| Metric | SPY | BXMIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 78.0% |
| Cumulative Return | 58.76% | 23.5% |
| CAGR﹪ | 10.68% | 4.74% |
| Sharpe | 0.45 | 0.18 |
| Prob. Sharpe Ratio | 83.47% | 64.94% |
| Smart Sharpe | 0.44 | 0.15 |
| Sortino | 0.65 | 0.25 |
| Smart Sortino | 0.64 | 0.2 |
| Sortino/√2 | 0.46 | 0.18 |
| Smart Sortino/√2 | 0.45 | 0.14 |
| Omega | 1.13 | 1.24 |
| Max Drawdown | -24.5% | -8.8% |
| Max DD Date | 2022-10-12 | 2025-04-11 |
| Max DD Period Start | 2022-01-04 | 2024-12-19 |
| Max DD Period End | 2023-12-12 | 2025-12-31 |
| Longest DD Days | 708 | 758 |
| Volatility (ann.) | 17.51% | 5.99% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.44 | 0.54 |
| Skew | 0.36 | -1.22 |
| Kurtosis | 9.04 | 105.39 |
| Ulcer Performance Index | 6.55 | 5.71 |
| Risk-Adjusted Return | 10.68% | 6.08% |
| Risk-Return Ratio | 0.04 | 0.05 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.83% | 0.22% |
| Avg. Loss | -0.95% | -0.25% |
| Win/Loss Ratio | 0.88 | 0.9 |
| Profit Ratio | 0.85 | 0.29 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.76% | 0.35% |
| Expected Yearly | 8.01% | 3.58% |
| Kelly Criterion | 0.6% | 11.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.77% | -0.6% |
| Expected Shortfall (cVaR) | -2.64% | -1.36% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 8 | 7 |
| Gain/Pain Ratio | 0.13 | 0.24 |
| Gain/Pain (1M) | 0.63 | 1.59 |
| Payoff Ratio | 0.88 | 0.9 |
| Profit Factor | 1.13 | 1.24 |
| Common Sense Ratio | 1.14 | 1.27 |
| CPC Index | 0.53 | 0.64 |
| Tail Ratio | 1.02 | 1.03 |
| Outlier Win Ratio | 3.4 | 5.24 |
| Outlier Loss Ratio | 3.75 | 2.88 |
| MTD | 1.08% | -0.0% |
| 3M | 3.82% | 2.62% |
| 6M | 18.52% | 6.64% |
| YTD | 13.12% | 6.93% |
| 1Y | 8.03% | 8.09% |
| 3Y (ann.) | 21.44% | 9.67% |
| 5Y (ann.) | 10.3% | 4.72% |
| 10Y (ann.) | 10.68% | 4.74% |
| All-time (ann.) | 10.68% | 4.74% |
| Best Day | 10.5% | 5.43% |
| Worst Day | -5.85% | -6.0% |
| Best Month | 9.21% | 2.13% |
| Worst Month | -9.24% | -2.24% |
| Best Year | 26.18% | 7.8% |
| Worst Year | -18.18% | -4.62% |
| Avg. Drawdown | -2.25% | -0.92% |
| Avg. Drawdown Days | 30 | 41 |
| Recovery Factor | 2.17 | 2.49 |
| Ulcer Index | 0.09 | 0.04 |
| Serenity Index | 0.33 | 0.25 |
| Avg. Up Month | 3.88% | 1.08% |
| Avg. Down Month | -4.21% | -0.88% |
| Win Days | 53.49% | 58.23% |
| Win Month | 60.66% | 65.57% |
| Win Quarter | 61.9% | 76.19% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.09 |
| Alpha | - | 0.04 |
| Correlation | - | 25.89% |
| Treynor Ratio | - | 265.28% |
| Year | SPY | BXMIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -0.67 | -0.09 | - |
| 2022 | -18.18 | -4.62 | 0.25 | + |
| 2023 | 26.18 | 7.80 | 0.30 | - |
| 2024 | 24.89 | 7.14 | 0.29 | - |
| 2025 | 1.21 | 5.56 | 4.62 | + |
| 2026 | 13.12 | 6.93 | 0.53 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-12-19 | 2025-12-31 | -8.80 | 378 |
| 2021-11-16 | 2023-12-13 | -8.59 | 758 |
| 2023-12-18 | 2024-03-18 | -3.33 | 92 |
| 2024-07-16 | 2024-09-18 | -2.61 | 65 |
| 2026-01-28 | 2026-04-02 | -1.08 | 65 |
| 2024-11-11 | 2024-11-27 | -0.98 | 17 |
| 2026-06-02 | 2026-06-12 | -0.97 | 11 |
| 2026-07-16 | 2026-08-03 | -0.95 | 19 |
| 2024-04-12 | 2024-05-03 | -0.91 | 22 |
| 2024-05-22 | 2024-06-28 | -0.90 | 38 |