| Metric | SPY | GIMMX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 87.0% |
| Cumulative Return | 206.09% | 33.93% |
| CAGR﹪ | 16.33% | 4.03% |
| Sharpe | 0.73 | 0.2 |
| Prob. Sharpe Ratio | 97.49% | 71.0% |
| Smart Sharpe | 0.63 | 0.19 |
| Sortino | 1.02 | 0.28 |
| Smart Sortino | 0.88 | 0.26 |
| Sortino/√2 | 0.72 | 0.2 |
| Smart Sortino/√2 | 0.63 | 0.19 |
| Omega | 1.18 | 1.13 |
| Max Drawdown | -33.72% | -12.68% |
| Max DD Date | 2020-03-23 | 2024-07-10 |
| Max DD Period Start | 2020-02-20 | 2021-11-17 |
| Max DD Period End | 2020-08-07 | 2025-07-22 |
| Longest DD Days | 708 | 1344 |
| Volatility (ann.) | 19.46% | 6.24% |
| R^2 | 0.26 | 0.26 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.48 | 0.32 |
| Skew | -0.29 | -0.44 |
| Kurtosis | 13.92 | 7.57 |
| Ulcer Performance Index | 26.04 | 7.09 |
| Risk-Adjusted Return | 16.33% | 4.63% |
| Risk-Return Ratio | 0.06 | 0.04 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.87% | 0.33% |
| Avg. Loss | -0.97% | -0.35% |
| Win/Loss Ratio | 0.9 | 0.96 |
| Profit Ratio | 0.78 | 0.49 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.33% |
| Expected Yearly | 15.01% | 3.72% |
| Kelly Criterion | 5.56% | 5.92% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.63% |
| Expected Shortfall (cVaR) | -3.2% | -1.02% |
| Max Consecutive Wins | 11 | 12 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.18 | 0.13 |
| Gain/Pain (1M) | 1.16 | 0.76 |
| Payoff Ratio | 0.9 | 0.96 |
| Profit Factor | 1.18 | 1.13 |
| Common Sense Ratio | 1.13 | 1.14 |
| CPC Index | 0.59 | 0.58 |
| Tail Ratio | 0.96 | 1.0 |
| Outlier Win Ratio | 3.69 | 4.72 |
| Outlier Loss Ratio | 4.11 | 3.61 |
| 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.) | 16.33% | 4.03% |
| All-time (ann.) | 16.33% | 4.03% |
| Best Day | 10.5% | 2.48% |
| Worst Day | -10.94% | -3.19% |
| Best Month | 12.7% | 4.88% |
| Worst Month | -12.49% | -5.72% |
| Best Year | 28.73% | 15.57% |
| Worst Year | -18.18% | -4.82% |
| Avg. Drawdown | -1.79% | -1.24% |
| Avg. Drawdown Days | 16 | 32 |
| Recovery Factor | 3.74 | 2.42 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 1.03 | 0.24 |
| Avg. Up Month | 4.1% | 1.32% |
| Avg. Down Month | -4.44% | -1.59% |
| Win Days | 55.21% | 53.98% |
| Win Month | 65.56% | 64.44% |
| Win Quarter | 77.42% | 64.52% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.16 |
| Alpha | - | 0.01 |
| Correlation | - | 50.62% |
| Treynor Ratio | - | 209.13% |
| Year | SPY | GIMMX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 2.92 | 0.18 | - |
| 2020 | 18.33 | 6.45 | 0.35 | - |
| 2021 | 28.73 | 6.14 | 0.21 | - |
| 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 |
| 2020-02-21 | 2020-08-31 | -11.11 | 193 |
| 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 |
| 2021-02-17 | 2021-04-15 | -3.59 | 58 |
| 2021-09-07 | 2021-11-05 | -3.24 | 60 |
| 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 |