| Metric | SPY | BRW |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 18.6% | 1.19% |
| CAGR﹪ | 40.67% | 2.39% |
| Sharpe | 2.32 | -0.04 |
| Prob. Sharpe Ratio | 95.04% | 48.93% |
| Smart Sharpe | 2.3 | -0.03 |
| Sortino | 3.78 | -0.05 |
| Smart Sortino | 3.75 | -0.05 |
| Sortino/√2 | 2.67 | -0.04 |
| Smart Sortino/√2 | 2.65 | -0.03 |
| Omega | 1.54 | 1.04 |
| Max Drawdown | -4.49% | -6.21% |
| Max DD Date | 2026-06-10 | 2026-09-21 |
| Max DD Period Start | 2026-06-03 | 2026-08-06 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 63 |
| Volatility (ann.) | 13.55% | 12.46% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | -0.13 | -0.13 |
| Calmar | 9.05 | 0.39 |
| Skew | 0.1 | -0.07 |
| Kurtosis | 1.12 | 0.32 |
| Ulcer Performance Index | 11.86 | 0.5 |
| Risk-Adjusted Return | 40.67% | 2.63% |
| Risk-Return Ratio | 0.16 | 0.02 |
| Avg. Return | 0.11% | 0.01% |
| Avg. Win | 0.86% | 0.74% |
| Avg. Loss | -0.67% | -0.72% |
| Win/Loss Ratio | 1.27 | 1.03 |
| Profit Ratio | 1.12 | 0.76 |
| Expected Daily | 0.14% | 0.01% |
| Expected Monthly | 2.47% | 0.17% |
| Expected Yearly | 18.6% | 1.19% |
| Kelly Criterion | 17.82% | -0.36% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.28% |
| Expected Shortfall (cVaR) | -1.77% | -1.85% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.54 | 0.04 |
| Gain/Pain (1M) | 10.92 | 0.21 |
| Payoff Ratio | 1.27 | 1.03 |
| Profit Factor | 1.54 | 1.04 |
| Common Sense Ratio | 2.01 | 1.08 |
| CPC Index | 1.06 | 0.53 |
| Tail Ratio | 1.3 | 1.04 |
| Outlier Win Ratio | 3.21 | 3.49 |
| Outlier Loss Ratio | 3.16 | 3.01 |
| MTD | 1.08% | -4.86% |
| 3M | 3.82% | -1.5% |
| 6M | 18.6% | 1.19% |
| YTD | 18.6% | 1.19% |
| 1Y | 18.6% | 1.19% |
| 3Y (ann.) | 40.67% | 2.39% |
| 5Y (ann.) | 40.67% | 2.39% |
| 10Y (ann.) | 40.67% | 2.39% |
| All-time (ann.) | 40.67% | 2.39% |
| Best Day | 2.91% | 2.13% |
| Worst Day | -2.58% | -2.03% |
| Best Month | 10.51% | 3.22% |
| Worst Month | -1.03% | -4.86% |
| Best Year | 18.6% | 1.19% |
| Worst Year | 18.6% | 1.19% |
| Avg. Drawdown | -1.13% | -1.6% |
| Avg. Drawdown Days | 9 | 13 |
| Recovery Factor | 3.9 | 0.25 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 2.75 | 0.1 |
| Avg. Up Month | 4.62% | 1.61% |
| Avg. Down Month | -1.03% | -2.73% |
| Win Days | 53.97% | 49.12% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.31 |
| Alpha | - | -0.08 |
| Correlation | - | 33.47% |
| Treynor Ratio | - | 3.86% |
| Year | SPY | BRW | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 1.19 | 0.06 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-06 | 2026-09-22 | -6.21 | 48 |
| 2026-06-03 | 2026-08-04 | -5.18 | 63 |
| 2026-04-10 | 2026-04-15 | -2.25 | 6 |
| 2026-04-24 | 2026-05-01 | -1.75 | 8 |
| 2026-05-13 | 2026-05-27 | -1.47 | 15 |
| 2026-03-26 | 2026-03-26 | -0.76 | 1 |
| 2026-04-17 | 2026-04-21 | -0.44 | 5 |
| 2026-04-01 | 2026-04-02 | -0.30 | 2 |
| 2026-05-07 | 2026-05-11 | -0.29 | 5 |
| 2026-05-05 | 2026-05-05 | -0.29 | 1 |