| Metric | SPY | BXMIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 89.0% |
| Cumulative Return | 8.62% | 8.19% |
| CAGR﹪ | 12.2% | 11.58% |
| Sharpe | 0.67 | 2.1 |
| Prob. Sharpe Ratio | 71.42% | 96.66% |
| Smart Sharpe | 0.66 | 2.08 |
| Sortino | 1.0 | 3.49 |
| Smart Sortino | 0.98 | 3.45 |
| Sortino/√2 | 0.71 | 2.47 |
| Smart Sortino/√2 | 0.69 | 2.44 |
| Omega | 1.17 | 1.71 |
| Max Drawdown | -8.94% | -1.08% |
| Max DD Date | 2026-03-24 | 2026-03-24 |
| Max DD Period Start | 2025-10-16 | 2026-01-28 |
| Max DD Period End | 2026-04-15 | 2026-04-02 |
| Longest DD Days | 182 | 65 |
| Volatility (ann.) | 12.7% | 3.41% |
| R^2 | 0.49 | 0.49 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 1.36 | 10.68 |
| Skew | 0.18 | 0.47 |
| Kurtosis | 1.12 | 2.23 |
| Ulcer Performance Index | 2.64 | 22.96 |
| Risk-Adjusted Return | 12.2% | 13.01% |
| Risk-Return Ratio | 0.06 | 0.2 |
| Avg. Return | 0.08% | 0.05% |
| Avg. Win | 0.75% | 0.22% |
| Avg. Loss | -0.66% | -0.17% |
| Win/Loss Ratio | 1.14 | 1.3 |
| Profit Ratio | 1.15 | 0.59 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 0.64% | 0.61% |
| Expected Yearly | 4.22% | 4.01% |
| Kelly Criterion | 6.61% | 25.91% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.27% | -0.31% |
| Expected Shortfall (cVaR) | -1.64% | -0.41% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 8 | 4 |
| Gain/Pain Ratio | 0.17 | 0.71 |
| Gain/Pain (1M) | 0.91 | 10.1 |
| Payoff Ratio | 1.14 | 1.3 |
| Profit Factor | 1.17 | 1.71 |
| Common Sense Ratio | 1.31 | 2.21 |
| CPC Index | 0.67 | 1.29 |
| Tail Ratio | 1.11 | 1.29 |
| Outlier Win Ratio | 2.97 | 3.84 |
| Outlier Loss Ratio | 2.81 | 2.4 |
| MTD | 1.08% | -0.0% |
| 3M | 3.82% | 2.62% |
| 6M | 18.52% | 6.64% |
| YTD | 13.12% | 6.93% |
| 1Y | 8.62% | 8.19% |
| 3Y (ann.) | 12.2% | 11.58% |
| 5Y (ann.) | 12.2% | 11.58% |
| 10Y (ann.) | 12.2% | 11.58% |
| All-time (ann.) | 12.2% | 11.58% |
| Best Day | 2.91% | 0.97% |
| Worst Day | -2.58% | -0.62% |
| Best Month | 8.48% | 1.73% |
| Worst Month | -3.62% | -0.43% |
| Best Year | 13.12% | 6.93% |
| Worst Year | -3.98% | 1.18% |
| Avg. Drawdown | -1.67% | -0.32% |
| Avg. Drawdown Days | 24 | 10 |
| Recovery Factor | 0.99 | 7.3 |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 0.31 | 5.89 |
| Avg. Up Month | 2.94% | 1.04% |
| Avg. Down Month | -2.29% | -0.39% |
| Win Days | 50.28% | 58.13% |
| Win Month | 53.85% | 76.92% |
| Win Quarter | 40.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | - | 0.19 |
| Alpha | - | 0.09 |
| Correlation | - | 70.18% |
| Treynor Ratio | - | 43.42% |
| Year | SPY | BXMIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | -3.98 | 1.18 | -0.30 | + |
| 2026 | 13.12 | 6.93 | 0.53 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-28 | 2026-04-02 | -1.08 | 65 |
| 2026-06-02 | 2026-06-12 | -0.97 | 11 |
| 2026-07-16 | 2026-08-03 | -0.95 | 19 |
| 2025-11-04 | 2025-12-18 | -0.69 | 45 |
| 2026-09-10 | 2026-09-22 | -0.59 | 13 |
| 2025-10-16 | 2025-10-28 | -0.43 | 13 |
| 2026-04-23 | 2026-04-30 | -0.27 | 8 |
| 2026-06-23 | 2026-06-24 | -0.26 | 2 |
| 2026-07-07 | 2026-07-08 | -0.26 | 2 |
| 2026-08-17 | 2026-09-02 | -0.26 | 17 |