| Metric | SPY | BPLEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 6.48% | 17.01% |
| CAGR﹪ | 13.27% | 36.58% |
| Sharpe | 0.78 | 2.78 |
| Prob. Sharpe Ratio | 70.87% | 97.94% |
| Smart Sharpe | 0.75 | 2.72 |
| Sortino | 1.14 | 4.89 |
| Smart Sortino | 1.09 | 4.79 |
| Sortino/√2 | 0.8 | 3.46 |
| Smart Sortino/√2 | 0.77 | 3.39 |
| Omega | 1.19 | 1.67 |
| Max Drawdown | -4.49% | -3.08% |
| Max DD Date | 2026-06-10 | 2026-05-28 |
| Max DD Period Start | 2026-06-03 | 2026-05-11 |
| Max DD Period End | 2026-07-31 | 2026-05-29 |
| Longest DD Days | 59 | 36 |
| Volatility (ann.) | 12.4% | 10.13% |
| R^2 | 0.22 | 0.22 |
| Information Ratio | 0.1 | 0.1 |
| Calmar | 2.95 | 11.88 |
| Skew | -0.15 | 0.39 |
| Kurtosis | 0.59 | 0.27 |
| Ulcer Performance Index | 3.89 | 15.77 |
| Risk-Adjusted Return | 13.27% | 38.1% |
| Risk-Return Ratio | 0.07 | 0.2 |
| Avg. Return | 0.05% | 0.13% |
| Avg. Win | 0.7% | 0.64% |
| Avg. Loss | -0.68% | -0.48% |
| Win/Loss Ratio | 1.03 | 1.31 |
| Profit Ratio | 1.15 | 0.75 |
| Expected Daily | 0.05% | 0.12% |
| Expected Monthly | 0.9% | 2.27% |
| Expected Yearly | 6.48% | 17.01% |
| Kelly Criterion | 2.32% | 25.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.92% |
| Expected Shortfall (cVaR) | -1.63% | -1.24% |
| Max Consecutive Wins | 4 | 5 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.19 | 0.67 |
| Gain/Pain (1M) | 3.26 | 10.17 |
| Payoff Ratio | 1.03 | 1.31 |
| Profit Factor | 1.19 | 1.67 |
| Common Sense Ratio | 1.47 | 2.43 |
| CPC Index | 0.62 | 1.27 |
| Tail Ratio | 1.23 | 1.45 |
| Outlier Win Ratio | 2.66 | 3.09 |
| Outlier Loss Ratio | 3.07 | 2.58 |
| MTD | 1.47% | 2.41% |
| 3M | 1.46% | 5.75% |
| 6M | 6.48% | 17.01% |
| YTD | 6.48% | 17.01% |
| 1Y | 6.48% | 17.01% |
| 3Y (ann.) | 13.27% | 36.58% |
| 5Y (ann.) | 13.27% | 36.58% |
| 10Y (ann.) | 13.27% | 36.58% |
| All-time (ann.) | 13.27% | 36.58% |
| Best Day | 1.8% | 2.21% |
| Worst Day | -2.58% | -1.35% |
| Best Month | 4.52% | 5.7% |
| Worst Month | -1.03% | -1.14% |
| Best Year | 6.48% | 17.01% |
| Worst Year | 6.48% | 17.01% |
| Avg. Drawdown | -1.57% | -1.08% |
| Avg. Drawdown Days | 17 | 7 |
| Recovery Factor | 1.48 | 5.19 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.91 | 4.01 |
| Avg. Up Month | 1.39% | 3.72% |
| Avg. Down Month | -0.33% | -1.14% |
| Win Days | 50.39% | 57.85% |
| Win Month | 57.14% | 71.43% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.38 |
| Alpha | - | 0.27 |
| Correlation | - | 46.77% |
| Treynor Ratio | - | 44.51% |
| Year | SPY | BPLEX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 17.01 | 2.62 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-11 | 2026-05-29 | -3.08 | 19 |
| 2026-09-04 | 2026-10-09 | -2.76 | 36 |
| 2026-10-22 | 2026-11-03 | -2.21 | 13 |
| 2026-08-06 | 2026-08-12 | -1.47 | 7 |
| 2026-06-17 | 2026-06-25 | -1.32 | 9 |
| 2026-07-17 | 2026-07-23 | -0.95 | 7 |
| 2026-08-31 | 2026-09-02 | -0.91 | 3 |
| 2026-10-14 | 2026-10-14 | -0.89 | 1 |
| 2026-07-08 | 2026-07-08 | -0.88 | 1 |
| 2026-08-14 | 2026-08-20 | -0.85 | 7 |