| Metric | SPY | GFSYX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 69.0% |
| Cumulative Return | 14.39% | 4.22% |
| CAGR﹪ | 14.51% | 4.25% |
| Sharpe | 0.83 | 0.22 |
| Prob. Sharpe Ratio | 79.61% | 58.46% |
| Smart Sharpe | 0.82 | 0.2 |
| Sortino | 1.22 | 0.3 |
| Smart Sortino | 1.2 | 0.28 |
| Sortino/√2 | 0.86 | 0.21 |
| Smart Sortino/√2 | 0.85 | 0.2 |
| Omega | 1.2 | 1.34 |
| 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.) | 12.86% | 2.46% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.63 | 3.18 |
| Skew | -0.02 | -0.23 |
| Kurtosis | 0.78 | 0.69 |
| Ulcer Performance Index | 6.68 | 7.87 |
| Risk-Adjusted Return | 14.51% | 6.16% |
| Risk-Return Ratio | 0.07 | 0.11 |
| Avg. Return | 0.02% | 0.02% |
| Avg. Win | 0.59% | 0.17% |
| Avg. Loss | -0.51% | -0.17% |
| Win/Loss Ratio | 1.15 | 1.0 |
| Profit Ratio | 1.02 | 0.23 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.04% | 0.32% |
| Expected Yearly | 6.95% | 2.09% |
| Kelly Criterion | 10.25% | 14.62% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.24% |
| Expected Shortfall (cVaR) | -1.66% | -0.37% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.2 | 0.34 |
| Gain/Pain (1M) | 1.83 | 3.15 |
| Payoff Ratio | 1.15 | 1.0 |
| Profit Factor | 1.2 | 1.34 |
| Common Sense Ratio | 1.19 | 1.35 |
| CPC Index | 0.72 | 0.77 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 2.84 | 3.65 |
| Outlier Loss Ratio | 3.01 | 2.02 |
| MTD | 1.47% | -0.11% |
| 3M | 1.46% | 1.09% |
| 6M | 6.94% | 4.72% |
| YTD | 13.33% | 3.67% |
| 1Y | 14.39% | 4.22% |
| 3Y (ann.) | 14.51% | 4.25% |
| 5Y (ann.) | 14.51% | 4.25% |
| 10Y (ann.) | 14.51% | 4.25% |
| All-time (ann.) | 14.51% | 4.25% |
| Best Day | 2.91% | 0.45% |
| Worst Day | -2.58% | -0.56% |
| Best Month | 10.51% | 1.34% |
| Worst Month | -4.94% | -0.56% |
| Best Year | 13.33% | 3.67% |
| Worst Year | 0.94% | 0.52% |
| Avg. Drawdown | -1.74% | -0.31% |
| Avg. Drawdown Days | 14 | 13 |
| Recovery Factor | 1.61 | 3.11 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 1.06 |
| Avg. Up Month | 2.01% | 0.82% |
| Avg. Down Month | -4.94% | -0.45% |
| Win Days | 52.0% | 57.31% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.02 |
| Alpha | - | 0.04 |
| Correlation | - | -10.22% |
| Treynor Ratio | - | -215.64% |
| Year | SPY | GFSYX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 0.52 | 0.56 | - |
| 2026 | 13.33 | 3.67 | 0.28 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-02 | 2026-05-18 | -1.34 | 137 |
| 2025-11-14 | 2025-12-29 | -1.26 | 46 |
| 2026-10-22 | 2026-11-04 | -0.43 | 14 |
| 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 |