| Metric | SPY | GFFRX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 14.81% | 10.02% |
| CAGR﹪ | 15.07% | 10.19% |
| Sharpe | 0.87 | 0.66 |
| Prob. Sharpe Ratio | 80.5% | 74.21% |
| Smart Sharpe | 0.86 | 0.64 |
| Sortino | 1.27 | 0.93 |
| Smart Sortino | 1.26 | 0.89 |
| Sortino/√2 | 0.9 | 0.66 |
| Smart Sortino/√2 | 0.89 | 0.63 |
| Omega | 1.21 | 1.18 |
| Max Drawdown | -8.88% | -6.89% |
| Max DD Date | 2026-03-30 | 2026-11-04 |
| Max DD Period Start | 2026-01-28 | 2026-10-13 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 72 |
| Volatility (ann.) | 12.91% | 9.9% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 1.7 | 1.48 |
| Skew | -0.03 | -0.31 |
| Kurtosis | 0.75 | 0.67 |
| Ulcer Performance Index | 6.86 | 5.08 |
| Risk-Adjusted Return | 15.07% | 10.51% |
| Risk-Return Ratio | 0.07 | 0.06 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.59% | 0.5% |
| Avg. Loss | -0.69% | -0.55% |
| Win/Loss Ratio | 0.85 | 0.92 |
| Profit Ratio | 0.99 | 0.75 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.07% | 0.74% |
| Expected Yearly | 7.15% | 4.89% |
| Kelly Criterion | -3.83% | 3.92% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.99% |
| Expected Shortfall (cVaR) | -1.66% | -1.34% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.21 | 0.18 |
| Gain/Pain (1M) | 1.88 | 0.87 |
| Payoff Ratio | 0.85 | 0.92 |
| Profit Factor | 1.21 | 1.18 |
| Common Sense Ratio | 1.2 | 1.21 |
| CPC Index | 0.54 | 0.58 |
| Tail Ratio | 0.99 | 1.03 |
| Outlier Win Ratio | 2.84 | 2.91 |
| Outlier Loss Ratio | 2.98 | 3.38 |
| MTD | 1.47% | -2.0% |
| 3M | 1.46% | 1.63% |
| 6M | 6.94% | 4.25% |
| YTD | 13.33% | 8.24% |
| 1Y | 14.81% | 10.02% |
| 3Y (ann.) | 15.07% | 10.19% |
| 5Y (ann.) | 15.07% | 10.19% |
| 10Y (ann.) | 15.07% | 10.19% |
| All-time (ann.) | 15.07% | 10.19% |
| Best Day | 2.91% | 1.79% |
| Worst Day | -2.58% | -2.14% |
| Best Month | 10.51% | 5.62% |
| Worst Month | -4.94% | -4.42% |
| Best Year | 13.33% | 8.24% |
| Worst Year | 1.31% | 1.65% |
| Avg. Drawdown | -1.72% | -1.39% |
| Avg. Drawdown Days | 13 | 11 |
| Recovery Factor | 1.65 | 1.46 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.96 | 0.7 |
| Avg. Up Month | 3.04% | 1.96% |
| Avg. Down Month | -2.29% | -3.17% |
| Win Days | 52.42% | 53.97% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.18 |
| Alpha | - | 0.07 |
| Correlation | - | 23.73% |
| Treynor Ratio | - | 55.03% |
| Year | SPY | GFFRX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.31 | 1.65 | 1.26 | + |
| 2026 | 13.33 | 8.24 | 0.62 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-10-13 | 2026-11-04 | -6.89 | 23 |
| 2026-02-26 | 2026-05-08 | -4.87 | 72 |
| 2026-06-04 | 2026-07-21 | -3.98 | 48 |
| 2026-07-24 | 2026-08-07 | -2.36 | 15 |
| 2025-11-13 | 2025-12-19 | -2.32 | 37 |
| 2026-08-18 | 2026-08-27 | -1.92 | 10 |
| 2026-01-29 | 2026-02-06 | -1.57 | 9 |
| 2026-09-29 | 2026-10-05 | -1.50 | 7 |
| 2026-02-10 | 2026-02-24 | -1.34 | 15 |
| 2026-01-07 | 2026-01-14 | -1.25 | 8 |