| Metric | SPY | BPLEX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 200.03% | 226.27% |
| CAGR﹪ | 16.3% | 17.64% |
| Sharpe | 0.72 | 0.67 |
| Prob. Sharpe Ratio | 97.33% | 98.31% |
| Smart Sharpe | 0.62 | 0.51 |
| Sortino | 1.02 | 1.17 |
| Smart Sortino | 0.88 | 0.89 |
| Sortino/√2 | 0.72 | 0.82 |
| Smart Sortino/√2 | 0.62 | 0.63 |
| 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.) | 19.54% | 24.03% |
| R^2 | 0.23 | 0.23 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.48 | 0.6 |
| Skew | -0.29 | 10.74 |
| Kurtosis | 13.9 | 389.25 |
| Ulcer Performance Index | 23.16 | 26.0 |
| Risk-Adjusted Return | 16.3% | 18.38% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.07% | 0.08% |
| Avg. Win | 0.94% | 0.78% |
| Avg. Loss | -1.02% | -0.8% |
| Win/Loss Ratio | 0.92 | 0.98 |
| Profit Ratio | 0.77 | 0.75 |
| Expected Daily | 0.06% | 0.06% |
| Expected Monthly | 1.26% | 1.35% |
| Expected Yearly | 14.72% | 15.93% |
| Kelly Criterion | 6.65% | 7.34% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -2.41% |
| Expected Shortfall (cVaR) | -3.2% | -4.51% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.18 | 0.24 |
| Gain/Pain (1M) | 1.12 | 1.74 |
| Payoff Ratio | 0.92 | 0.98 |
| Profit Factor | 1.18 | 1.24 |
| Common Sense Ratio | 1.13 | 1.32 |
| CPC Index | 0.6 | 0.66 |
| Tail Ratio | 0.96 | 1.07 |
| Outlier Win Ratio | 3.7 | 4.01 |
| Outlier Loss Ratio | 4.1 | 3.75 |
| 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.) | 16.3% | 17.64% |
| All-time (ann.) | 16.3% | 17.64% |
| 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 | -1.81% | -2.27% |
| Avg. Drawdown Days | 16 | 27 |
| Recovery Factor | 3.67 | 4.69 |
| Ulcer Index | 0.09 | 0.09 |
| Serenity Index | 0.87 | 1.11 |
| Avg. Up Month | 4.17% | 3.57% |
| Avg. Down Month | -4.69% | -3.2% |
| Win Days | 55.24% | 54.22% |
| Win Month | 67.05% | 68.18% |
| Win Quarter | 76.67% | 83.33% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.59 |
| Alpha | - | 0.09 |
| Correlation | - | 47.77% |
| Treynor Ratio | - | 385.26% |
| 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 | 14.30 | 25.24 | 1.77 | + |
| 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 |