| Metric | SPY | BRW |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 14.39% | -5.19% |
| CAGR﹪ | 14.51% | -5.23% |
| Sharpe | 0.83 | -0.7 |
| Prob. Sharpe Ratio | 79.61% | 24.14% |
| Smart Sharpe | 0.82 | -0.6 |
| Sortino | 1.22 | -0.96 |
| Smart Sortino | 1.2 | -0.82 |
| Sortino/√2 | 0.86 | -0.68 |
| Smart Sortino/√2 | 0.85 | -0.58 |
| Omega | 1.2 | 0.94 |
| Max Drawdown | -8.88% | -9.96% |
| Max DD Date | 2026-03-30 | 2026-10-26 |
| Max DD Period Start | 2026-01-28 | 2026-08-06 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 135 |
| Volatility (ann.) | 12.86% | 11.83% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 1.63 | -0.52 |
| Skew | -0.02 | -0.08 |
| Kurtosis | 0.78 | 0.12 |
| Ulcer Performance Index | 6.68 | -1.14 |
| Risk-Adjusted Return | 14.51% | -5.74% |
| Risk-Return Ratio | 0.07 | -0.02 |
| Avg. Return | 0.04% | -0.02% |
| Avg. Win | 0.74% | 0.71% |
| Avg. Loss | -0.64% | -0.7% |
| Win/Loss Ratio | 1.15 | 1.02 |
| Profit Ratio | 1.02 | 0.77 |
| Expected Daily | 0.05% | -0.02% |
| Expected Monthly | 1.04% | -0.41% |
| Expected Yearly | 6.95% | -2.63% |
| Kelly Criterion | 10.26% | -4.45% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.24% |
| Expected Shortfall (cVaR) | -1.66% | -1.66% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.2 | -0.06 |
| Gain/Pain (1M) | 1.83 | -0.29 |
| Payoff Ratio | 1.15 | 1.02 |
| Profit Factor | 1.2 | 0.94 |
| Common Sense Ratio | 1.19 | 0.94 |
| CPC Index | 0.72 | 0.45 |
| Tail Ratio | 0.99 | 1.0 |
| Outlier Win Ratio | 2.84 | 2.83 |
| Outlier Loss Ratio | 3.01 | 2.93 |
| MTD | 1.47% | -0.83% |
| 3M | 1.46% | -6.58% |
| 6M | 6.94% | -5.83% |
| YTD | 13.33% | -3.44% |
| 1Y | 14.39% | -5.19% |
| 3Y (ann.) | 14.51% | -5.23% |
| 5Y (ann.) | 14.51% | -5.23% |
| 10Y (ann.) | 14.51% | -5.23% |
| All-time (ann.) | 14.51% | -5.23% |
| Best Day | 2.91% | 2.13% |
| Worst Day | -2.58% | -2.03% |
| Best Month | 10.51% | 3.32% |
| Worst Month | -4.94% | -7.17% |
| Best Year | 13.33% | -1.81% |
| Worst Year | 0.94% | -3.44% |
| Avg. Drawdown | -1.74% | -3.21% |
| Avg. Drawdown Days | 14 | 34 |
| Recovery Factor | 1.61 | 0.47 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 0.94 | -0.08 |
| Avg. Up Month | 4.62% | 1.61% |
| Avg. Down Month | -0.74% | -3.66% |
| Win Days | 52.0% | 47.35% |
| Win Month | 61.54% | 46.15% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.28 |
| Alpha | - | -0.09 |
| Correlation | - | 30.43% |
| Treynor Ratio | - | -18.53% |
| Year | SPY | BRW | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | -1.81 | -1.93 | - |
| 2026 | 13.33 | -3.44 | -0.26 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-06 | 2026-11-04 | -9.96 | 91 |
| 2025-12-08 | 2026-04-21 | -9.17 | 135 |
| 2026-06-03 | 2026-08-04 | -5.18 | 63 |
| 2025-11-11 | 2025-12-02 | -2.35 | 22 |
| 2026-04-24 | 2026-04-29 | -1.75 | 6 |
| 2026-05-13 | 2026-05-27 | -1.47 | 15 |
| 2025-11-06 | 2025-11-07 | -1.09 | 2 |
| 2026-05-01 | 2026-05-01 | -0.58 | 1 |
| 2026-05-07 | 2026-05-11 | -0.29 | 5 |
| 2026-05-05 | 2026-05-05 | -0.29 | 1 |