| Metric | SPY | BPRRX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 197.48% | 91.61% |
| CAGR﹪ | 15.87% | 9.18% |
| Sharpe | 0.71 | 0.56 |
| Prob. Sharpe Ratio | 97.17% | 93.29% |
| Smart Sharpe | 0.61 | 0.52 |
| Sortino | 1.0 | 0.77 |
| Smart Sortino | 0.86 | 0.71 |
| Sortino/√2 | 0.7 | 0.55 |
| Smart Sortino/√2 | 0.61 | 0.51 |
| Omega | 1.18 | 1.16 |
| Max Drawdown | -33.72% | -27.9% |
| 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 | 2021-04-14 |
| Longest DD Days | 714 | 496 |
| Volatility (ann.) | 19.43% | 11.84% |
| R^2 | 0.69 | 0.69 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.47 | 0.33 |
| Skew | -0.29 | -0.73 |
| Kurtosis | 13.99 | 15.27 |
| Ulcer Performance Index | 23.05 | 14.44 |
| Risk-Adjusted Return | 15.87% | 9.67% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.93% | 0.58% |
| Avg. Loss | -1.0% | -0.64% |
| Win/Loss Ratio | 0.93 | 0.91 |
| Profit Ratio | 0.78 | 0.63 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.22% | 0.73% |
| Expected Yearly | 14.6% | 8.47% |
| Kelly Criterion | 6.81% | 5.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.19% |
| Expected Shortfall (cVaR) | -3.2% | -1.94% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 10 |
| Gain/Pain Ratio | 0.18 | 0.16 |
| Gain/Pain (1M) | 1.1 | 0.99 |
| Payoff Ratio | 0.93 | 0.91 |
| Profit Factor | 1.18 | 1.16 |
| Common Sense Ratio | 1.13 | 1.09 |
| CPC Index | 0.6 | 0.58 |
| Tail Ratio | 0.96 | 0.94 |
| Outlier Win Ratio | 3.7 | 3.97 |
| Outlier Loss Ratio | 4.12 | 3.48 |
| 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.) | 15.87% | 9.18% |
| All-time (ann.) | 15.87% | 9.18% |
| Best Day | 10.5% | 6.23% |
| Worst Day | -10.94% | -7.4% |
| Best Month | 12.7% | 8.85% |
| Worst Month | -12.49% | -10.91% |
| Best Year | 28.73% | 23.46% |
| Worst Year | -20.18% | -8.49% |
| Avg. Drawdown | -1.82% | -1.49% |
| Avg. Drawdown Days | 16 | 21 |
| Recovery Factor | 3.65 | 2.52 |
| Ulcer Index | 0.09 | 0.06 |
| Serenity Index | 0.87 | 0.46 |
| Avg. Up Month | 4.3% | 2.74% |
| Avg. Down Month | -4.23% | -2.8% |
| Win Days | 55.13% | 55.09% |
| Win Month | 65.56% | 61.11% |
| Win Quarter | 77.42% | 77.42% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.5 |
| Alpha | - | 0.01 |
| Correlation | - | 82.82% |
| Treynor Ratio | - | 181.59% |
| Year | SPY | BPRRX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 8.81 | 0.54 | - |
| 2020 | 18.33 | -8.49 | -0.46 | - |
| 2021 | 28.73 | 23.46 | 0.82 | - |
| 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 |
|---|---|---|---|
| 2020-01-03 | 2021-04-14 | -27.90 | 468 |
| 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 |
| 2021-06-07 | 2021-08-26 | -5.40 | 81 |
| 2024-12-02 | 2025-02-14 | -4.90 | 75 |
| 2026-08-17 | 2026-11-04 | -4.87 | 80 |
| 2019-07-30 | 2019-10-18 | -4.46 | 81 |
| 2024-08-01 | 2024-08-16 | -3.87 | 16 |
| 2021-11-26 | 2021-12-22 | -3.82 | 27 |