| Metric | SPY | GFSYX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 71.0% |
| Cumulative Return | 86.58% | 25.79% |
| CAGR﹪ | 13.36% | 4.72% |
| Sharpe | 0.59 | 0.24 |
| Prob. Sharpe Ratio | 90.85% | 70.54% |
| Smart Sharpe | 0.58 | 0.17 |
| Sortino | 0.86 | 0.35 |
| Smart Sortino | 0.83 | 0.25 |
| Sortino/√2 | 0.61 | 0.24 |
| Smart Sortino/√2 | 0.59 | 0.17 |
| Omega | 1.16 | 1.37 |
| 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.) | 17.2% | 3.62% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.55 | 1.05 |
| Skew | 0.32 | -0.42 |
| Kurtosis | 8.95 | 203.36 |
| Ulcer Performance Index | 10.24 | 19.62 |
| Risk-Adjusted Return | 13.36% | 6.65% |
| 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 | 0.9 | 0.94 |
| Profit Ratio | 0.83 | 0.25 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.38% |
| Expected Yearly | 10.95% | 3.9% |
| Kelly Criterion | 2.89% | 13.16% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.36% |
| Expected Shortfall (cVaR) | -2.58% | -0.75% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 4 |
| Gain/Pain Ratio | 0.16 | 0.37 |
| Gain/Pain (1M) | 0.87 | 3.92 |
| Payoff Ratio | 0.9 | 0.94 |
| Profit Factor | 1.16 | 1.37 |
| Common Sense Ratio | 1.17 | 1.75 |
| CPC Index | 0.56 | 0.75 |
| Tail Ratio | 1.01 | 1.27 |
| Outlier Win Ratio | 3.41 | 3.47 |
| Outlier Loss Ratio | 3.77 | 2.16 |
| MTD | 1.08% | 0.11% |
| 3M | 3.82% | 2.43% |
| 6M | 19.85% | 4.51% |
| YTD | 14.3% | 3.12% |
| 1Y | 17.78% | 5.64% |
| 3Y (ann.) | 24.86% | 5.74% |
| 5Y (ann.) | 13.06% | 4.76% |
| 10Y (ann.) | 13.36% | 4.72% |
| All-time (ann.) | 13.36% | 4.72% |
| 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 | -1.89% | -0.36% |
| Avg. Drawdown Days | 20 | 20 |
| Recovery Factor | 2.85 | 5.18 |
| Ulcer Index | 0.08 | 0.01 |
| Serenity Index | 0.47 | 1.21 |
| Avg. Up Month | 3.58% | 0.64% |
| Avg. Down Month | -4.27% | -0.52% |
| Win Days | 54.04% | 57.97% |
| Win Month | 63.93% | 76.27% |
| Win Quarter | 66.67% | 85.71% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.0 |
| Alpha | - | 0.05 |
| Correlation | - | 1.09% |
| Treynor Ratio | - | 11266.4% |
| Year | SPY | GFSYX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 2.19 | 0.29 | - |
| 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 | 14.30 | 3.12 | 0.22 | - |
| 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 | 2026-05-29 | -1.34 | 148 |
| 2025-11-21 | 2025-12-29 | -1.26 | 39 |
| 2022-11-23 | 2023-04-04 | -1.15 | 133 |
| 2021-10-26 | 2021-11-03 | -0.68 | 9 |
| 2023-05-15 | 2023-07-13 | -0.60 | 60 |
| 2021-09-27 | 2021-10-15 | -0.59 | 19 |
| 2021-12-16 | 2021-12-23 | -0.58 | 8 |
| 2023-12-13 | 2024-01-10 | -0.56 | 29 |