| Metric | SPY | GFSYX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 69.0% |
| Cumulative Return | 204.97% | 32.45% |
| CAGR﹪ | 16.25% | 3.87% |
| Sharpe | 0.72 | 0.27 |
| Prob. Sharpe Ratio | 97.45% | 76.45% |
| Smart Sharpe | 0.63 | 0.21 |
| Sortino | 1.02 | 0.36 |
| Smart Sortino | 0.88 | 0.28 |
| Sortino/√2 | 0.72 | 0.25 |
| Smart Sortino/√2 | 0.62 | 0.19 |
| Omega | 1.18 | 1.3 |
| Max Drawdown | -33.72% | -9.54% |
| Max DD Date | 2020-03-23 | 2020-03-20 |
| Max DD Period Start | 2020-02-20 | 2020-02-20 |
| Max DD Period End | 2020-08-07 | 2021-04-01 |
| Longest DD Days | 708 | 407 |
| Volatility (ann.) | 19.45% | 3.66% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.48 | 0.41 |
| Skew | -0.29 | -1.86 |
| Kurtosis | 13.94 | 147.45 |
| Ulcer Performance Index | 25.91 | 18.98 |
| Risk-Adjusted Return | 16.25% | 5.61% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.89% | 0.17% |
| Avg. Loss | -1.1% | -0.21% |
| Win/Loss Ratio | 0.81 | 0.79 |
| Profit Ratio | 0.78 | 0.19 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.31% |
| Expected Yearly | 14.96% | 3.58% |
| Kelly Criterion | -0.19% | 8.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.36% |
| Expected Shortfall (cVaR) | -3.2% | -0.85% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 5 |
| Gain/Pain Ratio | 0.18 | 0.3 |
| Gain/Pain (1M) | 1.15 | 1.89 |
| Payoff Ratio | 0.81 | 0.79 |
| Profit Factor | 1.18 | 1.3 |
| Common Sense Ratio | 1.13 | 1.36 |
| CPC Index | 0.53 | 0.62 |
| Tail Ratio | 0.96 | 1.04 |
| Outlier Win Ratio | 3.69 | 4.31 |
| Outlier Loss Ratio | 4.12 | 2.39 |
| 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.) | 16.25% | 3.87% |
| All-time (ann.) | 16.25% | 3.87% |
| Best Day | 10.5% | 4.28% |
| Worst Day | -10.94% | -4.34% |
| Best Month | 12.7% | 1.51% |
| Worst Month | -12.49% | -5.21% |
| Best Year | 28.73% | 7.4% |
| Worst Year | -18.18% | -0.56% |
| Avg. Drawdown | -1.79% | -0.41% |
| Avg. Drawdown Days | 16 | 20 |
| Recovery Factor | 3.72 | 3.0 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 1.03 | 0.78 |
| Avg. Up Month | 3.98% | 0.7% |
| Avg. Down Month | -4.57% | -0.84% |
| Win Days | 55.15% | 59.39% |
| Win Month | 65.56% | 73.86% |
| Win Quarter | 77.42% | 90.32% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.06 |
| Alpha | - | 0.03 |
| Correlation | - | 31.59% |
| Treynor Ratio | - | 546.34% |
| Year | SPY | GFSYX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 2.14 | 0.13 | - |
| 2020 | 18.33 | -0.17 | -0.01 | - |
| 2021 | 28.73 | 4.96 | 0.17 | - |
| 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 |
|---|---|---|---|
| 2020-02-20 | 2021-04-01 | -9.54 | 407 |
| 2024-12-09 | 2025-10-21 | -4.49 | 317 |
| 2021-12-30 | 2022-11-18 | -2.13 | 324 |
| 2026-01-02 | 2026-05-18 | -1.34 | 137 |
| 2025-11-21 | 2025-12-29 | -1.26 | 39 |
| 2019-07-29 | 2019-10-03 | -1.17 | 67 |
| 2022-11-23 | 2023-04-04 | -1.15 | 133 |
| 2021-08-23 | 2021-11-03 | -1.07 | 73 |
| 2021-04-19 | 2021-06-30 | -0.80 | 73 |
| 2023-06-12 | 2023-06-23 | -0.60 | 12 |