| Metric | SPY | BPLEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 18.6% | 24.06% |
| CAGR﹪ | 40.67% | 53.91% |
| Sharpe | 2.32 | 3.69 |
| Prob. Sharpe Ratio | 95.04% | 99.74% |
| Smart Sharpe | 2.3 | 3.67 |
| Sortino | 3.78 | 7.05 |
| Smart Sortino | 3.75 | 7.02 |
| Sortino/√2 | 2.67 | 4.98 |
| Smart Sortino/√2 | 2.65 | 4.96 |
| Omega | 1.54 | 1.96 |
| 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 | 19 |
| Volatility (ann.) | 13.55% | 10.88% |
| R^2 | 0.28 | 0.28 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 9.05 | 17.51 |
| Skew | 0.1 | 0.56 |
| Kurtosis | 1.12 | 0.77 |
| Ulcer Performance Index | 11.86 | 27.62 |
| Risk-Adjusted Return | 40.67% | 56.16% |
| Risk-Return Ratio | 0.16 | 0.25 |
| Avg. Return | 0.14% | 0.18% |
| Avg. Win | 0.8% | 0.72% |
| Avg. Loss | -0.68% | -0.51% |
| Win/Loss Ratio | 1.17 | 1.42 |
| Profit Ratio | 1.12 | 0.74 |
| Expected Daily | 0.14% | 0.17% |
| Expected Monthly | 2.47% | 3.13% |
| Expected Yearly | 18.6% | 24.06% |
| Kelly Criterion | 14.55% | 31.82% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.95% |
| Expected Shortfall (cVaR) | -1.77% | -1.17% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.54 | 0.96 |
| Gain/Pain (1M) | 10.92 | - |
| Payoff Ratio | 1.17 | 1.42 |
| Profit Factor | 1.54 | 1.96 |
| Common Sense Ratio | 2.01 | 3.24 |
| CPC Index | 0.97 | 1.67 |
| Tail Ratio | 1.3 | 1.65 |
| Outlier Win Ratio | 3.21 | 3.58 |
| Outlier Loss Ratio | 3.16 | 2.54 |
| MTD | 1.08% | 0.15% |
| 3M | 3.82% | 10.28% |
| 6M | 18.6% | 24.06% |
| YTD | 18.6% | 24.06% |
| 1Y | 18.6% | 24.06% |
| 3Y (ann.) | 40.67% | 53.91% |
| 5Y (ann.) | 40.67% | 53.91% |
| 10Y (ann.) | 40.67% | 53.91% |
| All-time (ann.) | 40.67% | 53.91% |
| Best Day | 2.91% | 2.56% |
| Worst Day | -2.58% | -1.35% |
| Best Month | 10.51% | 7.25% |
| Worst Month | -1.03% | 0.15% |
| Best Year | 18.6% | 24.06% |
| Worst Year | 18.6% | 24.06% |
| Avg. Drawdown | -1.13% | -0.98% |
| Avg. Drawdown Days | 9 | 5 |
| Recovery Factor | 3.9 | 7.1 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 2.75 | 8.33 |
| Avg. Up Month | 3.91% | 3.3% |
| Avg. Down Month | - | - |
| Win Days | 53.97% | 60.0% |
| Win Month | 71.43% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.42 |
| Alpha | - | 0.29 |
| Correlation | - | 52.89% |
| Treynor Ratio | - | 56.64% |
| Year | SPY | BPLEX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 24.06 | 1.29 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-11 | 2026-05-29 | -3.08 | 19 |
| 2026-09-04 | 2026-09-22 | -2.24 | 19 |
| 2026-08-06 | 2026-08-12 | -1.47 | 7 |
| 2026-03-26 | 2026-03-30 | -1.40 | 5 |
| 2026-06-17 | 2026-06-25 | -1.32 | 9 |
| 2026-04-10 | 2026-04-10 | -0.98 | 1 |
| 2026-04-20 | 2026-04-24 | -0.96 | 5 |
| 2026-07-17 | 2026-07-23 | -0.95 | 7 |
| 2026-08-31 | 2026-09-02 | -0.91 | 3 |
| 2026-07-08 | 2026-07-08 | -0.88 | 1 |