| Metric | SPY | BRW |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 17.87% | -11.84% |
| CAGR﹪ | 18.02% | -11.92% |
| Sharpe | 1.04 | -1.13 |
| Prob. Sharpe Ratio | 84.73% | 11.87% |
| Smart Sharpe | 1.01 | -1.02 |
| Sortino | 1.51 | -1.39 |
| Smart Sortino | 1.47 | -1.25 |
| Sortino/√2 | 1.07 | -0.98 |
| Smart Sortino/√2 | 1.04 | -0.89 |
| Omega | 1.25 | 0.86 |
| Max Drawdown | -8.88% | - |
| Max DD Date | 2026-03-30 | - |
| Max DD Period Start | 2026-01-28 | - |
| Max DD Period End | 2026-04-13 | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 12.99% | 13.9% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 2.03 | -0.72 |
| Skew | -0.15 | -1.5 |
| Kurtosis | 1.05 | 8.11 |
| Ulcer Performance Index | 8.3 | -1.18 |
| Risk-Adjusted Return | 18.02% | -13.1% |
| Risk-Return Ratio | 0.08 | -0.05 |
| Avg. Return | 0.06% | -0.05% |
| Avg. Win | 0.76% | 0.69% |
| Avg. Loss | -0.7% | -0.79% |
| Win/Loss Ratio | 1.09 | 0.87 |
| Profit Ratio | 0.94 | 0.69 |
| Expected Daily | 0.07% | -0.05% |
| Expected Monthly | 1.27% | -0.96% |
| Expected Yearly | 8.57% | -6.1% |
| Kelly Criterion | 11.07% | -12.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.49% |
| Expected Shortfall (cVaR) | -1.72% | -2.5% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.25 | -0.14 |
| Gain/Pain (1M) | 2.6 | -0.54 |
| Payoff Ratio | 1.09 | 0.87 |
| Profit Factor | 1.25 | 0.86 |
| Common Sense Ratio | 1.24 | 0.87 |
| CPC Index | 0.73 | 0.36 |
| Tail Ratio | 0.99 | 1.02 |
| Outlier Win Ratio | 2.88 | 3.29 |
| Outlier Loss Ratio | 3.19 | 3.29 |
| MTD | 1.08% | -4.86% |
| 3M | 3.82% | -1.5% |
| 6M | 19.85% | 2.44% |
| YTD | 14.3% | -1.44% |
| 1Y | 17.87% | -11.84% |
| 3Y (ann.) | 18.02% | -11.92% |
| 5Y (ann.) | 18.02% | -11.92% |
| 10Y (ann.) | 18.02% | -11.92% |
| All-time (ann.) | 18.02% | -11.92% |
| Best Day | 2.91% | 2.13% |
| Worst Day | -2.7% | -5.62% |
| Best Month | 10.51% | 3.32% |
| Worst Month | -4.94% | -5.01% |
| Best Year | 14.3% | -1.44% |
| Worst Year | 3.13% | -10.55% |
| Avg. Drawdown | -1.71% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.94 | 0.71 |
| Ulcer Index | 0.02 | 0.1 |
| Serenity Index | 1.16 | -0.07 |
| Avg. Up Month | 4.62% | 1.61% |
| Avg. Down Month | -0.95% | -1.9% |
| Win Days | 53.6% | 47.79% |
| Win Month | 76.92% | 38.46% |
| Win Quarter | 80.0% | 20.0% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.33 |
| Alpha | - | -0.17 |
| Correlation | - | 30.8% |
| Treynor Ratio | - | -35.93% |
| Year | SPY | BRW | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | -10.55 | -3.38 | - |
| 2026 | 14.30 | -1.44 | -0.10 | - |
| Started | Recovered | Drawdown | Days |
|---|