| Metric | SPY | GJRTX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 18.3% | 10.98% |
| CAGR﹪ | 18.62% | 11.16% |
| Sharpe | 1.07 | 1.05 |
| Prob. Sharpe Ratio | 85.46% | 84.82% |
| Smart Sharpe | 1.04 | 1.04 |
| Sortino | 1.56 | 1.5 |
| Smart Sortino | 1.52 | 1.47 |
| Sortino/√2 | 1.1 | 1.06 |
| Smart Sortino/√2 | 1.07 | 1.04 |
| Omega | 1.26 | 1.31 |
| 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.) | 13.04% | 6.51% |
| R^2 | 0.85 | 0.85 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 2.1 | 2.61 |
| Skew | -0.16 | -0.38 |
| Kurtosis | 1.03 | 1.17 |
| Ulcer Performance Index | 8.48 | 10.3 |
| Risk-Adjusted Return | 18.62% | 12.0% |
| Risk-Return Ratio | 0.09 | 0.1 |
| Avg. Return | 0.08% | 0.05% |
| Avg. Win | 0.71% | 0.36% |
| Avg. Loss | -0.7% | -0.35% |
| Win/Loss Ratio | 1.01 | 1.04 |
| Profit Ratio | 0.91 | 0.6 |
| Expected Daily | 0.07% | 0.04% |
| Expected Monthly | 1.3% | 0.8% |
| Expected Yearly | 8.77% | 5.35% |
| Kelly Criterion | 8.55% | 14.81% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.63% |
| Expected Shortfall (cVaR) | -1.72% | -0.95% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.26 | 0.31 |
| Gain/Pain (1M) | 2.66 | 3.17 |
| Payoff Ratio | 1.01 | 1.04 |
| Profit Factor | 1.26 | 1.31 |
| Common Sense Ratio | 1.25 | 1.44 |
| CPC Index | 0.69 | 0.77 |
| Tail Ratio | 0.99 | 1.1 |
| Outlier Win Ratio | 2.88 | 3.2 |
| Outlier Loss Ratio | 3.16 | 3.31 |
| MTD | 1.08% | 0.87% |
| 3M | 3.82% | 2.01% |
| 6M | 19.85% | 10.31% |
| YTD | 14.3% | 8.87% |
| 1Y | 18.3% | 10.98% |
| 3Y (ann.) | 18.62% | 11.16% |
| 5Y (ann.) | 18.62% | 11.16% |
| 10Y (ann.) | 18.62% | 11.16% |
| All-time (ann.) | 18.62% | 11.16% |
| Best Day | 2.91% | 1.31% |
| Worst Day | -2.7% | -1.4% |
| Best Month | 10.51% | 4.7% |
| Worst Month | -4.94% | -3.01% |
| Best Year | 14.3% | 8.87% |
| Worst Year | 3.5% | 1.93% |
| Avg. Drawdown | -1.69% | -0.82% |
| Avg. Drawdown Days | 13 | 9 |
| Recovery Factor | 1.99 | 2.48 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.19 | 1.4 |
| Avg. Up Month | 2.72% | 1.43% |
| Avg. Down Month | -4.94% | -3.01% |
| Win Days | 54.03% | 56.52% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.46 |
| Alpha | - | 0.03 |
| Correlation | - | 92.04% |
| Treynor Ratio | - | 23.89% |
| Year | SPY | GJRTX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.50 | 1.93 | 0.55 | - |
| 2026 | 14.30 | 8.87 | 0.62 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-04-13 | -4.28 | 47 |
| 2025-11-13 | 2025-12-09 | -2.29 | 27 |
| 2026-06-03 | 2026-06-17 | -2.19 | 15 |
| 2026-06-23 | 2026-08-03 | -1.92 | 42 |
| 2025-10-09 | 2025-10-17 | -1.66 | 9 |
| 2026-01-28 | 2026-02-06 | -1.37 | 10 |
| 2025-12-12 | 2025-12-22 | -1.02 | 11 |
| 2025-10-29 | 2025-11-10 | -1.01 | 13 |
| 2026-05-15 | 2026-05-22 | -0.97 | 8 |
| 2026-01-16 | 2026-01-22 | -0.92 | 7 |