| Metric | SPY | GPMFX |
|---|---|---|
| Risk-Free Proxy | Kenneth French daily RF | Kenneth French daily RF |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 64.69% | 13.69% |
| CAGR﹪ | 11.2% | 2.77% |
| Sharpe | 0.47 | -0.01 |
| Prob. Sharpe Ratio | 84.76% | 48.9% |
| Smart Sharpe | 0.46 | -0.01 |
| Sortino | 0.68 | -0.02 |
| Smart Sortino | 0.65 | -0.02 |
| Sortino/√2 | 0.48 | -0.01 |
| Smart Sortino/√2 | 0.46 | -0.01 |
| Omega | 1.13 | 1.05 |
| Max Drawdown | -26.35% | -35.99% |
| Max DD Date | 2022-10-12 | 2025-05-14 |
| Max DD Period Start | 2022-01-04 | 2022-10-17 |
| Max DD Period End | 2023-12-18 | 2026-07-30 |
| Longest DD Days | 714 | 1383 |
| Volatility (ann.) | 17.45% | 14.05% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.43 | 0.08 |
| Skew | 0.33 | -2.33 |
| Kurtosis | 8.89 | 23.27 |
| Ulcer Performance Index | 6.72 | 0.7 |
| Risk-Adjusted Return | 11.2% | 3.01% |
| Risk-Return Ratio | 0.04 | 0.02 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.69% | 0.6% |
| Avg. Loss | -0.76% | -0.78% |
| Win/Loss Ratio | 0.91 | 0.78 |
| Profit Ratio | 0.83 | 0.5 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.88% | 0.23% |
| Expected Yearly | 8.67% | 2.16% |
| Kelly Criterion | 3.16% | -2.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.76% | -1.44% |
| Expected Shortfall (cVaR) | -2.62% | -2.35% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.13 | 0.05 |
| Gain/Pain (1M) | 0.7 | 0.21 |
| Payoff Ratio | 0.91 | 0.78 |
| Profit Factor | 1.13 | 1.05 |
| Common Sense Ratio | 1.14 | 0.96 |
| CPC Index | 0.56 | 0.45 |
| Tail Ratio | 1.01 | 0.92 |
| Outlier Win Ratio | 3.4 | 3.68 |
| Outlier Loss Ratio | 3.73 | 3.07 |
| MTD | -0.68% | 1.33% |
| 3M | 4.5% | -1.48% |
| 6M | 7.43% | 3.6% |
| YTD | 9.34% | 10.78% |
| 1Y | 18.05% | 19.22% |
| 3Y (ann.) | 20.41% | -2.77% |
| 5Y (ann.) | 11.2% | 2.77% |
| 10Y (ann.) | 11.2% | 2.77% |
| All-time (ann.) | 11.2% | 2.77% |
| Best Day | 10.5% | 3.55% |
| Worst Day | -5.85% | -10.74% |
| Best Month | 10.51% | 11.36% |
| Worst Month | -10.5% | -9.81% |
| Best Year | 26.18% | 36.21% |
| Worst Year | -20.18% | -10.17% |
| Avg. Drawdown | -2.0% | -5.43% |
| Avg. Drawdown Days | 21 | 110 |
| Recovery Factor | 2.16 | 0.49 |
| Ulcer Index | 0.1 | 0.19 |
| Serenity Index | 0.31 | 0.02 |
| Avg. Up Month | 3.38% | 2.83% |
| Avg. Down Month | -2.75% | -3.85% |
| Win Days | 53.81% | 55.14% |
| Win Month | 61.4% | 54.39% |
| Win Quarter | 65.0% | 55.0% |
| Win Year | 83.33% | 33.33% |
| Beta | - | 0.03 |
| Alpha | - | 0.03 |
| Correlation | - | 3.53% |
| Treynor Ratio | - | 481.45% |
| Year | SPY | GPMFX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -3.59 | -2.07 | - |
| 2022 | -20.18 | 36.21 | -1.79 | + |
| 2023 | 26.18 | -10.05 | -0.38 | - |
| 2024 | 24.89 | -3.30 | -0.13 | - |
| 2025 | 17.72 | -10.17 | -0.57 | - |
| 2026 | 9.34 | 10.78 | 1.15 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-10-17 | 2026-07-30 | -35.99 | 1383 |
| 2022-06-15 | 2022-09-22 | -12.47 | 100 |
| 2021-11-26 | 2022-02-07 | -8.21 | 74 |
| 2022-05-09 | 2022-06-08 | -5.67 | 31 |
| 2022-09-28 | 2022-10-13 | -4.46 | 16 |
| 2022-03-09 | 2022-03-21 | -3.14 | 13 |
| 2022-02-15 | 2022-03-01 | -2.96 | 15 |
| 2022-03-28 | 2022-04-04 | -2.85 | 8 |
| 2021-11-17 | 2021-11-23 | -1.75 | 7 |
| 2022-04-25 | 2022-04-27 | -1.67 | 3 |