| Metric | SPY | BRW |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 86.58% | 33.98% |
| CAGR﹪ | 13.36% | 6.06% |
| Sharpe | 0.59 | 0.22 |
| Prob. Sharpe Ratio | 90.85% | 69.13% |
| Smart Sharpe | 0.58 | 0.22 |
| Sortino | 0.86 | 0.31 |
| Smart Sortino | 0.83 | 0.31 |
| Sortino/√2 | 0.61 | 0.22 |
| Smart Sortino/√2 | 0.59 | 0.22 |
| Omega | 1.16 | 1.09 |
| Max Drawdown | -24.5% | -17.74% |
| Max DD Date | 2022-10-12 | 2026-02-17 |
| Max DD Period Start | 2022-01-04 | 2025-08-14 |
| Max DD Period End | 2023-12-12 | 2026-09-22 |
| Longest DD Days | 708 | 405 |
| Volatility (ann.) | 17.2% | 13.14% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.55 | 0.34 |
| Skew | 0.32 | -0.39 |
| Kurtosis | 8.95 | 5.11 |
| Ulcer Performance Index | 10.24 | 5.62 |
| Risk-Adjusted Return | 13.36% | 6.59% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.85% | 0.68% |
| Avg. Loss | -0.94% | -0.75% |
| Win/Loss Ratio | 0.9 | 0.9 |
| Profit Ratio | 0.83 | 0.65 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.48% |
| Expected Yearly | 10.95% | 5.0% |
| Kelly Criterion | 3.13% | -0.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.33% |
| Expected Shortfall (cVaR) | -2.58% | -2.11% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.16 | 0.09 |
| Gain/Pain (1M) | 0.87 | 0.53 |
| Payoff Ratio | 0.9 | 0.9 |
| Profit Factor | 1.16 | 1.09 |
| Common Sense Ratio | 1.17 | 1.16 |
| CPC Index | 0.56 | 0.52 |
| Tail Ratio | 1.01 | 1.06 |
| Outlier Win Ratio | 3.41 | 3.62 |
| Outlier Loss Ratio | 3.77 | 3.36 |
| MTD | 1.08% | -4.86% |
| 3M | 3.82% | -1.5% |
| 6M | 19.85% | 2.44% |
| YTD | 14.3% | -1.44% |
| 1Y | 17.78% | -10.52% |
| 3Y (ann.) | 24.86% | 9.73% |
| 5Y (ann.) | 13.06% | 5.67% |
| 10Y (ann.) | 13.36% | 6.06% |
| All-time (ann.) | 13.36% | 6.06% |
| Best Day | 10.5% | 5.37% |
| Worst Day | -5.85% | -5.62% |
| Best Month | 10.51% | 9.49% |
| Worst Month | -9.24% | -6.52% |
| Best Year | 26.18% | 18.49% |
| Worst Year | -18.18% | -4.64% |
| Avg. Drawdown | -1.89% | -2.28% |
| Avg. Drawdown Days | 20 | 33 |
| Recovery Factor | 2.85 | 1.89 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 0.47 | 0.34 |
| Avg. Up Month | 4.8% | 3.58% |
| Avg. Down Month | -4.04% | -2.17% |
| Win Days | 54.04% | 52.4% |
| Win Month | 63.93% | 52.46% |
| Win Quarter | 66.67% | 57.14% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.29 |
| Alpha | - | 0.03 |
| Correlation | - | 37.69% |
| Treynor Ratio | - | 118.08% |
| Year | SPY | BRW | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 1.30 | 0.17 | - |
| 2022 | -18.18 | -4.64 | 0.26 | + |
| 2023 | 26.18 | 18.49 | 0.71 | - |
| 2024 | 24.89 | 12.16 | 0.49 | - |
| 2025 | 17.72 | 5.89 | 0.33 | - |
| 2026 | 14.30 | -1.44 | -0.10 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-08-14 | 2026-09-22 | -17.74 | 405 |
| 2025-03-03 | 2025-05-09 | -11.10 | 68 |
| 2022-01-10 | 2023-01-25 | -11.03 | 381 |
| 2023-09-06 | 2023-11-16 | -7.37 | 72 |
| 2023-12-29 | 2024-07-18 | -6.65 | 203 |
| 2023-02-08 | 2023-04-03 | -6.45 | 55 |
| 2024-12-10 | 2025-01-30 | -5.22 | 52 |
| 2021-11-03 | 2022-01-03 | -5.01 | 62 |
| 2023-04-25 | 2023-07-25 | -4.39 | 92 |
| 2025-05-14 | 2025-06-04 | -3.47 | 22 |