| Metric | SPY | BPLEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 197.48% | 236.65% |
| CAGR﹪ | 15.87% | 17.82% |
| Sharpe | 0.71 | 0.68 |
| Prob. Sharpe Ratio | 97.17% | 98.52% |
| Smart Sharpe | 0.61 | 0.52 |
| Sortino | 1.0 | 1.18 |
| Smart Sortino | 0.86 | 0.9 |
| Sortino/√2 | 0.7 | 0.84 |
| Smart Sortino/√2 | 0.61 | 0.64 |
| Omega | 1.18 | 1.24 |
| Max Drawdown | -33.72% | -29.37% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-01-03 |
| Max DD Period End | 2020-08-07 | 2021-03-03 |
| Longest DD Days | 714 | 431 |
| Volatility (ann.) | 19.43% | 23.86% |
| R^2 | 0.23 | 0.23 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.47 | 0.61 |
| Skew | -0.29 | 10.79 |
| Kurtosis | 13.99 | 393.79 |
| Ulcer Performance Index | 23.05 | 27.41 |
| Risk-Adjusted Return | 15.87% | 18.57% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.07% | 0.08% |
| Avg. Win | 0.93% | 0.78% |
| Avg. Loss | -1.01% | -0.79% |
| Win/Loss Ratio | 0.92 | 0.98 |
| Profit Ratio | 0.78 | 0.75 |
| Expected Daily | 0.06% | 0.07% |
| Expected Monthly | 1.22% | 1.36% |
| Expected Yearly | 14.6% | 16.39% |
| Kelly Criterion | 6.39% | 7.6% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -2.4% |
| Expected Shortfall (cVaR) | -3.2% | -4.43% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.18 | 0.24 |
| Gain/Pain (1M) | 1.1 | 1.76 |
| Payoff Ratio | 0.92 | 0.98 |
| Profit Factor | 1.18 | 1.24 |
| Common Sense Ratio | 1.13 | 1.33 |
| CPC Index | 0.6 | 0.66 |
| Tail Ratio | 0.96 | 1.07 |
| Outlier Win Ratio | 3.7 | 4.03 |
| Outlier Loss Ratio | 4.12 | 3.77 |
| 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.) | 15.87% | 17.82% |
| All-time (ann.) | 15.87% | 17.82% |
| Best Day | 10.5% | 43.24% |
| Worst Day | -10.94% | -22.53% |
| Best Month | 12.7% | 11.29% |
| Worst Month | -12.49% | -10.57% |
| Best Year | 28.73% | 31.72% |
| Worst Year | -20.18% | -6.6% |
| Avg. Drawdown | -1.82% | -2.23% |
| Avg. Drawdown Days | 16 | 27 |
| Recovery Factor | 3.65 | 4.8 |
| Ulcer Index | 0.09 | 0.09 |
| Serenity Index | 0.87 | 1.14 |
| Avg. Up Month | 4.18% | 3.62% |
| Avg. Down Month | -4.49% | -3.1% |
| Win Days | 55.13% | 54.26% |
| Win Month | 65.56% | 67.78% |
| Win Quarter | 77.42% | 83.87% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.59 |
| Alpha | - | 0.09 |
| Correlation | - | 47.82% |
| Treynor Ratio | - | 403.08% |
| Year | SPY | BPLEX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 7.49 | 0.46 | - |
| 2020 | 18.33 | -6.60 | -0.36 | - |
| 2021 | 28.73 | 31.72 | 1.10 | + |
| 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 |
|---|---|---|---|
| 2020-01-03 | 2021-03-03 | -29.37 | 426 |
| 2024-12-16 | 2026-02-19 | -28.78 | 431 |
| 2022-04-21 | 2023-01-05 | -14.15 | 260 |
| 2021-05-18 | 2021-12-09 | -9.77 | 206 |
| 2023-02-14 | 2023-07-19 | -7.21 | 156 |
| 2026-03-02 | 2026-04-07 | -5.23 | 37 |
| 2019-07-25 | 2019-10-16 | -4.63 | 84 |
| 2024-08-01 | 2024-08-13 | -4.54 | 13 |
| 2024-03-22 | 2024-05-14 | -4.26 | 54 |
| 2024-05-20 | 2024-07-10 | -3.69 | 52 |