| Metric | SPY | GIMMX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 87.0% |
| Cumulative Return | 208.72% | 39.25% |
| CAGR﹪ | 16.76% | 4.66% |
| Sharpe | 0.74 | 0.3 |
| Prob. Sharpe Ratio | 97.64% | 79.28% |
| Smart Sharpe | 0.64 | 0.28 |
| Sortino | 1.05 | 0.42 |
| Smart Sortino | 0.9 | 0.39 |
| Sortino/√2 | 0.74 | 0.3 |
| Smart Sortino/√2 | 0.64 | 0.28 |
| Omega | 1.19 | 1.15 |
| 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.) | 19.57% | 6.14% |
| R^2 | 0.26 | 0.26 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.5 | 0.37 |
| Skew | -0.29 | -0.39 |
| Kurtosis | 13.83 | 8.05 |
| Ulcer Performance Index | 26.16 | 8.15 |
| Risk-Adjusted Return | 16.76% | 5.35% |
| Risk-Return Ratio | 0.06 | 0.05 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.88% | 0.33% |
| Avg. Loss | -0.97% | -0.34% |
| Win/Loss Ratio | 0.9 | 0.97 |
| Profit Ratio | 0.77 | 0.49 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.29% | 0.38% |
| Expected Yearly | 15.13% | 4.23% |
| Kelly Criterion | 5.72% | 6.98% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -0.62% |
| Expected Shortfall (cVaR) | -3.2% | -0.99% |
| Max Consecutive Wins | 11 | 12 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.19 | 0.15 |
| Gain/Pain (1M) | 1.18 | 0.95 |
| Payoff Ratio | 0.9 | 0.97 |
| Profit Factor | 1.19 | 1.15 |
| Common Sense Ratio | 1.14 | 1.16 |
| CPC Index | 0.59 | 0.61 |
| Tail Ratio | 0.96 | 1.01 |
| Outlier Win Ratio | 3.69 | 4.78 |
| Outlier Loss Ratio | 4.1 | 3.62 |
| MTD | 1.08% | 2.56% |
| 3M | 3.82% | 4.33% |
| 6M | 19.85% | 11.07% |
| YTD | 14.3% | 11.17% |
| 1Y | 18.22% | 14.24% |
| 3Y (ann.) | 25.09% | 8.92% |
| 5Y (ann.) | 13.16% | 3.65% |
| 10Y (ann.) | 16.76% | 4.66% |
| All-time (ann.) | 16.76% | 4.66% |
| 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 | -1.78% | -1.19% |
| Avg. Drawdown Days | 16 | 33 |
| Recovery Factor | 3.76 | 2.72 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 1.03 | 0.27 |
| Avg. Up Month | 4.03% | 1.34% |
| Avg. Down Month | -4.66% | -1.5% |
| Win Days | 55.32% | 54.15% |
| Win Month | 67.05% | 65.91% |
| Win Quarter | 76.67% | 66.67% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.16 |
| Alpha | - | 0.02 |
| Correlation | - | 51.08% |
| Treynor Ratio | - | 244.93% |
| 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 | 14.30 | 11.17 | 0.78 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-17 | 2025-07-22 | -12.68 | 1344 |
| 2020-02-21 | 2020-08-31 | -11.11 | 193 |
| 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 |
| 2020-10-13 | 2020-11-04 | -2.19 | 23 |