| Metric | SPY | BTAL |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 74.99% | -8.26% |
| CAGR﹪ | 11.91% | -1.72% |
| Sharpe | 0.52 | -0.18 |
| Prob. Sharpe Ratio | 87.6% | 34.45% |
| Smart Sharpe | 0.5 | -0.17 |
| Sortino | 0.74 | -0.26 |
| Smart Sortino | 0.72 | -0.25 |
| Sortino/√2 | 0.53 | -0.18 |
| Smart Sortino/√2 | 0.51 | -0.18 |
| Omega | 1.14 | 1.0 |
| Max Drawdown | -24.5% | -47.83% |
| Max DD Date | 2022-10-12 | 2026-06-22 |
| Max DD Period Start | 2022-01-04 | 2025-04-04 |
| Max DD Period End | 2023-12-12 | 2026-11-04 |
| Longest DD Days | 708 | 763 |
| Volatility (ann.) | 17.19% | 20.01% |
| R^2 | 0.42 | 0.42 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.49 | -0.04 |
| Skew | 0.33 | 0.1 |
| Kurtosis | 8.98 | 0.86 |
| Ulcer Performance Index | 8.86 | -0.42 |
| Risk-Adjusted Return | 11.91% | -1.75% |
| Risk-Return Ratio | 0.05 | 0.0 |
| Avg. Return | 0.05% | 0.0% |
| Avg. Win | 0.53% | 0.56% |
| Avg. Loss | -0.41% | -0.57% |
| Win/Loss Ratio | 1.28 | 0.99 |
| Profit Ratio | 0.86 | 0.95 |
| Expected Daily | 0.04% | -0.01% |
| Expected Monthly | 0.92% | -0.14% |
| Expected Yearly | 9.77% | -1.43% |
| Kelly Criterion | 17.14% | -2.26% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -2.07% |
| Expected Shortfall (cVaR) | -2.58% | -2.71% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.14 | 0.0 |
| Gain/Pain (1M) | 0.79 | 0.01 |
| Payoff Ratio | 1.28 | 0.99 |
| Profit Factor | 1.14 | 1.0 |
| Common Sense Ratio | 1.15 | 1.02 |
| CPC Index | 0.78 | 0.49 |
| Tail Ratio | 1.0 | 1.02 |
| Outlier Win Ratio | 3.4 | 3.26 |
| Outlier Loss Ratio | 3.8 | 3.16 |
| MTD | 1.47% | -1.28% |
| 3M | 1.46% | 8.46% |
| 6M | 6.94% | 5.65% |
| YTD | 13.33% | -9.1% |
| 1Y | 13.43% | -8.16% |
| 3Y (ann.) | 20.78% | -9.31% |
| 5Y (ann.) | 12.86% | -3.25% |
| 10Y (ann.) | 11.91% | -1.72% |
| All-time (ann.) | 11.91% | -1.72% |
| Best Day | 10.5% | 5.56% |
| Worst Day | -5.85% | -4.76% |
| Best Month | 10.51% | 10.42% |
| Worst Month | -9.24% | -10.74% |
| Best Year | 26.18% | 20.48% |
| Worst Year | -18.18% | -20.17% |
| Avg. Drawdown | -1.94% | -5.4% |
| Avg. Drawdown Days | 21 | 76 |
| Recovery Factor | 2.58 | 0.03 |
| Ulcer Index | 0.08 | 0.2 |
| Serenity Index | 0.43 | 0.0 |
| Avg. Up Month | 2.88% | 3.33% |
| Avg. Down Month | -2.2% | -2.01% |
| Win Days | 53.48% | 49.22% |
| Win Month | 62.3% | 45.9% |
| Win Quarter | 71.43% | 47.62% |
| Win Year | 83.33% | 50.0% |
| Beta | - | -0.76 |
| Alpha | - | 0.1 |
| Correlation | - | -64.89% |
| Treynor Ratio | - | 10.94% |
| Year | SPY | BTAL | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 9.55 | 5.52 | + |
| 2022 | -18.18 | 20.48 | -1.13 | + |
| 2023 | 26.18 | -15.11 | -0.58 | - |
| 2024 | 24.89 | 12.83 | 0.52 | - |
| 2025 | 17.72 | -20.17 | -1.14 | - |
| 2026 | 13.33 | -9.10 | -0.68 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-04-04 | 2026-11-04 | -47.83 | 580 |
| 2022-07-01 | 2024-08-01 | -17.98 | 763 |
| 2024-08-08 | 2025-03-06 | -12.59 | 211 |
| 2022-03-15 | 2022-04-20 | -7.27 | 37 |
| 2025-03-11 | 2025-04-02 | -6.47 | 23 |
| 2022-01-24 | 2022-03-04 | -5.85 | 40 |
| 2022-06-17 | 2022-06-29 | -4.92 | 13 |
| 2022-05-12 | 2022-06-09 | -4.54 | 29 |
| 2021-12-06 | 2021-12-13 | -3.23 | 8 |
| 2021-12-21 | 2022-01-06 | -3.10 | 17 |