| Metric | SPY | BXMIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 79.0% |
| Cumulative Return | 48.89% | 20.5% |
| CAGR﹪ | 9.13% | 4.18% |
| Sharpe | 0.37 | 0.08 |
| Prob. Sharpe Ratio | 78.57% | 56.7% |
| Smart Sharpe | 0.36 | 0.07 |
| Sortino | 0.53 | 0.11 |
| Smart Sortino | 0.52 | 0.09 |
| Sortino/√2 | 0.38 | 0.08 |
| Smart Sortino/√2 | 0.37 | 0.06 |
| Omega | 1.11 | 1.21 |
| 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.) | 17.5% | 5.99% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.37 | 0.47 |
| Skew | 0.38 | -1.22 |
| Kurtosis | 9.08 | 105.84 |
| Ulcer Performance Index | 5.45 | 4.97 |
| Risk-Adjusted Return | 9.13% | 5.29% |
| Risk-Return Ratio | 0.04 | 0.04 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.83% | 0.22% |
| Avg. Loss | -0.94% | -0.25% |
| Win/Loss Ratio | 0.88 | 0.89 |
| Profit Ratio | 0.88 | 0.29 |
| Expected Daily | 0.03% | 0.02% |
| Expected Monthly | 0.65% | 0.31% |
| Expected Yearly | 6.86% | 3.16% |
| Kelly Criterion | -0.73% | 10.27% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.77% | -0.6% |
| Expected Shortfall (cVaR) | -2.65% | -1.4% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 8 | 7 |
| Gain/Pain Ratio | 0.11 | 0.21 |
| Gain/Pain (1M) | 0.55 | 1.2 |
| Payoff Ratio | 0.88 | 0.89 |
| Profit Factor | 1.11 | 1.21 |
| Common Sense Ratio | 1.13 | 1.24 |
| CPC Index | 0.52 | 0.62 |
| Tail Ratio | 1.02 | 1.03 |
| Outlier Win Ratio | 3.39 | 5.26 |
| Outlier Loss Ratio | 3.78 | 2.89 |
| MTD | 1.47% | -0.26% |
| 3M | 1.46% | 0.09% |
| 6M | 5.62% | 3.12% |
| YTD | 12.16% | 5.29% |
| 1Y | 8.89% | 5.61% |
| 3Y (ann.) | 16.83% | 7.89% |
| 5Y (ann.) | 10.09% | 4.9% |
| 10Y (ann.) | 9.13% | 4.18% |
| All-time (ann.) | 9.13% | 4.18% |
| 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 | -2.33% | -0.98% |
| Avg. Drawdown Days | 31 | 45 |
| Recovery Factor | 1.91 | 2.21 |
| Ulcer Index | 0.09 | 0.04 |
| Serenity Index | 0.29 | 0.22 |
| Avg. Up Month | 3.88% | 1.08% |
| Avg. Down Month | -3.89% | -0.99% |
| Win Days | 52.88% | 57.8% |
| Win Month | 59.02% | 65.57% |
| Win Quarter | 66.67% | 76.19% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.09 |
| Alpha | - | 0.03 |
| Correlation | - | 26.23% |
| Treynor Ratio | - | 228.45% |
| Year | SPY | BXMIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -1.58 | -0.91 | - |
| 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 | 12.16 | 5.29 | 0.44 | - |
| 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 |
| 2026-09-10 | 2026-11-04 | -1.78 | 56 |
| 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 |