| Metric | SPY | GPMFX |
|---|---|---|
| Risk-Free Proxy | Kenneth French daily RF | Kenneth French daily RF |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 10.37% | 15.18% |
| CAGR﹪ | 14.64% | 21.62% |
| Sharpe | 0.79 | 1.3 |
| Prob. Sharpe Ratio | 74.82% | 85.91% |
| Smart Sharpe | 0.77 | 1.3 |
| Sortino | 1.14 | 1.82 |
| Smart Sortino | 1.11 | 1.82 |
| Sortino/√2 | 0.81 | 1.29 |
| Smart Sortino/√2 | 0.78 | 1.28 |
| Omega | 1.19 | 1.29 |
| Max Drawdown | -8.88% | -6.94% |
| Max DD Date | 2026-03-30 | 2026-06-26 |
| Max DD Period Start | 2026-01-28 | 2026-05-14 |
| Max DD Period End | 2026-04-13 | 2026-07-30 |
| Longest DD Days | 76 | 78 |
| Volatility (ann.) | 13.51% | 12.72% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 1.65 | 3.11 |
| Skew | -0.07 | -0.55 |
| Kurtosis | 0.76 | 0.37 |
| Ulcer Performance Index | 4.41 | 5.51 |
| Risk-Adjusted Return | 14.64% | 23.25% |
| Risk-Return Ratio | 0.07 | 0.1 |
| Avg. Return | 0.06% | 0.09% |
| Avg. Win | 0.65% | 0.73% |
| Avg. Loss | -0.7% | -0.8% |
| Win/Loss Ratio | 0.92 | 0.91 |
| Profit Ratio | 0.88 | 0.5 |
| Expected Daily | 0.05% | 0.08% |
| Expected Monthly | 1.1% | 1.58% |
| Expected Yearly | 5.06% | 7.32% |
| Kelly Criterion | 3.85% | 13.23% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.34% | -1.24% |
| Expected Shortfall (cVaR) | -1.67% | -1.83% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.19 | 0.29 |
| Gain/Pain (1M) | 1.45 | 3.53 |
| Payoff Ratio | 0.92 | 0.91 |
| Profit Factor | 1.19 | 1.29 |
| Common Sense Ratio | 1.09 | 1.21 |
| CPC Index | 0.59 | 0.69 |
| Tail Ratio | 0.91 | 0.94 |
| Outlier Win Ratio | 3.1 | 2.8 |
| Outlier Loss Ratio | 2.85 | 2.88 |
| MTD | -0.68% | 1.33% |
| 3M | 4.5% | -1.48% |
| 6M | 7.43% | 3.6% |
| YTD | 9.34% | 10.78% |
| 1Y | 10.37% | 15.18% |
| 3Y (ann.) | 14.64% | 21.62% |
| 5Y (ann.) | 14.64% | 21.62% |
| 10Y (ann.) | 14.64% | 21.62% |
| All-time (ann.) | 14.64% | 21.62% |
| Best Day | 2.91% | 1.78% |
| Worst Day | -2.58% | -2.51% |
| Best Month | 10.51% | 5.56% |
| Worst Month | -4.94% | -2.77% |
| Best Year | 9.34% | 10.78% |
| Worst Year | 0.94% | 3.97% |
| Avg. Drawdown | -1.72% | -1.99% |
| Avg. Drawdown Days | 12 | 14 |
| Recovery Factor | 1.18 | 2.12 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.66 | 0.72 |
| Avg. Up Month | 3.23% | 3.43% |
| Avg. Down Month | -2.98% | -1.97% |
| Win Days | 53.85% | 58.58% |
| Win Month | 55.56% | 66.67% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.34 |
| Alpha | - | 0.15 |
| Correlation | - | 35.78% |
| Treynor Ratio | - | 45.1% |
| Year | SPY | GPMFX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 3.97 | 4.23 | + |
| 2026 | 9.34 | 10.78 | 1.15 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-14 | 2026-07-30 | -6.94 | 78 |
| 2025-11-13 | 2025-12-18 | -4.96 | 36 |
| 2026-01-30 | 2026-02-10 | -3.44 | 12 |
| 2026-03-02 | 2026-04-02 | -2.48 | 32 |
| 2026-04-08 | 2026-04-15 | -2.07 | 8 |
| 2026-02-12 | 2026-02-24 | -1.72 | 13 |
| 2026-01-07 | 2026-01-09 | -1.64 | 3 |
| 2026-04-17 | 2026-04-21 | -1.55 | 5 |
| 2025-12-29 | 2026-01-02 | -1.53 | 5 |
| 2026-01-16 | 2026-01-21 | -1.36 | 6 |