| Metric | SPY | GFFRX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 206.09% | 29.85% |
| CAGR﹪ | 16.33% | 3.59% |
| Sharpe | 0.73 | 0.12 |
| Prob. Sharpe Ratio | 97.49% | 62.36% |
| Smart Sharpe | 0.63 | 0.11 |
| Sortino | 1.02 | 0.15 |
| Smart Sortino | 0.88 | 0.14 |
| Sortino/√2 | 0.72 | 0.11 |
| Smart Sortino/√2 | 0.63 | 0.1 |
| Omega | 1.18 | 1.08 |
| Max Drawdown | -33.72% | -24.09% |
| Max DD Date | 2020-03-23 | 2025-05-14 |
| Max DD Period Start | 2020-02-20 | 2022-06-15 |
| Max DD Period End | 2020-08-07 | 2026-10-09 |
| Longest DD Days | 708 | 1578 |
| Volatility (ann.) | 19.46% | 9.93% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.48 | 0.15 |
| Skew | -0.29 | -1.51 |
| Kurtosis | 13.92 | 12.82 |
| Ulcer Performance Index | 26.04 | 3.07 |
| Risk-Adjusted Return | 16.33% | 3.99% |
| Risk-Return Ratio | 0.06 | 0.03 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.72% | 0.44% |
| Avg. Loss | -0.81% | -0.55% |
| Win/Loss Ratio | 0.89 | 0.8 |
| Profit Ratio | 0.78 | 0.46 |
| Expected Daily | 0.06% | 0.01% |
| Expected Monthly | 1.25% | 0.29% |
| Expected Yearly | 15.01% | 3.32% |
| Kelly Criterion | 4.87% | 0.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.01% |
| Expected Shortfall (cVaR) | -3.2% | -1.59% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.18 | 0.08 |
| Gain/Pain (1M) | 1.16 | 0.33 |
| Payoff Ratio | 0.89 | 0.8 |
| Profit Factor | 1.18 | 1.08 |
| Common Sense Ratio | 1.13 | 0.95 |
| CPC Index | 0.58 | 0.48 |
| Tail Ratio | 0.96 | 0.88 |
| Outlier Win Ratio | 3.69 | 3.82 |
| Outlier Loss Ratio | 4.11 | 3.42 |
| 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.) | 16.33% | 3.59% |
| All-time (ann.) | 16.33% | 3.59% |
| Best Day | 10.5% | 2.94% |
| Worst Day | -10.94% | -6.8% |
| Best Month | 12.7% | 9.66% |
| Worst Month | -12.49% | -8.32% |
| Best Year | 28.73% | 19.78% |
| Worst Year | -18.18% | -5.59% |
| Avg. Drawdown | -1.79% | -2.72% |
| Avg. Drawdown Days | 16 | 87 |
| Recovery Factor | 3.74 | 1.24 |
| Ulcer Index | 0.08 | 0.1 |
| Serenity Index | 1.03 | 0.09 |
| Avg. Up Month | 3.87% | 2.18% |
| Avg. Down Month | -2.11% | -2.52% |
| Win Days | 55.21% | 55.62% |
| Win Month | 65.56% | 58.89% |
| Win Quarter | 77.42% | 58.06% |
| Win Year | 87.5% | 62.5% |
| Beta | - | 0.02 |
| Alpha | - | 0.04 |
| Correlation | - | 4.08% |
| Treynor Ratio | - | 1432.99% |
| Year | SPY | GFFRX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | -0.18 | -0.01 | - |
| 2020 | 18.33 | 6.32 | 0.34 | - |
| 2021 | 28.73 | 4.33 | 0.15 | - |
| 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 |
| 2019-09-04 | 2021-02-23 | -12.71 | 539 |
| 2026-10-13 | 2026-11-04 | -6.89 | 23 |
| 2021-06-03 | 2021-10-15 | -5.32 | 135 |
| 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 |
| 2021-02-25 | 2021-05-06 | -3.46 | 71 |
| 2019-08-16 | 2019-08-26 | -1.90 | 11 |
| 2019-07-05 | 2019-07-22 | -1.70 | 18 |