| Metric | SPY | BRW |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 74.99% | 26.71% |
| CAGR﹪ | 11.91% | 4.88% |
| Sharpe | 0.52 | 0.13 |
| Prob. Sharpe Ratio | 87.6% | 61.75% |
| Smart Sharpe | 0.5 | 0.13 |
| Sortino | 0.74 | 0.19 |
| Smart Sortino | 0.72 | 0.18 |
| Sortino/√2 | 0.53 | 0.13 |
| Smart Sortino/√2 | 0.51 | 0.13 |
| Omega | 1.14 | 1.08 |
| 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 | 2026-11-04 |
| Longest DD Days | 708 | 448 |
| Volatility (ann.) | 17.19% | 13.28% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.27 |
| Skew | 0.33 | -0.38 |
| Kurtosis | 8.98 | 4.82 |
| Ulcer Performance Index | 8.86 | 4.11 |
| Risk-Adjusted Return | 11.91% | 5.3% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.85% | 0.69% |
| Avg. Loss | -0.93% | -0.76% |
| Win/Loss Ratio | 0.91 | 0.91 |
| Profit Ratio | 0.86 | 0.66 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.39% |
| Expected Yearly | 9.77% | 4.02% |
| Kelly Criterion | 2.51% | -0.77% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.35% |
| Expected Shortfall (cVaR) | -2.58% | -2.15% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.14 | 0.08 |
| Gain/Pain (1M) | 0.79 | 0.42 |
| Payoff Ratio | 0.91 | 0.91 |
| Profit Factor | 1.14 | 1.08 |
| Common Sense Ratio | 1.15 | 1.13 |
| CPC Index | 0.56 | 0.51 |
| Tail Ratio | 1.0 | 1.05 |
| Outlier Win Ratio | 3.4 | 3.57 |
| Outlier Loss Ratio | 3.8 | 3.31 |
| MTD | 1.47% | -0.83% |
| 3M | 1.46% | -6.58% |
| 6M | 6.94% | -5.83% |
| YTD | 13.33% | -3.44% |
| 1Y | 13.43% | -6.72% |
| 3Y (ann.) | 20.78% | 5.49% |
| 5Y (ann.) | 12.86% | 5.69% |
| 10Y (ann.) | 11.91% | 4.88% |
| All-time (ann.) | 11.91% | 4.88% |
| Best Day | 10.5% | 5.37% |
| Worst Day | -5.85% | -5.62% |
| Best Month | 10.51% | 9.49% |
| Worst Month | -9.24% | -7.17% |
| Best Year | 26.18% | 18.49% |
| Worst Year | -18.18% | -4.64% |
| Avg. Drawdown | -1.94% | -2.51% |
| Avg. Drawdown Days | 21 | 38 |
| Recovery Factor | 2.58 | 1.58 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 0.43 | 0.25 |
| Avg. Up Month | 4.71% | 3.59% |
| Avg. Down Month | -3.99% | -2.66% |
| Win Days | 53.48% | 52.05% |
| Win Month | 62.3% | 52.46% |
| Win Quarter | 71.43% | 57.14% |
| Win Year | 83.33% | 50.0% |
| Beta | - | 0.29 |
| Alpha | - | 0.02 |
| Correlation | - | 36.99% |
| Treynor Ratio | - | 93.43% |
| Year | SPY | BRW | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -2.22 | -1.28 | - |
| 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 | 13.33 | -3.44 | -0.26 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-08-14 | 2026-11-04 | -17.74 | 448 |
| 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 |
| 2021-11-08 | 2022-01-03 | -4.60 | 57 |
| 2023-04-25 | 2023-07-25 | -4.39 | 92 |
| 2025-05-14 | 2025-06-04 | -3.47 | 22 |