| Metric | SPY | GFSYX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 71.0% |
| Cumulative Return | 74.99% | 26.22% |
| CAGR﹪ | 11.91% | 4.79% |
| Sharpe | 0.52 | 0.25 |
| Prob. Sharpe Ratio | 87.6% | 70.74% |
| Smart Sharpe | 0.5 | 0.18 |
| Sortino | 0.74 | 0.35 |
| Smart Sortino | 0.72 | 0.25 |
| Sortino/√2 | 0.53 | 0.25 |
| Smart Sortino/√2 | 0.51 | 0.18 |
| Omega | 1.14 | 1.39 |
| Max Drawdown | -24.5% | -4.49% |
| Max DD Date | 2022-10-12 | 2024-12-17 |
| Max DD Period Start | 2022-01-04 | 2024-12-09 |
| Max DD Period End | 2023-12-12 | 2025-10-21 |
| Longest DD Days | 708 | 327 |
| Volatility (ann.) | 17.19% | 3.59% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 1.07 |
| Skew | 0.33 | -0.43 |
| Kurtosis | 8.98 | 208.85 |
| Ulcer Performance Index | 8.86 | 19.97 |
| Risk-Adjusted Return | 11.91% | 6.75% |
| Risk-Return Ratio | 0.05 | 0.08 |
| Avg. Return | 0.03% | 0.03% |
| Avg. Win | 0.73% | 0.17% |
| Avg. Loss | -0.81% | -0.18% |
| Win/Loss Ratio | 0.91 | 0.93 |
| Profit Ratio | 0.86 | 0.24 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.38% |
| Expected Yearly | 9.77% | 3.96% |
| Kelly Criterion | 2.47% | 13.48% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.35% |
| Expected Shortfall (cVaR) | -2.58% | -0.77% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 4 |
| Gain/Pain Ratio | 0.14 | 0.39 |
| Gain/Pain (1M) | 0.79 | 4.18 |
| Payoff Ratio | 0.91 | 0.93 |
| Profit Factor | 1.14 | 1.39 |
| Common Sense Ratio | 1.15 | 1.45 |
| CPC Index | 0.56 | 0.75 |
| Tail Ratio | 1.0 | 1.04 |
| Outlier Win Ratio | 3.4 | 3.53 |
| Outlier Loss Ratio | 3.8 | 2.04 |
| MTD | 1.47% | -0.11% |
| 3M | 1.46% | 1.09% |
| 6M | 6.94% | 4.72% |
| YTD | 13.33% | 3.67% |
| 1Y | 13.43% | 4.43% |
| 3Y (ann.) | 20.78% | 5.74% |
| 5Y (ann.) | 12.86% | 4.62% |
| 10Y (ann.) | 11.91% | 4.79% |
| All-time (ann.) | 11.91% | 4.79% |
| Best Day | 10.5% | 4.28% |
| Worst Day | -5.85% | -4.34% |
| Best Month | 10.51% | 1.43% |
| Worst Month | -9.24% | -1.17% |
| Best Year | 26.18% | 7.4% |
| Worst Year | -18.18% | -0.56% |
| Avg. Drawdown | -1.94% | -0.33% |
| Avg. Drawdown Days | 21 | 18 |
| Recovery Factor | 2.58 | 5.26 |
| Ulcer Index | 0.08 | 0.01 |
| Serenity Index | 0.43 | 1.22 |
| Avg. Up Month | 3.55% | 0.67% |
| Avg. Down Month | -4.43% | -0.54% |
| Win Days | 53.48% | 58.25% |
| Win Month | 62.3% | 76.27% |
| Win Quarter | 71.43% | 90.48% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.0 |
| Alpha | - | 0.05 |
| Correlation | - | 0.59% |
| Treynor Ratio | - | 21313.57% |
| Year | SPY | GFSYX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 1.99 | 1.15 | + |
| 2022 | -18.18 | -0.56 | 0.03 | + |
| 2023 | 26.18 | 5.97 | 0.23 | - |
| 2024 | 24.89 | 7.40 | 0.30 | - |
| 2025 | 17.72 | 5.48 | 0.31 | - |
| 2026 | 13.33 | 3.67 | 0.28 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-12-09 | 2025-10-21 | -4.49 | 317 |
| 2021-12-30 | 2022-11-21 | -2.13 | 327 |
| 2026-01-02 | 2026-05-18 | -1.34 | 137 |
| 2025-11-21 | 2025-12-29 | -1.26 | 39 |
| 2022-11-23 | 2023-04-04 | -1.15 | 133 |
| 2023-06-12 | 2023-06-23 | -0.60 | 12 |
| 2021-12-16 | 2021-12-23 | -0.58 | 8 |
| 2023-12-13 | 2024-01-10 | -0.56 | 29 |
| 2023-06-29 | 2023-07-13 | -0.50 | 15 |
| 2023-11-14 | 2023-12-08 | -0.48 | 25 |