| Metric | SPY | BPLEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 70.69% | 170.7% |
| CAGR﹪ | 11.36% | 22.19% |
| Sharpe | 0.49 | 0.76 |
| Prob. Sharpe Ratio | 86.25% | 98.65% |
| Smart Sharpe | 0.47 | 0.55 |
| Sortino | 0.7 | 1.49 |
| Smart Sortino | 0.68 | 1.06 |
| Sortino/√2 | 0.5 | 1.05 |
| Smart Sortino/√2 | 0.48 | 0.75 |
| Omega | 1.14 | 1.36 |
| Max Drawdown | -26.35% | -28.78% |
| Max DD Date | 2022-10-12 | 2025-04-08 |
| Max DD Period Start | 2022-01-04 | 2024-12-16 |
| Max DD Period End | 2023-12-18 | 2026-02-19 |
| Longest DD Days | 714 | 431 |
| Volatility (ann.) | 17.16% | 24.78% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.43 | 0.77 |
| Skew | 0.33 | 14.48 |
| Kurtosis | 9.05 | 502.19 |
| Ulcer Performance Index | 7.55 | 20.15 |
| Risk-Adjusted Return | 11.36% | 23.12% |
| Risk-Return Ratio | 0.04 | 0.06 |
| Avg. Return | 0.05% | 0.09% |
| Avg. Win | 0.88% | 0.66% |
| Avg. Loss | -0.93% | -0.62% |
| Win/Loss Ratio | 0.94 | 1.06 |
| Profit Ratio | 0.86 | 0.77 |
| Expected Daily | 0.04% | 0.08% |
| Expected Monthly | 0.88% | 1.65% |
| Expected Yearly | 9.32% | 18.05% |
| Kelly Criterion | 4.13% | 12.42% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -2.48% |
| Expected Shortfall (cVaR) | -2.58% | -7.09% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.14 | 0.36 |
| Gain/Pain (1M) | 0.74 | 2.72 |
| Payoff Ratio | 0.94 | 1.06 |
| Profit Factor | 1.14 | 1.36 |
| Common Sense Ratio | 1.13 | 1.64 |
| CPC Index | 0.57 | 0.79 |
| Tail Ratio | 1.0 | 1.21 |
| Outlier Win Ratio | 3.42 | 3.36 |
| Outlier Loss Ratio | 3.8 | 3.32 |
| MTD | 1.47% | 2.41% |
| 3M | 1.46% | 5.75% |
| 6M | 6.94% | 18.43% |
| YTD | 13.33% | 29.22% |
| 1Y | 13.43% | 36.27% |
| 3Y (ann.) | 20.78% | 30.52% |
| 5Y (ann.) | 12.3% | 22.43% |
| 10Y (ann.) | 11.36% | 22.19% |
| All-time (ann.) | 11.36% | 22.19% |
| Best Day | 10.5% | 43.24% |
| Worst Day | -5.85% | -22.53% |
| Best Month | 10.51% | 9.4% |
| Worst Month | -10.5% | -7.49% |
| Best Year | 26.18% | 29.22% |
| Worst Year | -20.18% | 5.55% |
| Avg. Drawdown | -1.98% | -1.97% |
| Avg. Drawdown Days | 21 | 21 |
| Recovery Factor | 2.31 | 3.94 |
| Ulcer Index | 0.09 | 0.08 |
| Serenity Index | 0.34 | 0.95 |
| Avg. Up Month | 3.93% | 3.74% |
| Avg. Down Month | -4.62% | -2.31% |
| Win Days | 53.44% | 55.02% |
| Win Month | 62.3% | 67.21% |
| Win Quarter | 71.43% | 85.71% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.5 |
| Alpha | - | 0.17 |
| Correlation | - | 34.6% |
| Treynor Ratio | - | 341.73% |
| Year | SPY | BPLEX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 6.33 | 3.66 | + |
| 2022 | -20.18 | 5.55 | -0.27 | + |
| 2023 | 26.18 | 14.91 | 0.57 | - |
| 2024 | 24.89 | 26.98 | 1.08 | + |
| 2025 | 17.72 | 27.93 | 1.58 | + |
| 2026 | 13.33 | 29.22 | 2.19 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-12-16 | 2026-02-19 | -28.78 | 431 |
| 2022-04-21 | 2023-01-05 | -14.15 | 260 |
| 2023-02-14 | 2023-07-19 | -7.21 | 156 |
| 2026-03-02 | 2026-04-07 | -5.23 | 37 |
| 2024-08-01 | 2024-08-13 | -4.54 | 13 |
| 2021-11-24 | 2021-12-03 | -4.50 | 10 |
| 2024-03-22 | 2024-05-14 | -4.26 | 54 |
| 2024-05-20 | 2024-07-10 | -3.69 | 52 |
| 2022-02-03 | 2022-03-15 | -3.68 | 41 |
| 2023-09-05 | 2023-11-02 | -3.35 | 59 |