| Metric | SPY | GFFRX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 75.63% | 17.84% |
| CAGR﹪ | 12.01% | 3.36% |
| Sharpe | 0.52 | 0.0 |
| Prob. Sharpe Ratio | 87.82% | 50.19% |
| Smart Sharpe | 0.51 | 0.0 |
| Sortino | 0.75 | 0.0 |
| Smart Sortino | 0.73 | 0.0 |
| Sortino/√2 | 0.53 | 0.0 |
| Smart Sortino/√2 | 0.52 | 0.0 |
| Omega | 1.14 | 1.07 |
| 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 | 2026-10-09 |
| Longest DD Days | 708 | 1578 |
| Volatility (ann.) | 17.2% | 10.68% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.14 |
| Skew | 0.33 | -1.72 |
| Kurtosis | 8.96 | 13.78 |
| Ulcer Performance Index | 8.93 | 1.65 |
| Risk-Adjusted Return | 12.01% | 3.74% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.71% | 0.46% |
| Avg. Loss | -0.83% | -0.58% |
| Win/Loss Ratio | 0.85 | 0.79 |
| Profit Ratio | 0.85 | 0.47 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 0.93% | 0.27% |
| Expected Yearly | 9.84% | 2.77% |
| Kelly Criterion | -1.1% | -0.52% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.09% |
| Expected Shortfall (cVaR) | -2.58% | -1.83% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.14 | 0.07 |
| Gain/Pain (1M) | 0.8 | 0.3 |
| Payoff Ratio | 0.85 | 0.79 |
| Profit Factor | 1.14 | 1.07 |
| Common Sense Ratio | 1.15 | 0.96 |
| CPC Index | 0.52 | 0.47 |
| Tail Ratio | 1.01 | 0.9 |
| Outlier Win Ratio | 3.4 | 3.62 |
| Outlier Loss Ratio | 3.79 | 3.31 |
| MTD | 1.47% | -2.0% |
| 3M | 1.46% | 1.63% |
| 6M | 6.94% | 4.25% |
| YTD | 13.33% | 8.24% |
| 1Y | 13.84% | 9.12% |
| 3Y (ann.) | 21.0% | 0.87% |
| 5Y (ann.) | 12.96% | 3.85% |
| 10Y (ann.) | 12.01% | 3.36% |
| All-time (ann.) | 12.01% | 3.36% |
| 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 | -1.93% | -3.61% |
| Avg. Drawdown Days | 21 | 126 |
| Recovery Factor | 2.6 | 0.8 |
| Ulcer Index | 0.08 | 0.11 |
| Serenity Index | 0.43 | 0.06 |
| Avg. Up Month | 3.39% | 2.31% |
| Avg. Down Month | -2.21% | -2.79% |
| Win Days | 53.56% | 55.61% |
| Win Month | 62.3% | 59.02% |
| Win Quarter | 71.43% | 52.38% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.06 |
| Alpha | - | 0.03 |
| Correlation | - | 9.83% |
| Treynor Ratio | - | 292.32% |
| Year | SPY | GFFRX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.48 | 0.28 | - |
| 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 | 13.33 | 8.24 | 0.62 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-15 | 2026-10-09 | -24.09 | 1578 |
| 2026-10-13 | 2026-11-04 | -6.89 | 23 |
| 2021-11-26 | 2022-02-02 | -4.72 | 69 |
| 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 |
| 2021-11-17 | 2021-11-22 | -1.05 | 6 |
| 2022-03-29 | 2022-03-31 | -0.90 | 3 |
| 2022-04-12 | 2022-04-14 | -0.70 | 3 |
| 2021-11-09 | 2021-11-09 | -0.48 | 1 |