| Metric | SPY | BPRRX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 17.87% | 8.0% |
| CAGR﹪ | 18.02% | 8.06% |
| Sharpe | 1.04 | 0.5 |
| Prob. Sharpe Ratio | 84.73% | 68.89% |
| Smart Sharpe | 1.01 | 0.47 |
| Sortino | 1.51 | 0.71 |
| Smart Sortino | 1.47 | 0.68 |
| Sortino/√2 | 1.07 | 0.5 |
| Smart Sortino/√2 | 1.04 | 0.48 |
| Omega | 1.25 | 1.17 |
| 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.) | 12.99% | 8.35% |
| R^2 | 0.59 | 0.59 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 2.03 | 1.25 |
| Skew | -0.15 | 0.02 |
| Kurtosis | 1.05 | 0.56 |
| Ulcer Performance Index | 8.3 | 4.57 |
| Risk-Adjusted Return | 18.02% | 8.58% |
| Risk-Return Ratio | 0.08 | 0.06 |
| Avg. Return | 0.08% | 0.03% |
| Avg. Win | 0.74% | 0.47% |
| Avg. Loss | -0.7% | -0.51% |
| Win/Loss Ratio | 1.06 | 0.92 |
| Profit Ratio | 0.94 | 0.68 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.27% | 0.59% |
| Expected Yearly | 8.57% | 3.92% |
| Kelly Criterion | 9.82% | 3.87% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.83% |
| Expected Shortfall (cVaR) | -1.72% | -1.04% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.25 | 0.17 |
| Gain/Pain (1M) | 2.6 | 0.98 |
| Payoff Ratio | 1.06 | 0.92 |
| Profit Factor | 1.25 | 1.17 |
| Common Sense Ratio | 1.24 | 1.08 |
| CPC Index | 0.71 | 0.58 |
| Tail Ratio | 0.99 | 0.92 |
| Outlier Win Ratio | 2.88 | 3.43 |
| Outlier Loss Ratio | 3.19 | 2.73 |
| MTD | 1.08% | -1.68% |
| 3M | 3.82% | 1.01% |
| 6M | 19.85% | 7.24% |
| YTD | 14.3% | 5.87% |
| 1Y | 17.87% | 8.0% |
| 3Y (ann.) | 18.02% | 8.06% |
| 5Y (ann.) | 18.02% | 8.06% |
| 10Y (ann.) | 18.02% | 8.06% |
| All-time (ann.) | 18.02% | 8.06% |
| Best Day | 2.91% | 1.96% |
| Worst Day | -2.7% | -1.24% |
| Best Month | 10.51% | 4.63% |
| Worst Month | -4.94% | -5.18% |
| Best Year | 14.3% | 5.87% |
| Worst Year | 3.13% | 2.01% |
| Avg. Drawdown | -1.71% | -1.24% |
| Avg. Drawdown Days | 13 | 13 |
| Recovery Factor | 1.94 | 1.24 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | 0.52 |
| Avg. Up Month | 2.12% | 1.81% |
| Avg. Down Month | -4.94% | -5.18% |
| Win Days | 53.6% | 53.85% |
| Win Month | 76.92% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.49 |
| Alpha | - | -0.0 |
| Correlation | - | 76.62% |
| Treynor Ratio | - | 16.23% |
| Year | SPY | BPRRX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 2.01 | 0.64 | - |
| 2026 | 14.30 | 5.87 | 0.41 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-06-11 | -6.47 | 102 |
| 2026-08-17 | 2026-09-22 | -3.43 | 37 |
| 2025-11-13 | 2025-11-25 | -3.29 | 13 |
| 2025-10-06 | 2025-11-11 | -1.99 | 37 |
| 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 | 2026-01-20 | -0.96 | 5 |
| 2026-06-30 | 2026-07-15 | -0.85 | 16 |