| Metric | SPY | GFSYX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 69.0% |
| Cumulative Return | 17.87% | 5.42% |
| CAGR﹪ | 18.02% | 5.46% |
| Sharpe | 1.04 | 0.56 |
| Prob. Sharpe Ratio | 84.73% | 70.92% |
| Smart Sharpe | 1.01 | 0.52 |
| Sortino | 1.51 | 0.79 |
| Smart Sortino | 1.47 | 0.74 |
| Sortino/√2 | 1.07 | 0.56 |
| Smart Sortino/√2 | 1.04 | 0.52 |
| Omega | 1.25 | 1.45 |
| Max Drawdown | -8.88% | -1.34% |
| Max DD Date | 2026-03-30 | 2026-03-24 |
| Max DD Period Start | 2026-01-28 | 2026-01-02 |
| Max DD Period End | 2026-04-13 | 2026-05-18 |
| Longest DD Days | 76 | 137 |
| Volatility (ann.) | 12.99% | 2.48% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 2.03 | 4.09 |
| Skew | -0.15 | -0.26 |
| Kurtosis | 1.05 | 0.65 |
| Ulcer Performance Index | 8.3 | 10.19 |
| Risk-Adjusted Return | 18.02% | 7.92% |
| Risk-Return Ratio | 0.08 | 0.14 |
| Avg. Return | -0.01% | 0.03% |
| Avg. Win | 0.58% | 0.17% |
| Avg. Loss | -0.5% | -0.17% |
| Win/Loss Ratio | 1.15 | 1.0 |
| Profit Ratio | 0.94 | 0.22 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.27% | 0.41% |
| Expected Yearly | 8.57% | 2.67% |
| Kelly Criterion | 13.31% | 18.43% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.24% |
| Expected Shortfall (cVaR) | -1.72% | -0.37% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.25 | 0.45 |
| Gain/Pain (1M) | 2.6 | 4.78 |
| Payoff Ratio | 1.15 | 1.0 |
| Profit Factor | 1.25 | 1.45 |
| Common Sense Ratio | 1.24 | 1.46 |
| CPC Index | 0.77 | 0.85 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 2.88 | 3.53 |
| Outlier Loss Ratio | 3.19 | 1.99 |
| MTD | 1.08% | 0.11% |
| 3M | 3.82% | 2.43% |
| 6M | 19.85% | 4.51% |
| YTD | 14.3% | 3.12% |
| 1Y | 17.87% | 5.42% |
| 3Y (ann.) | 18.02% | 5.46% |
| 5Y (ann.) | 18.02% | 5.46% |
| 10Y (ann.) | 18.02% | 5.46% |
| All-time (ann.) | 18.02% | 5.46% |
| Best Day | 2.91% | 0.45% |
| Worst Day | -2.7% | -0.56% |
| Best Month | 10.51% | 1.34% |
| Worst Month | -4.94% | -0.56% |
| Best Year | 14.3% | 3.12% |
| Worst Year | 3.13% | 2.23% |
| Avg. Drawdown | -1.71% | -0.27% |
| Avg. Drawdown Days | 13 | 10 |
| Recovery Factor | 1.94 | 3.97 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 1.38 |
| Avg. Up Month | 1.52% | 0.62% |
| Avg. Down Month | -4.94% | -0.45% |
| Win Days | 53.6% | 59.3% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.03 |
| Alpha | - | 0.06 |
| Correlation | - | -14.05% |
| Treynor Ratio | - | -201.65% |
| Year | SPY | GFSYX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 2.23 | 0.71 | - |
| 2026 | 14.30 | 3.12 | 0.22 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-02 | 2026-05-18 | -1.34 | 137 |
| 2025-11-21 | 2025-12-29 | -1.26 | 39 |
| 2026-06-02 | 2026-06-04 | -0.33 | 3 |
| 2026-07-14 | 2026-07-23 | -0.33 | 10 |
| 2026-08-19 | 2026-09-01 | -0.32 | 14 |
| 2026-09-08 | 2026-09-14 | -0.32 | 7 |
| 2026-05-27 | 2026-05-28 | -0.22 | 2 |
| 2026-06-08 | 2026-06-11 | -0.22 | 4 |
| 2026-06-18 | 2026-06-18 | -0.22 | 1 |
| 2026-09-18 | 2026-09-18 | -0.22 | 1 |