| Metric | SPY | BRGOX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 30.89% | 31.86% |
| CAGR﹪ | 16.39% | 16.87% |
| Sharpe | 0.73 | 1.46 |
| Prob. Sharpe Ratio | 83.89% | 97.47% |
| Smart Sharpe | 0.65 | 1.46 |
| Sortino | 1.08 | 2.29 |
| Smart Sortino | 0.97 | 2.28 |
| Sortino/√2 | 0.77 | 1.62 |
| Smart Sortino/√2 | 0.68 | 1.61 |
| Omega | 1.21 | 1.4 |
| Max Drawdown | -18.76% | -4.02% |
| Max DD Date | 2025-04-08 | 2026-05-29 |
| Max DD Period Start | 2025-02-20 | 2026-02-26 |
| Max DD Period End | 2025-06-25 | 2026-09-15 |
| Longest DD Days | 126 | 202 |
| Volatility (ann.) | 16.98% | 7.96% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.87 | 4.19 |
| Skew | 1.28 | 0.16 |
| Kurtosis | 23.13 | 4.04 |
| Ulcer Performance Index | 7.98 | 20.31 |
| Risk-Adjusted Return | 16.39% | 18.14% |
| Risk-Return Ratio | 0.06 | 0.13 |
| Avg. Return | 0.08% | 0.07% |
| Avg. Win | 0.63% | 0.43% |
| Avg. Loss | -0.68% | -0.37% |
| Win/Loss Ratio | 0.93 | 1.18 |
| Profit Ratio | 0.85 | 0.81 |
| Expected Daily | 0.06% | 0.06% |
| Expected Monthly | 1.18% | 1.21% |
| Expected Yearly | 14.41% | 14.83% |
| Kelly Criterion | 5.35% | 13.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.69% | -0.76% |
| Expected Shortfall (cVaR) | -2.64% | -1.06% |
| Max Consecutive Wins | 9 | 8 |
| Max Consecutive Losses | 5 | 9 |
| Gain/Pain Ratio | 0.21 | 0.4 |
| Gain/Pain (1M) | 2.03 | 4.21 |
| Payoff Ratio | 0.93 | 1.18 |
| Profit Factor | 1.21 | 1.4 |
| Common Sense Ratio | 1.2 | 1.82 |
| CPC Index | 0.61 | 0.88 |
| Tail Ratio | 0.99 | 1.3 |
| Outlier Win Ratio | 3.34 | 3.33 |
| Outlier Loss Ratio | 3.79 | 2.63 |
| MTD | 1.47% | -0.59% |
| 3M | 1.46% | 5.41% |
| 6M | 5.62% | 7.5% |
| YTD | 11.62% | 13.11% |
| 1Y | 11.72% | 15.7% |
| 3Y (ann.) | 16.39% | 16.87% |
| 5Y (ann.) | 16.39% | 16.87% |
| 10Y (ann.) | 16.39% | 16.87% |
| All-time (ann.) | 16.39% | 16.87% |
| Best Day | 10.5% | 2.94% |
| Worst Day | -5.85% | -2.76% |
| Best Month | 10.51% | 4.45% |
| Worst Month | -5.57% | -1.59% |
| Best Year | 17.26% | 16.58% |
| Worst Year | 11.62% | 13.11% |
| Avg. Drawdown | -1.94% | -1.01% |
| Avg. Drawdown Days | 15 | 16 |
| Recovery Factor | 1.57 | 7.01 |
| Ulcer Index | 0.04 | 0.02 |
| Serenity Index | 0.78 | 2.72 |
| Avg. Up Month | 2.07% | 1.81% |
| Avg. Down Month | -4.94% | -1.32% |
| Win Days | 54.36% | 53.38% |
| Win Month | 65.22% | 73.91% |
| Win Quarter | 75.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.04 |
| Alpha | - | 0.17 |
| Correlation | - | -8.94% |
| Treynor Ratio | - | -759.89% |
| Year | SPY | BRGOX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 17.26 | 16.58 | 0.96 | - |
| 2026 | 11.62 | 13.11 | 1.13 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-09-15 | -4.02 | 202 |
| 2025-06-03 | 2025-08-01 | -3.78 | 60 |
| 2025-04-02 | 2025-04-14 | -3.04 | 13 |
| 2025-09-16 | 2025-10-29 | -2.73 | 44 |
| 2025-04-23 | 2025-05-19 | -2.73 | 27 |
| 2025-02-13 | 2025-03-21 | -1.85 | 37 |
| 2026-10-26 | 2026-10-29 | -1.84 | 4 |
| 2025-11-18 | 2025-12-18 | -1.45 | 31 |
| 2026-09-17 | 2026-09-23 | -1.40 | 7 |
| 2025-08-13 | 2025-08-29 | -0.99 | 17 |