| Metric | SPY | GIMMX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 14.81% | 8.45% |
| CAGR﹪ | 15.07% | 8.59% |
| Sharpe | 0.87 | 0.6 |
| Prob. Sharpe Ratio | 80.5% | 72.21% |
| Smart Sharpe | 0.86 | 0.55 |
| Sortino | 1.27 | 0.82 |
| Smart Sortino | 1.26 | 0.75 |
| Sortino/√2 | 0.9 | 0.58 |
| Smart Sortino/√2 | 0.89 | 0.53 |
| Omega | 1.21 | 1.19 |
| Max Drawdown | -8.88% | -4.86% |
| Max DD Date | 2026-03-30 | 2026-11-02 |
| Max DD Period Start | 2026-01-28 | 2026-10-07 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 91 |
| Volatility (ann.) | 12.91% | 8.22% |
| R^2 | 0.45 | 0.45 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 1.7 | 1.77 |
| Skew | -0.03 | -0.39 |
| Kurtosis | 0.75 | 1.42 |
| Ulcer Performance Index | 6.86 | 5.18 |
| Risk-Adjusted Return | 15.07% | 9.14% |
| Risk-Return Ratio | 0.07 | 0.07 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.69% | 0.44% |
| Avg. Loss | -0.71% | -0.46% |
| Win/Loss Ratio | 0.98 | 0.95 |
| Profit Ratio | 0.99 | 0.6 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.07% | 0.63% |
| Expected Yearly | 7.15% | 4.14% |
| Kelly Criterion | 3.7% | 8.66% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.82% |
| Expected Shortfall (cVaR) | -1.66% | -1.17% |
| Max Consecutive Wins | 7 | 12 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.21 | 0.19 |
| Gain/Pain (1M) | 1.88 | 1.16 |
| Payoff Ratio | 0.98 | 0.95 |
| Profit Factor | 1.21 | 1.19 |
| Common Sense Ratio | 1.2 | 1.03 |
| CPC Index | 0.62 | 0.63 |
| Tail Ratio | 0.99 | 0.86 |
| Outlier Win Ratio | 2.84 | 3.3 |
| Outlier Loss Ratio | 2.98 | 3.34 |
| MTD | 1.47% | -0.94% |
| 3M | 1.46% | 0.09% |
| 6M | 6.94% | 1.58% |
| YTD | 13.33% | 6.93% |
| 1Y | 14.81% | 8.45% |
| 3Y (ann.) | 15.07% | 8.59% |
| 5Y (ann.) | 15.07% | 8.59% |
| 10Y (ann.) | 15.07% | 8.59% |
| All-time (ann.) | 15.07% | 8.59% |
| Best Day | 2.91% | 2.01% |
| Worst Day | -2.58% | -1.63% |
| Best Month | 10.51% | 4.88% |
| Worst Month | -4.94% | -2.99% |
| Best Year | 13.33% | 6.93% |
| Worst Year | 1.31% | 1.43% |
| Avg. Drawdown | -1.72% | -1.52% |
| Avg. Drawdown Days | 13 | 16 |
| Recovery Factor | 1.65 | 1.74 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.96 | 0.72 |
| Avg. Up Month | 3.04% | 1.83% |
| Avg. Down Month | -2.29% | -2.12% |
| Win Days | 52.42% | 55.41% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.43 |
| Alpha | - | 0.02 |
| Correlation | - | 67.34% |
| Treynor Ratio | - | 19.71% |
| Year | SPY | GIMMX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.31 | 1.43 | 1.09 | + |
| 2026 | 13.33 | 6.93 | 0.52 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-10-07 | 2026-11-04 | -4.86 | 29 |
| 2026-02-10 | 2026-04-21 | -4.18 | 71 |
| 2025-11-13 | 2025-12-10 | -4.00 | 28 |
| 2026-01-29 | 2026-02-06 | -2.85 | 9 |
| 2026-05-15 | 2026-08-13 | -2.57 | 91 |
| 2026-01-16 | 2026-01-22 | -1.89 | 7 |
| 2025-12-12 | 2025-12-22 | -1.78 | 11 |
| 2026-09-25 | 2026-10-05 | -1.40 | 11 |
| 2026-08-18 | 2026-08-26 | -0.85 | 9 |
| 2026-01-07 | 2026-01-08 | -0.72 | 2 |