| Metric | SPY | GPMFX |
|---|---|---|
| Risk-Free Proxy | Kenneth French daily RF | Kenneth French daily RF |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 12.76% | 14.85% |
| CAGR﹪ | 15.27% | 17.79% |
| Sharpe | 0.83 | 1.02 |
| Prob. Sharpe Ratio | 77.46% | 82.13% |
| Smart Sharpe | 0.79 | 0.98 |
| Sortino | 1.17 | 1.41 |
| Smart Sortino | 1.11 | 1.36 |
| Sortino/√2 | 0.83 | 1.0 |
| Smart Sortino/√2 | 0.79 | 0.96 |
| Omega | 1.21 | 1.23 |
| 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.) | 13.36% | 12.89% |
| R^2 | 0.15 | 0.15 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 1.72 | 2.56 |
| Skew | -0.22 | -0.54 |
| Kurtosis | 1.04 | 0.27 |
| Ulcer Performance Index | 5.66 | 5.64 |
| Risk-Adjusted Return | 15.27% | 19.13% |
| Risk-Return Ratio | 0.07 | 0.08 |
| Avg. Return | 0.06% | 0.07% |
| Avg. Win | 0.64% | 0.72% |
| Avg. Loss | -0.7% | -0.79% |
| Win/Loss Ratio | 0.92 | 0.92 |
| Profit Ratio | 0.81 | 0.5 |
| Expected Daily | 0.06% | 0.07% |
| Expected Monthly | 1.1% | 1.27% |
| Expected Yearly | 6.19% | 7.17% |
| Kelly Criterion | 5.68% | 12.53% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.32% | -1.27% |
| Expected Shortfall (cVaR) | -1.75% | -1.82% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.21 | 0.23 |
| Gain/Pain (1M) | 1.76 | 3.03 |
| Payoff Ratio | 0.92 | 0.92 |
| Profit Factor | 1.21 | 1.23 |
| Common Sense Ratio | 1.05 | 1.05 |
| CPC Index | 0.61 | 0.66 |
| Tail Ratio | 0.87 | 0.85 |
| Outlier Win Ratio | 2.98 | 2.73 |
| Outlier Loss Ratio | 3.12 | 2.79 |
| MTD | -0.68% | 1.33% |
| 3M | 4.5% | -1.48% |
| 6M | 7.43% | 3.6% |
| YTD | 9.34% | 10.78% |
| 1Y | 12.76% | 14.85% |
| 3Y (ann.) | 15.27% | 17.79% |
| 5Y (ann.) | 15.27% | 17.79% |
| 10Y (ann.) | 15.27% | 17.79% |
| All-time (ann.) | 15.27% | 17.79% |
| Best Day | 2.91% | 1.78% |
| Worst Day | -2.7% | -2.51% |
| Best Month | 10.51% | 5.56% |
| Worst Month | -4.94% | -2.77% |
| Best Year | 9.34% | 10.78% |
| Worst Year | 3.13% | 3.67% |
| Avg. Drawdown | -1.78% | -2.06% |
| Avg. Drawdown Days | 13 | 13 |
| Recovery Factor | 1.44 | 2.1 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.82 | 0.78 |
| Avg. Up Month | 2.54% | 2.83% |
| Avg. Down Month | -2.98% | -1.97% |
| Win Days | 54.93% | 58.08% |
| Win Month | 63.64% | 63.64% |
| Win Quarter | 60.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.38 |
| Alpha | - | 0.11 |
| Correlation | - | 39.29% |
| Treynor Ratio | - | 39.15% |
| Year | SPY | GPMFX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 3.67 | 1.17 | + |
| 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 |
| 2025-10-21 | 2025-11-11 | -3.84 | 22 |
| 2026-01-30 | 2026-02-10 | -3.44 | 12 |
| 2025-10-09 | 2025-10-15 | -2.71 | 7 |
| 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 |