| Metric | SPY | BXMIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 78.0% |
| Cumulative Return | 159.49% | 31.02% |
| CAGR﹪ | 14.62% | 3.94% |
| Sharpe | 0.65 | 0.21 |
| Prob. Sharpe Ratio | 95.57% | 70.99% |
| Smart Sharpe | 0.56 | 0.2 |
| Sortino | 0.91 | 0.27 |
| Smart Sortino | 0.79 | 0.26 |
| Sortino/√2 | 0.65 | 0.19 |
| Smart Sortino/√2 | 0.56 | 0.18 |
| Omega | 1.16 | 1.19 |
| Max Drawdown | -33.72% | -19.28% |
| Max DD Date | 2020-03-23 | 2020-03-24 |
| Max DD Period Start | 2020-02-20 | 2020-02-24 |
| Max DD Period End | 2020-08-07 | 2021-02-08 |
| Longest DD Days | 708 | 758 |
| Volatility (ann.) | 19.75% | 5.97% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.43 | 0.2 |
| Skew | -0.27 | -2.3 |
| Kurtosis | 13.82 | 81.93 |
| Ulcer Performance Index | 19.36 | 6.47 |
| Risk-Adjusted Return | 14.62% | 5.05% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.85% | 0.22% |
| Avg. Loss | -1.08% | -0.27% |
| Win/Loss Ratio | 0.79 | 0.82 |
| Profit Ratio | 0.78 | 0.26 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.07% | 0.3% |
| Expected Yearly | 12.66% | 3.43% |
| Kelly Criterion | -2.35% | 9.08% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.98% | -0.6% |
| Expected Shortfall (cVaR) | -3.27% | -1.48% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 8 | 7 |
| Gain/Pain Ratio | 0.16 | 0.19 |
| Gain/Pain (1M) | 0.96 | 0.83 |
| Payoff Ratio | 0.79 | 0.82 |
| Profit Factor | 1.16 | 1.19 |
| Common Sense Ratio | 1.11 | 1.2 |
| CPC Index | 0.5 | 0.58 |
| Tail Ratio | 0.96 | 1.01 |
| Outlier Win Ratio | 3.73 | 5.32 |
| Outlier Loss Ratio | 4.09 | 3.15 |
| 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.) | 14.62% | 3.94% |
| All-time (ann.) | 14.62% | 3.94% |
| Best Day | 10.5% | 5.43% |
| Worst Day | -10.94% | -6.0% |
| Best Month | 12.7% | 3.05% |
| Worst Month | -12.49% | -14.39% |
| Best Year | 28.73% | 7.8% |
| Worst Year | -18.18% | -4.62% |
| Avg. Drawdown | -1.94% | -1.2% |
| Avg. Drawdown Days | 19 | 44 |
| Recovery Factor | 3.23 | 1.47 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.85 | 0.17 |
| Avg. Up Month | 4.11% | 1.22% |
| Avg. Down Month | -4.29% | -1.54% |
| Win Days | 54.86% | 59.08% |
| Win Month | 63.33% | 66.67% |
| Win Quarter | 74.19% | 74.19% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.1 |
| Alpha | - | 0.02 |
| Correlation | - | 33.6% |
| Treynor Ratio | - | 305.2% |
| Year | SPY | BXMIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 2.81 | 0.17 | - |
| 2020 | 18.33 | -1.10 | -0.06 | - |
| 2021 | 28.73 | 5.24 | 0.18 | - |
| 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 |
|---|---|---|---|
| 2020-02-24 | 2021-02-08 | -19.28 | 351 |
| 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 | 2024-10-10 | -2.61 | 87 |
| 2021-02-23 | 2021-04-09 | -1.99 | 46 |
| 2021-07-13 | 2021-11-04 | -1.92 | 115 |
| 2026-09-10 | 2026-11-04 | -1.78 | 56 |
| 2019-08-02 | 2019-12-11 | -1.64 | 132 |
| 2026-01-28 | 2026-04-02 | -1.08 | 65 |