| Metric | SPY | GIMMX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 87.0% |
| Cumulative Return | 75.63% | 14.31% |
| CAGR﹪ | 12.01% | 2.73% |
| Sharpe | 0.52 | -0.16 |
| Prob. Sharpe Ratio | 87.82% | 35.89% |
| Smart Sharpe | 0.51 | -0.16 |
| Sortino | 0.75 | -0.23 |
| Smart Sortino | 0.73 | -0.22 |
| Sortino/√2 | 0.53 | -0.16 |
| Smart Sortino/√2 | 0.52 | -0.16 |
| Omega | 1.14 | 1.09 |
| Max Drawdown | -24.5% | -12.68% |
| Max DD Date | 2022-10-12 | 2024-07-10 |
| Max DD Period Start | 2022-01-04 | 2021-11-17 |
| Max DD Period End | 2023-12-12 | 2025-07-22 |
| Longest DD Days | 708 | 1344 |
| Volatility (ann.) | 17.2% | 6.05% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.22 |
| Skew | 0.33 | 0.02 |
| Kurtosis | 8.96 | 5.01 |
| Ulcer Performance Index | 8.93 | 2.54 |
| Risk-Adjusted Return | 12.01% | 3.14% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.05% | 0.01% |
| Avg. Win | 0.79% | 0.35% |
| Avg. Loss | -0.83% | -0.33% |
| Win/Loss Ratio | 0.95 | 1.06 |
| Profit Ratio | 0.85 | 0.57 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 0.93% | 0.22% |
| Expected Yearly | 9.84% | 2.25% |
| Kelly Criterion | 4.83% | 5.6% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.62% |
| Expected Shortfall (cVaR) | -2.58% | -0.96% |
| Max Consecutive Wins | 10 | 12 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.14 | 0.09 |
| Gain/Pain (1M) | 0.8 | 0.5 |
| Payoff Ratio | 0.95 | 1.06 |
| Profit Factor | 1.14 | 1.09 |
| Common Sense Ratio | 1.15 | 1.17 |
| CPC Index | 0.58 | 0.59 |
| Tail Ratio | 1.01 | 1.08 |
| Outlier Win Ratio | 3.4 | 4.53 |
| Outlier Loss Ratio | 3.79 | 3.69 |
| MTD | 1.47% | -0.94% |
| 3M | 1.46% | 0.09% |
| 6M | 6.94% | 1.58% |
| YTD | 13.33% | 6.93% |
| 1Y | 13.84% | 7.89% |
| 3Y (ann.) | 21.0% | 5.73% |
| 5Y (ann.) | 12.96% | 3.23% |
| 10Y (ann.) | 12.01% | 2.73% |
| All-time (ann.) | 12.01% | 2.73% |
| Best Day | 10.5% | 2.48% |
| Worst Day | -5.85% | -2.42% |
| Best Month | 10.51% | 4.88% |
| Worst Month | -9.24% | -2.99% |
| Best Year | 26.18% | 15.57% |
| Worst Year | -18.18% | -4.82% |
| Avg. Drawdown | -1.93% | -1.66% |
| Avg. Drawdown Days | 21 | 58 |
| Recovery Factor | 2.6 | 1.13 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 0.43 | 0.09 |
| Avg. Up Month | 3.8% | 1.27% |
| Avg. Down Month | -4.42% | -1.37% |
| Win Days | 53.56% | 51.43% |
| Win Month | 62.3% | 59.02% |
| Win Quarter | 71.43% | 57.14% |
| Win Year | 83.33% | 50.0% |
| Beta | - | 0.09 |
| Alpha | - | 0.02 |
| Correlation | - | 26.83% |
| Treynor Ratio | - | 151.57% |
| Year | SPY | GIMMX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -0.75 | -0.43 | - |
| 2022 | -18.18 | -4.72 | 0.26 | + |
| 2023 | 26.18 | 2.76 | 0.11 | - |
| 2024 | 24.89 | -4.82 | -0.19 | - |
| 2025 | 18.15 | 15.57 | 0.86 | - |
| 2026 | 13.33 | 6.93 | 0.52 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-17 | 2025-07-22 | -12.68 | 1344 |
| 2026-10-07 | 2026-11-04 | -4.86 | 29 |
| 2026-02-10 | 2026-04-21 | -4.18 | 71 |
| 2025-10-28 | 2025-12-10 | -4.00 | 44 |
| 2026-01-29 | 2026-02-06 | -2.85 | 9 |
| 2025-10-09 | 2025-10-23 | -2.75 | 15 |
| 2026-05-15 | 2026-08-13 | -2.57 | 91 |
| 2025-07-25 | 2025-08-11 | -2.16 | 18 |
| 2026-01-16 | 2026-01-22 | -1.89 | 7 |
| 2025-12-12 | 2025-12-22 | -1.78 | 11 |