| Metric | SPY | GARIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 205.25% | 126.59% |
| CAGR﹪ | 16.28% | 11.69% |
| Sharpe | 0.73 | 0.62 |
| Prob. Sharpe Ratio | 97.46% | 94.85% |
| Smart Sharpe | 0.63 | 0.48 |
| Sortino | 1.02 | 0.87 |
| Smart Sortino | 0.88 | 0.67 |
| Sortino/√2 | 0.72 | 0.61 |
| Smart Sortino/√2 | 0.62 | 0.48 |
| Omega | 1.18 | 1.19 |
| Max Drawdown | -33.72% | -26.49% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2019-12-23 |
| Max DD Period End | 2020-08-07 | 2021-03-25 |
| Longest DD Days | 708 | 506 |
| Volatility (ann.) | 19.46% | 15.06% |
| R^2 | 0.57 | 0.57 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.48 | 0.44 |
| Skew | -0.29 | -0.87 |
| Kurtosis | 13.93 | 89.73 |
| Ulcer Performance Index | 25.93 | 19.52 |
| Risk-Adjusted Return | 16.28% | 12.05% |
| Risk-Return Ratio | 0.06 | 0.05 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.9% | 0.6% |
| Avg. Loss | -0.96% | -0.66% |
| Win/Loss Ratio | 0.93 | 0.91 |
| Profit Ratio | 0.78 | 0.68 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.25% | 0.91% |
| Expected Yearly | 14.97% | 10.77% |
| Kelly Criterion | 7.05% | 6.45% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.51% |
| Expected Shortfall (cVaR) | -3.2% | -2.81% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 11 |
| Gain/Pain Ratio | 0.18 | 0.19 |
| Gain/Pain (1M) | 1.15 | 1.28 |
| Payoff Ratio | 0.93 | 0.91 |
| Profit Factor | 1.18 | 1.19 |
| Common Sense Ratio | 1.13 | 1.23 |
| CPC Index | 0.61 | 0.6 |
| Tail Ratio | 0.96 | 1.03 |
| Outlier Win Ratio | 3.69 | 3.69 |
| Outlier Loss Ratio | 4.11 | 3.94 |
| MTD | 1.47% | 0.24% |
| 3M | 1.46% | 3.08% |
| 6M | 7.34% | 9.25% |
| YTD | 13.43% | 15.15% |
| 1Y | 13.53% | 15.9% |
| 3Y (ann.) | 20.88% | 17.61% |
| 5Y (ann.) | 12.9% | 13.15% |
| 10Y (ann.) | 16.28% | 11.69% |
| All-time (ann.) | 16.28% | 11.69% |
| Best Day | 10.5% | 15.12% |
| Worst Day | -10.94% | -16.6% |
| Best Month | 12.7% | 6.5% |
| Worst Month | -12.49% | -7.86% |
| Best Year | 28.73% | 26.87% |
| Worst Year | -18.18% | -6.19% |
| Avg. Drawdown | -1.81% | -1.57% |
| Avg. Drawdown Days | 16 | 26 |
| Recovery Factor | 3.73 | 3.41 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 1.03 | 0.82 |
| Avg. Up Month | 4.08% | 2.77% |
| Avg. Down Month | -4.09% | -2.7% |
| Win Days | 55.16% | 55.31% |
| Win Month | 65.56% | 66.67% |
| Win Quarter | 77.42% | 80.65% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.58 |
| Alpha | - | 0.02 |
| Correlation | - | 75.3% |
| Treynor Ratio | - | 217.15% |
| Year | SPY | GARIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 8.16 | 0.50 | - |
| 2020 | 18.33 | -6.19 | -0.34 | - |
| 2021 | 28.73 | 26.87 | 0.94 | - |
| 2022 | -18.18 | -5.04 | 0.28 | + |
| 2023 | 26.18 | 17.73 | 0.68 | - |
| 2024 | 24.89 | 17.62 | 0.71 | - |
| 2025 | 17.72 | 16.24 | 0.92 | - |
| 2026 | 13.43 | 15.15 | 1.13 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2019-12-23 | 2021-03-25 | -26.49 | 459 |
| 2024-12-19 | 2026-04-08 | -23.15 | 476 |
| 2022-01-05 | 2023-05-25 | -11.76 | 506 |
| 2021-05-10 | 2021-07-09 | -4.57 | 61 |
| 2019-07-30 | 2019-10-14 | -4.31 | 77 |
| 2023-08-01 | 2023-11-09 | -3.54 | 101 |
| 2024-03-26 | 2024-06-11 | -3.53 | 78 |
| 2021-08-17 | 2021-10-28 | -3.18 | 73 |
| 2026-06-04 | 2026-06-12 | -3.17 | 9 |
| 2024-09-03 | 2024-09-13 | -2.78 | 11 |