| Metric | SPY | BRW |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 89.0% |
| Cumulative Return | 204.97% | 42.49% |
| CAGR﹪ | 16.25% | 4.9% |
| Sharpe | 0.72 | 0.2 |
| Prob. Sharpe Ratio | 97.45% | 70.25% |
| Smart Sharpe | 0.63 | 0.18 |
| Sortino | 1.02 | 0.26 |
| Smart Sortino | 0.88 | 0.23 |
| Sortino/√2 | 0.72 | 0.18 |
| Smart Sortino/√2 | 0.62 | 0.17 |
| Omega | 1.18 | 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.) | 19.45% | 16.32% |
| R^2 | 0.2 | 0.2 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.48 | 0.12 |
| Skew | -0.29 | -4.95 |
| Kurtosis | 13.94 | 100.62 |
| Ulcer Performance Index | 25.91 | 5.07 |
| Risk-Adjusted Return | 16.25% | 5.5% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.91% | 0.69% |
| Avg. Loss | -1.03% | -0.82% |
| Win/Loss Ratio | 0.88 | 0.84 |
| Profit Ratio | 0.78 | 0.56 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.39% |
| Expected Yearly | 14.96% | 4.53% |
| Kelly Criterion | 4.2% | -3.48% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.67% |
| Expected Shortfall (cVaR) | -3.2% | -3.19% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.18 | 0.09 |
| Gain/Pain (1M) | 1.15 | 0.44 |
| Payoff Ratio | 0.88 | 0.84 |
| Profit Factor | 1.18 | 1.09 |
| Common Sense Ratio | 1.13 | 1.17 |
| CPC Index | 0.57 | 0.48 |
| Tail Ratio | 0.96 | 1.07 |
| Outlier Win Ratio | 3.69 | 4.28 |
| Outlier Loss Ratio | 4.12 | 3.43 |
| 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.) | 16.25% | 4.9% |
| All-time (ann.) | 16.25% | 4.9% |
| 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 | -1.79% | -2.56% |
| Avg. Drawdown Days | 16 | 45 |
| Recovery Factor | 3.72 | 1.15 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | 1.03 | 0.27 |
| Avg. Up Month | 4.58% | 3.18% |
| Avg. Down Month | -4.34% | -3.91% |
| Win Days | 55.15% | 52.84% |
| Win Month | 65.56% | 61.11% |
| Win Quarter | 77.42% | 67.74% |
| Win Year | 87.5% | 62.5% |
| Beta | - | 0.37 |
| Alpha | - | -0.0 |
| Correlation | - | 44.62% |
| Treynor Ratio | - | 113.48% |
| 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 | 13.33 | -3.44 | -0.26 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-12 | 2023-01-30 | -39.69 | 1084 |
| 2025-08-14 | 2026-11-04 | -17.74 | 448 |
| 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 |