| Metric | SPY | GJRTX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 88.0% |
| Cumulative Return | 206.09% | 52.11% |
| CAGR﹪ | 16.33% | 5.83% |
| Sharpe | 0.73 | 0.43 |
| Prob. Sharpe Ratio | 97.49% | 87.56% |
| Smart Sharpe | 0.63 | 0.42 |
| Sortino | 1.02 | 0.57 |
| Smart Sortino | 0.88 | 0.55 |
| Sortino/√2 | 0.72 | 0.41 |
| Smart Sortino/√2 | 0.63 | 0.39 |
| Omega | 1.18 | 1.16 |
| Max Drawdown | -33.72% | -13.23% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-02-20 |
| Max DD Period End | 2020-08-07 | 2020-11-30 |
| Longest DD Days | 708 | 612 |
| Volatility (ann.) | 19.46% | 7.08% |
| R^2 | 0.77 | 0.77 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.48 | 0.44 |
| Skew | -0.29 | -1.13 |
| Kurtosis | 13.92 | 8.51 |
| Ulcer Performance Index | 26.04 | 14.21 |
| Risk-Adjusted Return | 16.33% | 6.63% |
| Risk-Return Ratio | 0.06 | 0.05 |
| Avg. Return | 0.08% | 0.03% |
| Avg. Win | 0.91% | 0.36% |
| Avg. Loss | -0.98% | -0.39% |
| Win/Loss Ratio | 0.93 | 0.91 |
| Profit Ratio | 0.78 | 0.46 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.47% |
| Expected Yearly | 15.01% | 5.38% |
| Kelly Criterion | 7.04% | 7.51% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.71% |
| Expected Shortfall (cVaR) | -3.2% | -1.15% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.18 | 0.16 |
| Gain/Pain (1M) | 1.16 | 0.91 |
| Payoff Ratio | 0.93 | 0.91 |
| Profit Factor | 1.18 | 1.16 |
| Common Sense Ratio | 1.13 | 1.14 |
| CPC Index | 0.61 | 0.59 |
| Tail Ratio | 0.96 | 0.98 |
| Outlier Win Ratio | 3.69 | 3.84 |
| Outlier Loss Ratio | 4.11 | 3.52 |
| 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.) | 16.33% | 5.83% |
| All-time (ann.) | 16.33% | 5.83% |
| Best Day | 10.5% | 2.17% |
| Worst Day | -10.94% | -3.63% |
| Best Month | 12.7% | 5.12% |
| Worst Month | -12.49% | -6.89% |
| Best Year | 28.73% | 10.82% |
| Worst Year | -18.18% | -6.27% |
| Avg. Drawdown | -1.79% | -1.09% |
| Avg. Drawdown Days | 16 | 22 |
| Recovery Factor | 3.74 | 3.31 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 1.03 | 0.6 |
| Avg. Up Month | 4.15% | 1.62% |
| Avg. Down Month | -3.97% | -1.7% |
| Win Days | 55.21% | 55.96% |
| Win Month | 65.56% | 65.56% |
| Win Quarter | 77.42% | 70.97% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.32 |
| Alpha | - | 0.0 |
| Correlation | - | 87.58% |
| Treynor Ratio | - | 163.5% |
| Year | SPY | GJRTX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 5.35 | 0.33 | - |
| 2020 | 18.33 | 3.61 | 0.20 | - |
| 2021 | 28.73 | 6.48 | 0.23 | - |
| 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 |
|---|---|---|---|
| 2020-02-20 | 2020-11-30 | -13.23 | 285 |
| 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 |
| 2021-02-17 | 2021-04-01 | -2.62 | 44 |
| 2025-11-13 | 2025-12-09 | -2.29 | 27 |
| 2021-09-07 | 2021-10-18 | -2.25 | 42 |