | 1.04 | 2.39 |
| Prob. Sharpe Ratio | 84.73% | 99.27% |
| Smart Sharpe | 1.01 | 2.3 |
| Sortino | 1.51 | 4.03 |
| Smart Sortino | 1.47 | 3.88 |
| Sortino/√2 | 1.07 | 2.85 |
| Smart Sortino/√2 | 1.04 | 2.74 |
| Omega | 1.25 | 1.57 |
| 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.) | 12.99% | 10.61% |
| R^2 | 0.37 | 0.37 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | 2.03 | 6.37 |
| Skew | -0.15 | 0.33 |
| Kurtosis | 1.05 | 0.57 |
| Ulcer Performance Index | 8.3 | 22.97 |
| Risk-Adjusted Return | 18.02% | 34.72% |
| Risk-Return Ratio | 0.08 | 0.17 |
| Avg. Return | 0.08% | 0.12% |
| Avg. Win | 0.72% | 0.66% |
| Avg. Loss | -0.72% | -0.54% |
| Win/Loss Ratio | 1.0 | 1.23 |
| Profit Ratio | 0.94 | 0.77 |
| Expected Daily | 0.07% | 0.11% |
| Expected Monthly | 1.27% | 2.22% |
| Expected Yearly | 8.57% | 15.34% |
| Kelly Criterion | 7.25% | 22.13% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.98% |
| Expected Shortfall (cVaR) | -1.72% | -1.3% |
| Max Consecutive Wins | 7 | 11 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.25 | 0.57 |
| Gain/Pain (1M) | 2.6 | 9.13 |
| Payoff Ratio | 1.0 | 1.23 |
| Profit Factor | 1.25 | 1.57 |
| Common Sense Ratio | 1.24 | 2.33 |
| CPC Index | 0.67 | 1.1 |
| Tail Ratio | 0.99 | 1.48 |
| Outlier Win Ratio | 2.88 | 3.06 |
| Outlier Loss Ratio | 3.19 | 2.77 |
| MTD | 1.08% | 0.15% |
| 3M | 3.82% | 10.28% |
| 6M | 19.85% | 25.71% |
| YTD | 14.3% | 25.24% |
| 1Y | 17.87% | 33.03% |
| 3Y (ann.) | 18.02% | 33.33% |
| 5Y (ann.) | 18.02% | 33.33% |
| 10Y (ann.) | 18.02% | 33.33% |
| All-time (ann.) | 18.02% | 33.33% |
| Best Day | 2.91% | 2.56% |
| Worst Day | -2.7% | -1.63% |
| Best Month | 10.51% | 7.25% |
| Worst Month | -4.94% | -2.89% |
| Best Year | 14.3% | 25.24% |
| Worst Year | 3.13% | 6.22% |
| Avg. Drawdown | -1.71% | -1.14% |
| Avg. Drawdown Days | 13 | 7 |
| Recovery Factor | 1.94 | 5.56 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 3.62 |
| Avg. Up Month | 2.42% | 2.71% |
| Avg. Down Month | -4.94% | -2.89% |
| Win Days | 53.6% | 57.08% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.5 |
| Alpha | - | 0.21 |
| Correlation | - | 60.84% |
| Treynor Ratio | - | 66.46% |
| Year | SPY | BPLEX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 6.22 | 1.99 | + |
| 2026 | 14.30 | 25.24 | 1.77 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-04-07 | -5.23 | 37 |
| 2025-09-30 | 2025-10-24 | -3.60 | 25 |
| 2026-05-11 | 2026-05-29 | -3.08 | 19 |
| 2025-11-13 | 2025-11-24 | -2.67 | 12 |
| 2026-09-04 | 2026-09-22 | -2.24 | 19 |
| 2025-12-30 | 2026-01-21 | -1.69 | 23 |
| 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 |