| Metric | SPY | GFFRX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 18.6% | 14.2% |
| CAGR﹪ | 40.67% | 30.42% |
| Sharpe | 2.32 | 2.55 |
| Prob. Sharpe Ratio | 95.04% | 96.43% |
| Smart Sharpe | 2.3 | 2.39 |
| Sortino | 3.78 | 4.12 |
| Smart Sortino | 3.75 | 3.87 |
| Sortino/√2 | 2.67 | 2.91 |
| Smart Sortino/√2 | 2.65 | 2.74 |
| Omega | 1.54 | 1.6 |
| Max Drawdown | -4.49% | -3.98% |
| Max DD Date | 2026-06-10 | 2026-06-26 |
| Max DD Period Start | 2026-06-03 | 2026-06-04 |
| Max DD Period End | 2026-07-31 | 2026-07-21 |
| Longest DD Days | 59 | 48 |
| Volatility (ann.) | 13.55% | 9.18% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 9.05 | 7.65 |
| Skew | 0.1 | 0.03 |
| Kurtosis | 1.12 | 0.19 |
| Ulcer Performance Index | 11.86 | 10.92 |
| Risk-Adjusted Return | 40.67% | 32.02% |
| Risk-Return Ratio | 0.16 | 0.19 |
| Avg. Return | 0.14% | 0.11% |
| Avg. Win | 0.56% | 0.49% |
| Avg. Loss | -0.63% | -0.52% |
| Win/Loss Ratio | 0.89 | 0.94 |
| Profit Ratio | 1.12 | 0.69 |
| Expected Daily | 0.14% | 0.11% |
| Expected Monthly | 2.47% | 1.92% |
| Expected Yearly | 18.6% | 14.2% |
| Kelly Criterion | 2.23% | 13.05% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.84% |
| Expected Shortfall (cVaR) | -1.77% | -1.02% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.54 | 0.6 |
| Gain/Pain (1M) | 10.92 | 16.46 |
| Payoff Ratio | 0.89 | 0.94 |
| Profit Factor | 1.54 | 1.6 |
| Common Sense Ratio | 2.01 | 2.02 |
| CPC Index | 0.74 | 0.87 |
| Tail Ratio | 1.3 | 1.26 |
| Outlier Win Ratio | 3.21 | 2.93 |
| Outlier Loss Ratio | 3.16 | 2.43 |
| MTD | 1.08% | 4.03% |
| 3M | 3.82% | 6.98% |
| 6M | 18.6% | 14.2% |
| YTD | 18.6% | 14.2% |
| 1Y | 18.6% | 14.2% |
| 3Y (ann.) | 40.67% | 30.42% |
| 5Y (ann.) | 40.67% | 30.42% |
| 10Y (ann.) | 40.67% | 30.42% |
| All-time (ann.) | 40.67% | 30.42% |
| Best Day | 2.91% | 1.79% |
| Worst Day | -2.58% | -1.52% |
| Best Month | 10.51% | 4.03% |
| Worst Month | -1.03% | -0.88% |
| Best Year | 18.6% | 14.2% |
| Worst Year | 18.6% | 14.2% |
| Avg. Drawdown | -1.13% | -0.82% |
| Avg. Drawdown Days | 9 | 6 |
| Recovery Factor | 3.9 | 3.39 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 2.75 | 2.02 |
| Avg. Up Month | 3.91% | 2.8% |
| Avg. Down Month | -1.03% | -0.88% |
| Win Days | 53.97% | 57.98% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.02 |
| Alpha | - | 0.28 |
| Correlation | - | -3.29% |
| Treynor Ratio | - | -637.73% |
| Year | SPY | GFFRX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 14.20 | 0.76 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-04 | 2026-07-21 | -3.98 | 48 |
| 2026-07-24 | 2026-08-13 | -2.36 | 21 |
| 2026-08-18 | 2026-08-27 | -1.92 | 10 |
| 2026-05-26 | 2026-05-29 | -0.98 | 4 |
| 2026-04-17 | 2026-04-20 | -0.91 | 4 |
| 2026-03-30 | 2026-04-02 | -0.81 | 4 |
| 2026-04-08 | 2026-04-09 | -0.69 | 2 |
| 2026-09-02 | 2026-09-08 | -0.63 | 7 |
| 2026-09-17 | 2026-09-17 | -0.51 | 1 |
| 2026-04-14 | 2026-04-15 | -0.46 | 2 |