| Metric | SPY | BRGOX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 32.01% | 25.21% |
| CAGR﹪ | 18.32% | 14.59% |
| Sharpe | 0.8 | 1.2 |
| Prob. Sharpe Ratio | 85.5% | 93.91% |
| Smart Sharpe | 0.71 | 1.19 |
| Sortino | 1.2 | 1.85 |
| Smart Sortino | 1.07 | 1.84 |
| Sortino/√2 | 0.85 | 1.31 |
| Smart Sortino/√2 | 0.76 | 1.3 |
| Omega | 1.23 | 1.34 |
| 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.) | 17.33% | 7.94% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.98 | 3.62 |
| Skew | 1.29 | 0.16 |
| Kurtosis | 22.83 | 4.44 |
| Ulcer Performance Index | 8.03 | 15.55 |
| Risk-Adjusted Return | 18.32% | 15.69% |
| Risk-Return Ratio | 0.07 | 0.11 |
| Avg. Return | 0.08% | 0.06% |
| Avg. Win | 0.64% | 0.44% |
| Avg. Loss | -0.68% | -0.37% |
| Win/Loss Ratio | 0.94 | 1.19 |
| Profit Ratio | 0.84 | 0.81 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.33% | 1.08% |
| Expected Yearly | 14.89% | 11.9% |
| Kelly Criterion | 6.59% | 12.69% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.72% | -0.77% |
| Expected Shortfall (cVaR) | -2.85% | -1.08% |
| Max Consecutive Wins | 9 | 8 |
| Max Consecutive Losses | 5 | 9 |
| Gain/Pain Ratio | 0.23 | 0.34 |
| Gain/Pain (1M) | 2.26 | 3.76 |
| Payoff Ratio | 0.94 | 1.19 |
| Profit Factor | 1.23 | 1.34 |
| Common Sense Ratio | 1.22 | 1.68 |
| CPC Index | 0.63 | 0.84 |
| Tail Ratio | 0.99 | 1.25 |
| Outlier Win Ratio | 3.49 | 3.43 |
| Outlier Loss Ratio | 3.78 | 2.66 |
| MTD | 1.08% | 1.26% |
| 3M | 3.82% | 1.16% |
| 6M | 18.04% | 0.9% |
| YTD | 12.57% | 7.4% |
| 1Y | 16.01% | 12.71% |
| 3Y (ann.) | 18.32% | 14.59% |
| 5Y (ann.) | 18.32% | 14.59% |
| 10Y (ann.) | 18.32% | 14.59% |
| All-time (ann.) | 18.32% | 14.59% |
| 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 | 12.57% | 7.4% |
| Avg. Drawdown | -1.9% | -1.12% |
| Avg. Drawdown Days | 14 | 19 |
| Recovery Factor | 1.61 | 5.72 |
| Ulcer Index | 0.04 | 0.02 |
| Serenity Index | 0.77 | 2.12 |
| Avg. Up Month | 1.98% | 1.76% |
| Avg. Down Month | -4.94% | -1.32% |
| Win Days | 54.81% | 52.6% |
| Win Month | 71.43% | 76.19% |
| Win Quarter | 71.43% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.03 |
| Alpha | - | 0.14 |
| Correlation | - | -5.84% |
| Treynor Ratio | - | -941.2% |
| Year | SPY | BRGOX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 17.26 | 16.58 | 0.96 | - |
| 2026 | 12.57 | 7.40 | 0.59 | - |
| 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 |
| 2025-11-18 | 2025-12-18 | -1.45 | 31 |
| 2026-09-17 | 2026-09-22 | -1.40 | 6 |
| 2025-08-13 | 2025-08-29 | -0.99 | 17 |
| 2025-01-24 | 2025-01-31 | -0.98 | 8 |