| Metric | SPY | BXMIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 85.0% |
| Cumulative Return | 18.52% | 6.64% |
| CAGR﹪ | 48.12% | 16.03% |
| Sharpe | 2.7 | 3.16 |
| Prob. Sharpe Ratio | 96.48% | 98.7% |
| Smart Sharpe | 2.66 | 2.98 |
| Sortino | 4.67 | 5.93 |
| Smart Sortino | 4.59 | 5.6 |
| Sortino/√2 | 3.3 | 4.19 |
| Smart Sortino/√2 | 3.25 | 3.96 |
| Omega | 1.65 | 2.11 |
| Max Drawdown | -4.49% | -0.97% |
| Max DD Date | 2026-06-10 | 2026-06-10 |
| Max DD Period Start | 2026-06-03 | 2026-06-02 |
| Max DD Period End | 2026-07-31 | 2026-06-12 |
| Longest DD Days | 59 | 19 |
| Volatility (ann.) | 13.57% | 3.6% |
| R^2 | 0.55 | 0.55 |
| Information Ratio | -0.14 | -0.14 |
| Calmar | 10.71 | 16.56 |
| Skew | 0.26 | 0.77 |
| Kurtosis | 1.19 | 2.86 |
| Ulcer Performance Index | 11.71 | 23.53 |
| Risk-Adjusted Return | 48.12% | 18.85% |
| Risk-Return Ratio | 0.19 | 0.26 |
| Avg. Return | 0.24% | 0.07% |
| Avg. Win | 0.9% | 0.24% |
| Avg. Loss | -0.62% | -0.17% |
| Win/Loss Ratio | 1.46 | 1.43 |
| Profit Ratio | 1.27 | 0.56 |
| Expected Daily | 0.16% | 0.06% |
| Expected Monthly | 2.46% | 0.92% |
| Expected Yearly | 18.52% | 6.64% |
| Kelly Criterion | 21.22% | 31.57% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.31% |
| Expected Shortfall (cVaR) | -1.68% | -0.4% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.65 | 1.11 |
| Gain/Pain (1M) | 19.17 | - |
| Payoff Ratio | 1.46 | 1.43 |
| Profit Factor | 1.65 | 2.11 |
| Common Sense Ratio | 2.41 | 3.52 |
| CPC Index | 1.28 | 1.79 |
| Tail Ratio | 1.46 | 1.67 |
| Outlier Win Ratio | 3.26 | 4.51 |
| Outlier Loss Ratio | 2.98 | 2.24 |
| MTD | 1.08% | -0.0% |
| 3M | 3.82% | 2.62% |
| 6M | 18.52% | 6.64% |
| YTD | 18.52% | 6.64% |
| 1Y | 18.52% | 6.64% |
| 3Y (ann.) | 48.12% | 16.03% |
| 5Y (ann.) | 48.12% | 16.03% |
| 10Y (ann.) | 48.12% | 16.03% |
| All-time (ann.) | 48.12% | 16.03% |
| Best Day | 2.91% | 0.97% |
| Worst Day | -2.58% | -0.62% |
| Best Month | 8.48% | 1.73% |
| Worst Month | -1.03% | -0.0% |
| Best Year | 18.52% | 6.64% |
| Worst Year | 18.52% | 6.64% |
| Avg. Drawdown | -1.15% | -0.28% |
| Avg. Drawdown Days | 12 | 5 |
| Recovery Factor | 3.87 | 6.68 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 2.74 | 6.89 |
| Avg. Up Month | 3.49% | 0.99% |
| Avg. Down Month | - | - |
| Win Days | 53.21% | 59.78% |
| Win Month | 85.71% | 85.71% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.2 |
| Alpha | - | 0.07 |
| Correlation | - | 73.98% |
| Treynor Ratio | - | 33.85% |
| Year | SPY | BXMIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.52 | 6.64 | 0.36 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-02 | 2026-06-12 | -0.97 | 11 |
| 2026-07-16 | 2026-08-03 | -0.95 | 19 |
| 2026-09-10 | 2026-09-22 | -0.59 | 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 | 2026-08-26 | -0.26 | 10 |
| 2026-03-24 | 2026-03-24 | -0.18 | 1 |
| 2026-04-20 | 2026-04-21 | -0.18 | 2 |
| 2026-05-27 | 2026-05-29 | -0.18 | 3 |