| Metric | SPY | GJRTX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 14.81% | 8.06% |
| CAGR﹪ | 15.07% | 8.19% |
| Sharpe | 0.87 | 0.69 |
| Prob. Sharpe Ratio | 80.5% | 75.0% |
| Smart Sharpe | 0.86 | 0.66 |
| Sortino | 1.27 | 0.97 |
| Smart Sortino | 1.26 | 0.93 |
| Sortino/√2 | 0.9 | 0.68 |
| Smart Sortino/√2 | 0.89 | 0.66 |
| Omega | 1.21 | 1.23 |
| Max Drawdown | -8.88% | -4.28% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-02-26 |
| Max DD Period End | 2026-04-13 | 2026-04-13 |
| Longest DD Days | 76 | 47 |
| Volatility (ann.) | 12.91% | 6.46% |
| R^2 | 0.84 | 0.84 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 1.7 | 1.91 |
| Skew | -0.03 | -0.28 |
| Kurtosis | 0.75 | 0.8 |
| Ulcer Performance Index | 6.86 | 7.15 |
| Risk-Adjusted Return | 15.07% | 8.81% |
| Risk-Return Ratio | 0.07 | 0.08 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.72% | 0.37% |
| Avg. Loss | -0.69% | -0.34% |
| Win/Loss Ratio | 1.05 | 1.06 |
| Profit Ratio | 0.99 | 0.66 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.07% | 0.6% |
| Expected Yearly | 7.15% | 3.95% |
| Kelly Criterion | 7.17% | 11.43% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.64% |
| Expected Shortfall (cVaR) | -1.66% | -0.91% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.21 | 0.23 |
| Gain/Pain (1M) | 1.88 | 1.75 |
| Payoff Ratio | 1.05 | 1.06 |
| Profit Factor | 1.21 | 1.23 |
| Common Sense Ratio | 1.2 | 1.21 |
| CPC Index | 0.67 | 0.71 |
| Tail Ratio | 0.99 | 0.99 |
| Outlier Win Ratio | 2.84 | 3.19 |
| Outlier Loss Ratio | 2.98 | 3.08 |
| MTD | 1.47% | 0.44% |
| 3M | 1.46% | 0.7% |
| 6M | 6.94% | 3.05% |
| YTD | 13.33% | 7.19% |
| 1Y | 14.81% | 8.06% |
| 3Y (ann.) | 15.07% | 8.19% |
| 5Y (ann.) | 15.07% | 8.19% |
| 10Y (ann.) | 15.07% | 8.19% |
| All-time (ann.) | 15.07% | 8.19% |
| Best Day | 2.91% | 1.31% |
| Worst Day | -2.58% | -1.4% |
| Best Month | 10.51% | 4.7% |
| Worst Month | -4.94% | -3.01% |
| Best Year | 13.33% | 7.19% |
| Worst Year | 1.31% | 0.81% |
| Avg. Drawdown | -1.72% | -0.94% |
| Avg. Drawdown Days | 13 | 11 |
| Recovery Factor | 1.65 | 1.86 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.96 | 1.01 |
| Avg. Up Month | 3.24% | 1.62% |
| Avg. Down Month | -2.92% | -2.11% |
| Win Days | 52.42% | 54.35% |
| Win Month | 61.54% | 76.92% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.46 |
| Alpha | - | 0.01 |
| Correlation | - | 91.46% |
| Treynor Ratio | - | 17.59% |
| Year | SPY | GJRTX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.31 | 0.81 | 0.62 | - |
| 2026 | 13.33 | 7.19 | 0.54 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-04-13 | -4.28 | 47 |
| 2025-11-13 | 2025-12-10 | -2.29 | 28 |
| 2026-10-07 | 2026-11-04 | -2.23 | 29 |
| 2026-06-03 | 2026-06-17 | -2.19 | 15 |
| 2026-06-23 | 2026-08-03 | -1.92 | 42 |
| 2026-01-28 | 2026-02-24 | -1.37 | 28 |
| 2025-12-12 | 2025-12-19 | -1.02 | 8 |
| 2026-05-15 | 2026-05-22 | -0.97 | 8 |
| 2026-09-23 | 2026-10-05 | -0.94 | 13 |
| 2026-01-16 | 2026-01-22 | -0.92 | 7 |