| Metric | SPY | GFFRX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 18.3% | 18.05% |
| CAGR﹪ | 18.62% | 18.36% |
| Sharpe | 1.07 | 1.47 |
| Prob. Sharpe Ratio | 85.46% | 92.53% |
| Smart Sharpe | 1.04 | 1.45 |
| Sortino | 1.56 | 2.19 |
| Smart Sortino | 1.52 | 2.17 |
| Sortino/√2 | 1.1 | 1.55 |
| Smart Sortino/√2 | 1.07 | 1.54 |
| Omega | 1.26 | 1.35 |
| Max Drawdown | -8.88% | -4.87% |
| Max DD Date | 2026-03-30 | 2026-03-23 |
| Max DD Period Start | 2026-01-28 | 2026-02-26 |
| Max DD Period End | 2026-04-13 | 2026-05-08 |
| Longest DD Days | 76 | 72 |
| Volatility (ann.) | 13.04% | 9.09% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 2.1 | 3.77 |
| Skew | -0.16 | -0.15 |
| Kurtosis | 1.03 | 0.35 |
| Ulcer Performance Index | 8.48 | 10.46 |
| Risk-Adjusted Return | 18.62% | 19.13% |
| Risk-Return Ratio | 0.09 | 0.12 |
| Avg. Return | 0.07% | 0.07% |
| Avg. Win | 0.59% | 0.5% |
| Avg. Loss | -0.72% | -0.51% |
| Win/Loss Ratio | 0.83 | 0.99 |
| Profit Ratio | 0.91 | 0.75 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.3% | 1.28% |
| Expected Yearly | 8.77% | 8.65% |
| Kelly Criterion | -1.27% | 9.64% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.87% |
| Expected Shortfall (cVaR) | -1.72% | -1.14% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.26 | 0.35 |
| Gain/Pain (1M) | 2.66 | 3.35 |
| Payoff Ratio | 0.83 | 0.99 |
| Profit Factor | 1.26 | 1.35 |
| Common Sense Ratio | 1.25 | 1.53 |
| CPC Index | 0.56 | 0.74 |
| Tail Ratio | 0.99 | 1.14 |
| Outlier Win Ratio | 2.88 | 2.92 |
| Outlier Loss Ratio | 3.16 | 2.93 |
| MTD | 1.08% | 4.03% |
| 3M | 3.82% | 6.98% |
| 6M | 19.85% | 13.15% |
| YTD | 14.3% | 13.81% |
| 1Y | 18.3% | 18.05% |
| 3Y (ann.) | 18.62% | 18.36% |
| 5Y (ann.) | 18.62% | 18.36% |
| 10Y (ann.) | 18.62% | 18.36% |
| All-time (ann.) | 18.62% | 18.36% |
| Best Day | 2.91% | 1.79% |
| Worst Day | -2.7% | -1.79% |
| Best Month | 10.51% | 4.03% |
| Worst Month | -4.94% | -4.22% |
| Best Year | 14.3% | 13.81% |
| Worst Year | 3.5% | 3.73% |
| Avg. Drawdown | -1.69% | -1.2% |
| Avg. Drawdown Days | 13 | 12 |
| Recovery Factor | 1.99 | 3.49 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.19 | 1.46 |
| Avg. Up Month | 2.45% | 1.98% |
| Avg. Down Month | -2.98% | -2.55% |
| Win Days | 54.03% | 55.08% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.21 |
| Alpha | - | 0.13 |
| Correlation | - | 30.48% |
| Treynor Ratio | - | 84.89% |
| Year | SPY | GFFRX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.50 | 3.73 | 1.06 | + |
| 2026 | 14.30 | 13.81 | 0.97 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-05-08 | -4.87 | 72 |
| 2026-06-04 | 2026-07-22 | -3.98 | 49 |
| 2026-07-24 | 2026-08-11 | -2.36 | 19 |
| 2025-11-13 | 2025-12-19 | -2.32 | 37 |
| 2026-08-18 | 2026-08-27 | -1.92 | 10 |
| 2025-10-09 | 2025-10-17 | -1.77 | 9 |
| 2025-10-28 | 2025-11-11 | -1.63 | 15 |
| 2026-01-29 | 2026-02-06 | -1.57 | 9 |
| 2026-02-10 | 2026-02-24 | -1.34 | 15 |
| 2026-01-07 | 2026-01-14 | -1.25 | 8 |