| Metric | SPY | BRGOX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 16.09% | 12.81% |
| CAGR﹪ | 16.89% | 13.43% |
| Sharpe | 0.96 | 1.22 |
| Prob. Sharpe Ratio | 82.41% | 88.35% |
| Smart Sharpe | 0.94 | 1.21 |
| Sortino | 1.39 | 1.87 |
| Smart Sortino | 1.37 | 1.86 |
| Sortino/√2 | 0.99 | 1.32 |
| Smart Sortino/√2 | 0.97 | 1.31 |
| Omega | 1.23 | 1.32 |
| Max Drawdown | -8.88% | -4.02% |
| Max DD Date | 2026-03-30 | 2026-05-29 |
| Max DD Period Start | 2026-01-28 | 2026-02-26 |
| Max DD Period End | 2026-04-13 | 2026-09-15 |
| Longest DD Days | 76 | 202 |
| Volatility (ann.) | 13.1% | 7.36% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 1.9 | 3.34 |
| Skew | -0.13 | 0.1 |
| Kurtosis | 1.04 | 0.05 |
| Ulcer Performance Index | 7.36 | 7.32 |
| Risk-Adjusted Return | 16.89% | 14.44% |
| Risk-Return Ratio | 0.08 | 0.11 |
| Avg. Return | 0.07% | 0.06% |
| Avg. Win | 0.66% | 0.38% |
| Avg. Loss | -0.54% | -0.41% |
| Win/Loss Ratio | 1.24 | 0.91 |
| Profit Ratio | 0.96 | 0.69 |
| Expected Daily | 0.06% | 0.05% |
| Expected Monthly | 1.15% | 0.93% |
| Expected Yearly | 7.75% | 6.21% |
| Kelly Criterion | 15.19% | 5.07% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.29% | -0.71% |
| Expected Shortfall (cVaR) | -1.72% | -0.92% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.23 | 0.32 |
| Gain/Pain (1M) | 2.37 | 2.45 |
| Payoff Ratio | 1.24 | 0.91 |
| Profit Factor | 1.23 | 1.32 |
| Common Sense Ratio | 1.22 | 1.74 |
| CPC Index | 0.81 | 0.66 |
| Tail Ratio | 0.99 | 1.32 |
| Outlier Win Ratio | 2.87 | 3.11 |
| Outlier Loss Ratio | 3.22 | 2.47 |
| MTD | 1.08% | 1.26% |
| 3M | 3.82% | 1.16% |
| 6M | 18.04% | 0.9% |
| YTD | 12.57% | 7.4% |
| 1Y | 16.09% | 12.81% |
| 3Y (ann.) | 16.89% | 13.43% |
| 5Y (ann.) | 16.89% | 13.43% |
| 10Y (ann.) | 16.89% | 13.43% |
| All-time (ann.) | 16.89% | 13.43% |
| Best Day | 2.91% | 1.43% |
| Worst Day | -2.7% | -1.34% |
| Best Month | 10.51% | 4.45% |
| Worst Month | -4.94% | -1.59% |
| Best Year | 12.57% | 7.4% |
| Worst Year | 3.13% | 5.03% |
| Avg. Drawdown | -1.8% | -0.91% |
| Avg. Drawdown Days | 15 | 21 |
| Recovery Factor | 1.77 | 3.06 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.05 | 0.92 |
| Avg. Up Month | 0.81% | 1.69% |
| Avg. Down Month | -4.94% | -1.32% |
| Win Days | 53.11% | 54.71% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.01 |
| Alpha | - | 0.13 |
| Correlation | - | -1.91% |
| Treynor Ratio | - | -1194.41% |
| Year | SPY | BRGOX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 5.03 | 1.61 | + |
| 2026 | 12.57 | 7.40 | 0.59 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-09-15 | -4.02 | 202 |
| 2025-10-01 | 2025-10-28 | -2.30 | 28 |
| 2025-11-18 | 2025-12-18 | -1.45 | 31 |
| 2026-09-17 | 2026-09-22 | -1.40 | 6 |
| 2026-02-04 | 2026-02-12 | -0.89 | 9 |
| 2025-12-24 | 2026-01-06 | -0.76 | 14 |
| 2026-01-22 | 2026-01-23 | -0.37 | 2 |
| 2025-11-04 | 2025-11-05 | -0.35 | 2 |
| 2026-01-30 | 2026-01-30 | -0.27 | 1 |
| 2026-02-24 | 2026-02-24 | -0.26 | 1 |