| Metric | SPY | BPRRX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 14.39% | 11.83% |
| CAGR﹪ | 14.51% | 11.94% |
| Sharpe | 0.83 | 0.95 |
| Prob. Sharpe Ratio | 79.61% | 82.85% |
| Smart Sharpe | 0.82 | 0.9 |
| Sortino | 1.22 | 1.4 |
| Smart Sortino | 1.2 | 1.32 |
| Sortino/√2 | 0.86 | 0.99 |
| Smart Sortino/√2 | 0.85 | 0.93 |
| Omega | 1.2 | 1.25 |
| Max Drawdown | -8.88% | -6.47% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-03-02 |
| Max DD Period End | 2026-04-13 | 2026-06-11 |
| Longest DD Days | 76 | 102 |
| Volatility (ann.) | 12.86% | 8.35% |
| R^2 | 0.55 | 0.55 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 1.63 | 1.84 |
| Skew | -0.02 | 0.02 |
| Kurtosis | 0.78 | 0.44 |
| Ulcer Performance Index | 6.68 | 5.86 |
| Risk-Adjusted Return | 14.51% | 12.83% |
| Risk-Return Ratio | 0.07 | 0.09 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.74% | 0.49% |
| Avg. Loss | -0.69% | -0.5% |
| Win/Loss Ratio | 1.06 | 0.97 |
| Profit Ratio | 1.02 | 0.66 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.04% | 0.86% |
| Expected Yearly | 6.95% | 5.75% |
| Kelly Criterion | 6.83% | 8.05% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.82% |
| Expected Shortfall (cVaR) | -1.66% | -1.03% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.2 | 0.25 |
| Gain/Pain (1M) | 1.83 | 1.25 |
| Payoff Ratio | 1.06 | 0.97 |
| Profit Factor | 1.2 | 1.25 |
| Common Sense Ratio | 1.19 | 1.17 |
| CPC Index | 0.66 | 0.67 |
| Tail Ratio | 0.99 | 0.93 |
| Outlier Win Ratio | 2.84 | 3.34 |
| Outlier Loss Ratio | 3.01 | 2.66 |
| MTD | 1.47% | 1.04% |
| 3M | 1.46% | 1.11% |
| 6M | 6.94% | 5.75% |
| YTD | 13.33% | 9.26% |
| 1Y | 14.39% | 11.83% |
| 3Y (ann.) | 14.51% | 11.94% |
| 5Y (ann.) | 14.51% | 11.94% |
| 10Y (ann.) | 14.51% | 11.94% |
| All-time (ann.) | 14.51% | 11.94% |
| Best Day | 2.91% | 1.96% |
| Worst Day | -2.58% | -1.23% |
| Best Month | 10.51% | 4.63% |
| Worst Month | -4.94% | -5.18% |
| Best Year | 13.33% | 9.26% |
| Worst Year | 0.94% | 2.36% |
| Avg. Drawdown | -1.74% | -1.38% |
| Avg. Drawdown Days | 14 | 16 |
| Recovery Factor | 1.61 | 1.78 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 0.64 |
| Avg. Up Month | 2.4% | 1.96% |
| Avg. Down Month | -2.63% | -4.16% |
| Win Days | 52.0% | 54.74% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.48 |
| Alpha | - | 0.05 |
| Correlation | - | 74.11% |
| Treynor Ratio | - | 24.59% |
| Year | SPY | BPRRX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 2.36 | 2.52 | + |
| 2026 | 13.33 | 9.26 | 0.69 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-06-11 | -6.47 | 102 |
| 2026-08-17 | 2026-11-04 | -4.87 | 80 |
| 2025-11-13 | 2025-11-25 | -3.29 | 13 |
| 2026-02-10 | 2026-02-25 | -1.66 | 16 |
| 2025-12-12 | 2025-12-24 | -1.61 | 13 |
| 2026-06-17 | 2026-06-24 | -1.00 | 8 |
| 2025-12-29 | 2026-01-02 | -0.97 | 5 |
| 2026-01-16 | 2026-01-23 | -0.96 | 8 |
| 2026-06-30 | 2026-07-15 | -0.85 | 16 |
| 2026-07-29 | 2026-08-03 | -0.76 | 6 |