| Metric | SPY | GJRTX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 89.0% |
| Cumulative Return | 75.63% | 29.89% |
| CAGR﹪ | 12.01% | 5.41% |
| Sharpe | 0.52 | 0.24 |
| Prob. Sharpe Ratio | 87.82% | 70.43% |
| Smart Sharpe | 0.51 | 0.23 |
| Sortino | 0.75 | 0.33 |
| Smart Sortino | 0.73 | 0.32 |
| Sortino/√2 | 0.53 | 0.23 |
| Smart Sortino/√2 | 0.52 | 0.23 |
| Omega | 1.14 | 1.15 |
| 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.) | 17.2% | 6.78% |
| R^2 | 0.78 | 0.78 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.5 |
| Skew | 0.33 | -0.65 |
| Kurtosis | 8.96 | 4.9 |
| Ulcer Performance Index | 8.93 | 8.48 |
| Risk-Adjusted Return | 12.01% | 6.08% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.88% | 0.36% |
| Avg. Loss | -0.9% | -0.38% |
| Win/Loss Ratio | 0.97 | 0.97 |
| Profit Ratio | 0.85 | 0.53 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 0.93% | 0.43% |
| Expected Yearly | 9.84% | 4.46% |
| Kelly Criterion | 5.79% | 7.07% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.68% |
| Expected Shortfall (cVaR) | -2.58% | -1.06% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.14 | 0.15 |
| Gain/Pain (1M) | 0.8 | 0.79 |
| Payoff Ratio | 0.97 | 0.97 |
| Profit Factor | 1.14 | 1.15 |
| Common Sense Ratio | 1.15 | 1.2 |
| CPC Index | 0.59 | 0.61 |
| Tail Ratio | 1.01 | 1.04 |
| Outlier Win Ratio | 3.4 | 3.51 |
| Outlier Loss Ratio | 3.79 | 3.33 |
| MTD | 1.47% | 0.44% |
| 3M | 1.46% | 0.7% |
| 6M | 6.94% | 3.05% |
| YTD | 13.33% | 7.19% |
| 1Y | 13.84% | 7.76% |
| 3Y (ann.) | 21.0% | 9.05% |
| 5Y (ann.) | 12.96% | 6.09% |
| 10Y (ann.) | 12.01% | 5.41% |
| All-time (ann.) | 12.01% | 5.41% |
| 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 | -1.93% | -1.11% |
| Avg. Drawdown Days | 21 | 24 |
| Recovery Factor | 2.6 | 2.53 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.43 | 0.4 |
| Avg. Up Month | 3.98% | 1.69% |
| Avg. Down Month | -3.95% | -1.71% |
| Win Days | 53.56% | 54.24% |
| Win Month | 62.3% | 63.93% |
| Win Quarter | 71.43% | 61.9% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.35 |
| Alpha | - | 0.01 |
| Correlation | - | 88.54% |
| Treynor Ratio | - | 85.71% |
| Year | SPY | GJRTX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -0.75 | -0.43 | - |
| 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 | 13.33 | 7.19 | 0.54 | - |
| 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 |
| 2026-10-07 | 2026-11-04 | -2.23 | 29 |
| 2026-06-03 | 2026-06-18 | -2.19 | 16 |
| 2024-09-30 | 2024-11-27 | -2.15 | 59 |