| Metric | SPY | BPLEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 82.0% | 168.16% |
| CAGR﹪ | 12.81% | 21.96% |
| Sharpe | 0.57 | 0.76 |
| Prob. Sharpe Ratio | 89.76% | 98.58% |
| Smart Sharpe | 0.55 | 0.54 |
| Sortino | 0.82 | 1.47 |
| Smart Sortino | 0.79 | 1.05 |
| Sortino/√2 | 0.58 | 1.04 |
| Smart Sortino/√2 | 0.56 | 0.74 |
| Omega | 1.15 | 1.35 |
| 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.) | 17.17% | 24.81% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.49 | 0.76 |
| Skew | 0.32 | 14.43 |
| Kurtosis | 9.02 | 499.86 |
| Ulcer Performance Index | 8.76 | 19.85 |
| Risk-Adjusted Return | 12.81% | 22.88% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.06% | 0.09% |
| Avg. Win | 0.88% | 0.66% |
| Avg. Loss | -0.94% | -0.63% |
| Win/Loss Ratio | 0.94 | 1.05 |
| Profit Ratio | 0.83 | 0.77 |
| Expected Daily | 0.05% | 0.08% |
| Expected Monthly | 0.99% | 1.63% |
| Expected Yearly | 10.5% | 17.87% |
| Kelly Criterion | 5.24% | 11.92% |
| 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 | 0.15 | 0.35 |
| Gain/Pain (1M) | 0.81 | 2.86 |
| Payoff Ratio | 0.94 | 1.05 |
| Profit Factor | 1.15 | 1.35 |
| Common Sense Ratio | 1.16 | 1.61 |
| CPC Index | 0.59 | 0.78 |
| Tail Ratio | 1.0 | 1.19 |
| Outlier Win Ratio | 3.43 | 3.33 |
| Outlier Loss Ratio | 3.77 | 3.29 |
| MTD | 1.08% | 0.15% |
| 3M | 3.82% | 10.28% |
| 6M | 19.85% | 25.71% |
| YTD | 14.3% | 25.24% |
| 1Y | 17.78% | 32.07% |
| 3Y (ann.) | 24.86% | 31.64% |
| 5Y (ann.) | 12.49% | 21.59% |
| 10Y (ann.) | 12.81% | 21.96% |
| All-time (ann.) | 12.81% | 21.96% |
| 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% | 27.93% |
| Worst Year | -20.18% | 5.55% |
| Avg. Drawdown | -1.94% | -1.98% |
| Avg. Drawdown Days | 21 | 21 |
| Recovery Factor | 2.55 | 3.9 |
| Ulcer Index | 0.09 | 0.08 |
| Serenity Index | 0.37 | 0.95 |
| Avg. Up Month | 4.01% | 3.6% |
| Avg. Down Month | -4.68% | -2.16% |
| Win Days | 54.0% | 54.93% |
| Win Month | 63.93% | 67.21% |
| Win Quarter | 66.67% | 80.95% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.5 |
| Alpha | - | 0.16 |
| Correlation | - | 34.42% |
| Treynor Ratio | - | 338.22% |
| Year | SPY | BPLEX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 8.68 | 1.15 | + |
| 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 | 14.30 | 25.24 | 1.77 | + |
| 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 |