| Metric | SPY | BXMIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 88.0% |
| Cumulative Return | 9.82% | 6.07% |
| CAGR﹪ | 13.01% | 7.99% |
| Sharpe | 0.74 | 1.21 |
| Prob. Sharpe Ratio | 74.2% | 85.8% |
| Smart Sharpe | 0.72 | 1.21 |
| Sortino | 1.11 | 1.89 |
| Smart Sortino | 1.07 | 1.88 |
| Sortino/√2 | 0.78 | 1.34 |
| Smart Sortino/√2 | 0.76 | 1.33 |
| Omega | 1.18 | 1.45 |
| Max Drawdown | -6.98% | -1.78% |
| Max DD Date | 2026-03-24 | 2026-11-04 |
| Max DD Period Start | 2026-01-28 | 2026-09-10 |
| Max DD Period End | 2026-04-08 | 2026-11-04 |
| Longest DD Days | 78 | 65 |
| Volatility (ann.) | 12.82% | 3.49% |
| R^2 | 0.51 | 0.51 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 1.86 | 4.48 |
| Skew | 0.13 | 0.41 |
| Kurtosis | 0.96 | 1.96 |
| Ulcer Performance Index | 4.3 | 10.25 |
| Risk-Adjusted Return | 13.01% | 9.08% |
| Risk-Return Ratio | 0.06 | 0.14 |
| Avg. Return | 0.08% | 0.04% |
| Avg. Win | 0.75% | 0.22% |
| Avg. Loss | -0.68% | -0.19% |
| Win/Loss Ratio | 1.1 | 1.16 |
| Profit Ratio | 1.16 | 0.56 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 0.72% | 0.45% |
| Expected Yearly | 4.79% | 2.99% |
| Kelly Criterion | 4.98% | 17.94% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.33% |
| Expected Shortfall (cVaR) | -1.66% | -0.41% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 8 | 4 |
| Gain/Pain Ratio | 0.18 | 0.45 |
| Gain/Pain (1M) | 1.12 | 3.14 |
| Payoff Ratio | 1.1 | 1.16 |
| Profit Factor | 1.18 | 1.45 |
| Common Sense Ratio | 1.27 | 1.46 |
| CPC Index | 0.65 | 0.94 |
| Tail Ratio | 1.07 | 1.01 |
| Outlier Win Ratio | 2.77 | 3.84 |
| Outlier Loss Ratio | 2.91 | 2.86 |
| MTD | 1.47% | -0.26% |
| 3M | 1.46% | 0.09% |
| 6M | 5.62% | 3.12% |
| YTD | 12.16% | 5.29% |
| 1Y | 9.82% | 6.07% |
| 3Y (ann.) | 13.01% | 7.99% |
| 5Y (ann.) | 13.01% | 7.99% |
| 10Y (ann.) | 13.01% | 7.99% |
| All-time (ann.) | 13.01% | 7.99% |
| Best Day | 2.91% | 0.97% |
| Worst Day | -2.58% | -0.62% |
| Best Month | 8.48% | 1.73% |
| Worst Month | -3.14% | -0.68% |
| Best Year | 12.16% | 5.29% |
| Worst Year | -2.09% | 0.74% |
| Avg. Drawdown | -2.16% | -0.39% |
| Avg. Drawdown Days | 26 | 12 |
| Recovery Factor | 1.43 | 3.33 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.68 | 1.47 |
| Avg. Up Month | 2.94% | 1.04% |
| Avg. Down Month | -1.25% | -0.41% |
| Win Days | 50.26% | 55.95% |
| Win Month | 53.85% | 61.54% |
| Win Quarter | 60.0% | 80.0% |
| Win Year | 50.0% | 100.0% |
| Beta | - | 0.19 |
| Alpha | - | 0.05 |
| Correlation | - | 71.07% |
| Treynor Ratio | - | 31.39% |
| Year | SPY | BXMIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | -2.09 | 0.74 | -0.35 | + |
| 2026 | 12.16 | 5.29 | 0.44 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-10 | 2026-11-04 | -1.78 | 56 |
| 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 |
| 2025-11-13 | 2025-12-18 | -0.60 | 36 |
| 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 |
| 2025-11-06 | 2025-11-06 | -0.26 | 1 |
| 2026-08-17 | 2026-09-02 | -0.26 | 17 |