| Metric | SPY | BRGOX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 12.67% | 15.8% |
| CAGR﹪ | 13.28% | 16.58% |
| Sharpe | 0.75 | 1.6 |
| Prob. Sharpe Ratio | 76.73% | 94.24% |
| Smart Sharpe | 0.74 | 1.58 |
| Sortino | 1.09 | 2.52 |
| Smart Sortino | 1.08 | 2.49 |
| Sortino/√2 | 0.77 | 1.78 |
| Smart Sortino/√2 | 0.76 | 1.76 |
| Omega | 1.18 | 1.39 |
| 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.) | 12.96% | 7.51% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 1.49 | 4.12 |
| Skew | 0.0 | 0.14 |
| Kurtosis | 0.77 | -0.0 |
| Ulcer Performance Index | 5.79 | 9.2 |
| Risk-Adjusted Return | 13.28% | 17.64% |
| Risk-Return Ratio | 0.06 | 0.13 |
| Avg. Return | 0.06% | 0.07% |
| Avg. Win | 0.68% | 0.35% |
| Avg. Loss | -0.54% | -0.41% |
| Win/Loss Ratio | 1.27 | 0.85 |
| Profit Ratio | 1.05 | 0.7 |
| Expected Daily | 0.05% | 0.06% |
| Expected Monthly | 0.92% | 1.13% |
| Expected Yearly | 6.14% | 7.61% |
| Kelly Criterion | 13.23% | 3.55% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.29% | -0.72% |
| Expected Shortfall (cVaR) | -1.66% | -0.93% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.18 | 0.39 |
| Gain/Pain (1M) | 1.64 | 2.67 |
| Payoff Ratio | 1.27 | 0.85 |
| Profit Factor | 1.18 | 1.39 |
| Common Sense Ratio | 1.18 | 1.89 |
| CPC Index | 0.77 | 0.65 |
| Tail Ratio | 0.99 | 1.36 |
| Outlier Win Ratio | 2.83 | 3.2 |
| Outlier Loss Ratio | 3.01 | 2.44 |
| MTD | 1.47% | -0.59% |
| 3M | 1.46% | 5.41% |
| 6M | 5.62% | 7.5% |
| YTD | 11.62% | 13.11% |
| 1Y | 12.67% | 15.8% |
| 3Y (ann.) | 13.28% | 16.58% |
| 5Y (ann.) | 13.28% | 16.58% |
| 10Y (ann.) | 13.28% | 16.58% |
| All-time (ann.) | 13.28% | 16.58% |
| Best Day | 2.91% | 1.43% |
| Worst Day | -2.58% | -1.34% |
| Best Month | 10.51% | 4.45% |
| Worst Month | -4.94% | -1.59% |
| Best Year | 11.62% | 13.11% |
| Worst Year | 0.94% | 2.38% |
| Avg. Drawdown | -1.83% | -0.78% |
| Avg. Drawdown Days | 15 | 15 |
| Recovery Factor | 1.43 | 3.71 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.83 | 1.16 |
| Avg. Up Month | 0.61% | 2.0% |
| Avg. Down Month | -4.94% | -1.32% |
| Win Days | 51.45% | 55.75% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.06 |
| Alpha | - | 0.16 |
| Correlation | - | -10.76% |
| Treynor Ratio | - | -253.27% |
| Year | SPY | BRGOX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 2.38 | 2.54 | + |
| 2026 | 11.62 | 13.11 | 1.13 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-09-15 | -4.02 | 202 |
| 2026-10-26 | 2026-10-29 | -1.84 | 4 |
| 2025-11-28 | 2025-12-18 | -1.45 | 21 |
| 2026-09-17 | 2026-09-23 | -1.40 | 7 |
| 2026-02-04 | 2026-02-12 | -0.89 | 9 |
| 2025-12-24 | 2026-01-06 | -0.76 | 14 |
| 2026-11-03 | 2026-11-04 | -0.67 | 2 |
| 2025-11-21 | 2025-11-25 | -0.51 | 5 |
| 2026-10-06 | 2026-10-06 | -0.43 | 1 |
| 2026-10-19 | 2026-10-21 | -0.42 | 3 |