| Metric | SPY | GJRTX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 89.0% |
| Cumulative Return | 87.27% | 33.92% |
| CAGR﹪ | 13.47% | 6.06% |
| Sharpe | 0.6 | 0.34 |
| Prob. Sharpe Ratio | 91.03% | 77.61% |
| Smart Sharpe | 0.58 | 0.33 |
| Sortino | 0.87 | 0.47 |
| Smart Sortino | 0.84 | 0.46 |
| Sortino/√2 | 0.61 | 0.33 |
| Smart Sortino/√2 | 0.59 | 0.32 |
| Omega | 1.16 | 1.17 |
| Max Drawdown | -24.5% | -10.8% |
| Max DD Date | 2022-10-12 | 2022-09-30 |
| Max DD Period Start | 2022-01-04 | 2021-11-17 |
| Max DD Period End | 2023-12-12 | 2023-07-21 |
| Longest DD Days | 708 | 612 |
| Volatility (ann.) | 17.21% | 6.76% |
| R^2 | 0.78 | 0.78 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 0.56 |
| Skew | 0.32 | -0.66 |
| Kurtosis | 8.93 | 4.96 |
| Ulcer Performance Index | 10.31 | 9.63 |
| Risk-Adjusted Return | 13.47% | 6.81% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.88% | 0.36% |
| Avg. Loss | -0.91% | -0.38% |
| Win/Loss Ratio | 0.97 | 0.97 |
| Profit Ratio | 0.83 | 0.53 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.48% |
| Expected Yearly | 11.02% | 4.99% |
| Kelly Criterion | 6.59% | 7.65% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.68% |
| Expected Shortfall (cVaR) | -2.58% | -1.05% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.17 |
| Gain/Pain (1M) | 0.88 | 0.89 |
| Payoff Ratio | 0.97 | 0.97 |
| Profit Factor | 1.16 | 1.17 |
| Common Sense Ratio | 1.17 | 1.23 |
| CPC Index | 0.6 | 0.62 |
| Tail Ratio | 1.01 | 1.05 |
| Outlier Win Ratio | 3.42 | 3.52 |
| Outlier Loss Ratio | 3.76 | 3.34 |
| MTD | 1.08% | 0.87% |
| 3M | 3.82% | 2.01% |
| 6M | 19.85% | 10.31% |
| YTD | 14.3% | 8.87% |
| 1Y | 18.22% | 11.08% |
| 3Y (ann.) | 25.09% | 10.89% |
| 5Y (ann.) | 13.16% | 5.98% |
| 10Y (ann.) | 13.47% | 6.06% |
| All-time (ann.) | 13.47% | 6.06% |
| Best Day | 10.5% | 2.11% |
| Worst Day | -5.85% | -3.04% |
| Best Month | 10.51% | 4.7% |
| Worst Month | -9.24% | -3.28% |
| Best Year | 26.18% | 10.82% |
| Worst Year | -18.18% | -6.27% |
| Avg. Drawdown | -1.89% | -1.07% |
| Avg. Drawdown Days | 20 | 23 |
| Recovery Factor | 2.86 | 2.81 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.47 | 0.45 |
| Avg. Up Month | 4.05% | 1.71% |
| Avg. Down Month | -3.97% | -1.68% |
| Win Days | 54.12% | 54.52% |
| Win Month | 63.93% | 63.93% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.35 |
| Alpha | - | 0.01 |
| Correlation | - | 88.5% |
| Treynor Ratio | - | 97.56% |
| Year | SPY | GJRTX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 0.75 | 0.10 | - |
| 2022 | -18.18 | -6.27 | 0.35 | + |
| 2023 | 26.18 | 10.82 | 0.41 | - |
| 2024 | 24.89 | 7.04 | 0.28 | - |
| 2025 | 18.15 | 9.81 | 0.54 | - |
| 2026 | 14.30 | 8.87 | 0.62 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-17 | 2023-07-21 | -10.80 | 612 |
| 2025-02-19 | 2025-07-16 | -8.48 | 148 |
| 2024-07-17 | 2024-09-18 | -4.88 | 64 |
| 2026-02-26 | 2026-04-13 | -4.28 | 47 |
| 2023-08-01 | 2023-11-30 | -3.80 | 122 |
| 2024-12-10 | 2025-01-17 | -2.62 | 39 |
| 2025-11-13 | 2025-12-09 | -2.29 | 27 |
| 2026-06-03 | 2026-06-17 | -2.19 | 15 |
| 2024-09-30 | 2024-11-27 | -2.15 | 59 |
| 2026-06-23 | 2026-08-03 | -1.92 | 42 |