| Metric | SPY | BRW |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 89.0% |
| Cumulative Return | 207.58% | 45.44% |
| CAGR﹪ | 16.68% | 5.28% |
| Sharpe | 0.74 | 0.22 |
| Prob. Sharpe Ratio | 97.6% | 71.97% |
| Smart Sharpe | 0.64 | 0.21 |
| Sortino | 1.04 | 0.28 |
| Smart Sortino | 0.9 | 0.26 |
| Sortino/√2 | 0.74 | 0.2 |
| Smart Sortino/√2 | 0.64 | 0.18 |
| Omega | 1.19 | 1.09 |
| Max Drawdown | -33.72% | -39.69% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-02-12 |
| Max DD Period End | 2020-08-07 | 2023-01-30 |
| Longest DD Days | 708 | 1084 |
| Volatility (ann.) | 19.56% | 16.35% |
| R^2 | 0.2 | 0.2 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.13 |
| Skew | -0.29 | -5.01 |
| Kurtosis | 13.84 | 101.61 |
| Ulcer Performance Index | 26.03 | 5.53 |
| Risk-Adjusted Return | 16.68% | 5.93% |
| Risk-Return Ratio | 0.06 | 0.03 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.92% | 0.68% |
| Avg. Loss | -1.05% | -0.82% |
| Win/Loss Ratio | 0.88 | 0.84 |
| Profit Ratio | 0.77 | 0.56 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.28% | 0.43% |
| Expected Yearly | 15.08% | 4.79% |
| Kelly Criterion | 4.26% | -3.18% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -1.67% |
| Expected Shortfall (cVaR) | -3.2% | -3.25% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.19 | 0.09 |
| Gain/Pain (1M) | 1.17 | 0.48 |
| Payoff Ratio | 0.88 | 0.84 |
| Profit Factor | 1.19 | 1.09 |
| Common Sense Ratio | 1.14 | 1.18 |
| CPC Index | 0.57 | 0.48 |
| Tail Ratio | 0.96 | 1.08 |
| Outlier Win Ratio | 3.69 | 4.38 |
| Outlier Loss Ratio | 4.1 | 3.51 |
| 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.) | 16.68% | 5.28% |
| All-time (ann.) | 16.68% | 5.28% |
| Best Day | 10.5% | 7.95% |
| Worst Day | -10.94% | -20.73% |
| Best Month | 12.7% | 9.49% |
| Worst Month | -12.49% | -24.1% |
| Best Year | 28.73% | 18.49% |
| Worst Year | -18.18% | -7.01% |
| Avg. Drawdown | -1.78% | -2.56% |
| Avg. Drawdown Days | 16 | 44 |
| Recovery Factor | 3.75 | 1.2 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | 1.03 | 0.28 |
| Avg. Up Month | 4.58% | 3.18% |
| Avg. Down Month | -4.56% | -3.73% |
| Win Days | 55.26% | 52.98% |
| Win Month | 67.05% | 61.36% |
| Win Quarter | 76.67% | 66.67% |
| Win Year | 87.5% | 62.5% |
| Beta | - | 0.38 |
| Alpha | - | 0.0 |
| Correlation | - | 45.03% |
| Treynor Ratio | - | 120.71% |
| Year | SPY | BRW | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 10.52 | 0.64 | - |
| 2020 | 18.33 | -7.01 | -0.38 | - |
| 2021 | 28.73 | 6.99 | 0.24 | - |
| 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 |
|---|---|---|---|
| 2020-02-12 | 2023-01-30 | -39.69 | 1084 |
| 2025-08-14 | 2026-09-22 | -17.74 | 405 |
| 2025-03-03 | 2025-05-09 | -11.10 | 68 |
| 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 |
| 2023-04-25 | 2023-07-25 | -4.39 | 92 |
| 2019-07-17 | 2019-10-25 | -3.60 | 101 |
| 2025-05-14 | 2025-06-04 | -3.47 | 22 |