| Metric | SPY | GFFRX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 87.27% | 23.78% |
| CAGR﹪ | 13.47% | 4.39% |
| Sharpe | 0.6 | 0.1 |
| Prob. Sharpe Ratio | 91.03% | 58.84% |
| Smart Sharpe | 0.58 | 0.1 |
| Sortino | 0.87 | 0.13 |
| Smart Sortino | 0.84 | 0.12 |
| Sortino/√2 | 0.61 | 0.09 |
| Smart Sortino/√2 | 0.59 | 0.09 |
| Omega | 1.16 | 1.09 |
| Max Drawdown | -24.5% | -24.09% |
| Max DD Date | 2022-10-12 | 2025-05-14 |
| Max DD Period Start | 2022-01-04 | 2022-06-15 |
| Max DD Period End | 2023-12-12 | 2026-09-22 |
| Longest DD Days | 708 | 1561 |
| Volatility (ann.) | 17.21% | 10.55% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.55 | 0.18 |
| Skew | 0.32 | -1.76 |
| Kurtosis | 8.93 | 14.43 |
| Ulcer Performance Index | 10.31 | 2.2 |
| Risk-Adjusted Return | 13.47% | 4.88% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.71% | 0.46% |
| Avg. Loss | -0.84% | -0.58% |
| Win/Loss Ratio | 0.85 | 0.8 |
| Profit Ratio | 0.83 | 0.47 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.35% |
| Expected Yearly | 11.02% | 3.62% |
| Kelly Criterion | 0.09% | 0.59% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.07% |
| Expected Shortfall (cVaR) | -2.58% | -1.82% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.16 | 0.09 |
| Gain/Pain (1M) | 0.88 | 0.39 |
| Payoff Ratio | 0.85 | 0.8 |
| Profit Factor | 1.16 | 1.09 |
| Common Sense Ratio | 1.17 | 1.0 |
| CPC Index | 0.53 | 0.49 |
| Tail Ratio | 1.01 | 0.92 |
| Outlier Win Ratio | 3.42 | 3.63 |
| Outlier Loss Ratio | 3.76 | 3.31 |
| MTD | 1.08% | 4.03% |
| 3M | 3.82% | 6.98% |
| 6M | 19.85% | 13.15% |
| YTD | 14.3% | 13.81% |
| 1Y | 18.22% | 18.76% |
| 3Y (ann.) | 25.09% | 1.34% |
| 5Y (ann.) | 13.16% | 3.91% |
| 10Y (ann.) | 13.47% | 4.39% |
| All-time (ann.) | 13.47% | 4.39% |
| Best Day | 10.5% | 2.94% |
| Worst Day | -5.85% | -6.8% |
| Best Month | 10.51% | 9.66% |
| Worst Month | -9.24% | -8.32% |
| Best Year | 26.18% | 19.78% |
| Worst Year | -18.18% | -5.59% |
| Avg. Drawdown | -1.89% | -3.2% |
| Avg. Drawdown Days | 20 | 126 |
| Recovery Factor | 2.86 | 1.0 |
| Ulcer Index | 0.08 | 0.11 |
| Serenity Index | 0.47 | 0.07 |
| Avg. Up Month | 3.44% | 2.45% |
| Avg. Down Month | -2.24% | -2.73% |
| Win Days | 54.12% | 55.76% |
| Win Month | 63.93% | 60.66% |
| Win Quarter | 66.67% | 52.38% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.06 |
| Alpha | - | 0.04 |
| Correlation | - | 9.84% |
| Treynor Ratio | - | 394.18% |
| Year | SPY | GFFRX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 0.39 | 0.05 | - |
| 2022 | -18.18 | 19.78 | -1.09 | + |
| 2023 | 26.18 | -4.30 | -0.16 | - |
| 2024 | 24.89 | -5.59 | -0.22 | - |
| 2025 | 18.15 | 0.12 | 0.01 | - |
| 2026 | 14.30 | 13.81 | 0.97 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-15 | 2026-09-22 | -24.09 | 1561 |
| 2021-10-20 | 2022-02-03 | -5.08 | 107 |
| 2022-04-22 | 2022-06-10 | -4.68 | 50 |
| 2022-02-15 | 2022-03-04 | -4.46 | 18 |
| 2022-03-16 | 2022-03-18 | -1.68 | 3 |
| 2021-09-24 | 2021-10-04 | -1.26 | 11 |
| 2022-03-29 | 2022-03-31 | -0.90 | 3 |
| 2021-10-12 | 2021-10-14 | -0.76 | 3 |
| 2022-04-12 | 2022-04-14 | -0.70 | 3 |
| 2022-02-11 | 2022-02-11 | -0.39 | 1 |