| Metric | SPY | BPRRX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 70.69% | 59.19% |
| CAGR﹪ | 11.36% | 9.81% |
| Sharpe | 0.49 | 0.63 |
| Prob. Sharpe Ratio | 86.25% | 91.82% |
| Smart Sharpe | 0.47 | 0.62 |
| Sortino | 0.7 | 0.89 |
| Smart Sortino | 0.68 | 0.88 |
| Sortino/√2 | 0.5 | 0.63 |
| Smart Sortino/√2 | 0.48 | 0.62 |
| Omega | 1.14 | 1.2 |
| Max Drawdown | -26.35% | -11.36% |
| Max DD Date | 2022-10-12 | 2022-09-27 |
| Max DD Period Start | 2022-01-04 | 2022-06-08 |
| Max DD Period End | 2023-12-18 | 2023-10-16 |
| Longest DD Days | 714 | 496 |
| Volatility (ann.) | 17.16% | 9.46% |
| R^2 | 0.6 | 0.6 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.43 | 0.86 |
| Skew | 0.33 | -0.23 |
| Kurtosis | 9.05 | 5.24 |
| Ulcer Performance Index | 7.55 | 20.24 |
| Risk-Adjusted Return | 11.36% | 10.33% |
| Risk-Return Ratio | 0.04 | 0.07 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.88% | 0.51% |
| Avg. Loss | -0.91% | -0.53% |
| Win/Loss Ratio | 0.96 | 0.96 |
| Profit Ratio | 0.86 | 0.64 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.88% | 0.77% |
| Expected Yearly | 9.32% | 8.06% |
| Kelly Criterion | 4.83% | 8.68% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.94% |
| Expected Shortfall (cVaR) | -2.58% | -1.35% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 10 |
| Gain/Pain Ratio | 0.14 | 0.2 |
| Gain/Pain (1M) | 0.74 | 1.14 |
| Payoff Ratio | 0.96 | 0.96 |
| Profit Factor | 1.14 | 1.2 |
| Common Sense Ratio | 1.13 | 1.14 |
| CPC Index | 0.58 | 0.64 |
| Tail Ratio | 1.0 | 0.95 |
| Outlier Win Ratio | 3.42 | 3.64 |
| Outlier Loss Ratio | 3.8 | 3.36 |
| MTD | 1.47% | 1.04% |
| 3M | 1.46% | 1.11% |
| 6M | 6.94% | 5.75% |
| YTD | 13.33% | 9.26% |
| 1Y | 13.43% | 11.53% |
| 3Y (ann.) | 20.78% | 13.38% |
| 5Y (ann.) | 12.3% | 10.44% |
| 10Y (ann.) | 11.36% | 9.81% |
| All-time (ann.) | 11.36% | 9.81% |
| Best Day | 10.5% | 4.33% |
| Worst Day | -5.85% | -4.36% |
| Best Month | 10.51% | 6.97% |
| Worst Month | -10.5% | -6.43% |
| Best Year | 26.18% | 14.67% |
| Worst Year | -20.18% | 2.13% |
| Avg. Drawdown | -1.98% | -1.33% |
| Avg. Drawdown Days | 21 | 19 |
| Recovery Factor | 2.31 | 4.29 |
| Ulcer Index | 0.09 | 0.03 |
| Serenity Index | 0.34 | 1.35 |
| Avg. Up Month | 4.05% | 2.62% |
| Avg. Down Month | -4.37% | -2.35% |
| Win Days | 53.44% | 55.16% |
| Win Month | 62.3% | 60.66% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.43 |
| Alpha | - | 0.05 |
| Correlation | - | 77.62% |
| Treynor Ratio | - | 138.36% |
| Year | SPY | BPRRX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 2.13 | 1.23 | + |
| 2022 | -20.18 | 5.14 | -0.25 | + |
| 2023 | 26.18 | 4.46 | 0.17 | - |
| 2024 | 24.89 | 13.27 | 0.53 | - |
| 2025 | 17.72 | 14.67 | 0.83 | - |
| 2026 | 13.33 | 9.26 | 0.69 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-08 | 2023-10-16 | -11.36 | 496 |
| 2025-02-20 | 2025-05-30 | -9.33 | 100 |
| 2026-03-02 | 2026-06-11 | -6.47 | 102 |
| 2024-12-02 | 2025-02-14 | -4.90 | 75 |
| 2026-08-17 | 2026-11-04 | -4.87 | 80 |
| 2024-08-01 | 2024-08-16 | -3.87 | 16 |
| 2021-11-26 | 2021-12-22 | -3.82 | 27 |
| 2022-04-21 | 2022-05-26 | -3.56 | 36 |
| 2023-10-18 | 2023-11-13 | -3.42 | 27 |
| 2022-01-18 | 2022-02-01 | -3.40 | 15 |