| Metric | SPY | GPMFX |
|---|---|---|
| Risk-Free Proxy | Kenneth French daily RF | Kenneth French daily RF |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 2.74% | -2.34% |
| CAGR﹪ | 12.24% | -9.61% |
| Sharpe | 0.6 | -1.15 |
| Prob. Sharpe Ratio | 61.27% | 28.89% |
| Smart Sharpe | 0.49 | -1.09 |
| Sortino | 0.84 | -1.52 |
| Smart Sortino | 0.69 | -1.44 |
| Sortino/√2 | 0.6 | -1.07 |
| Smart Sortino/√2 | 0.49 | -1.02 |
| Omega | 1.16 | 0.88 |
| Max Drawdown | -4.49% | -6.94% |
| Max DD Date | 2026-06-10 | 2026-06-26 |
| Max DD Period Start | 2026-06-03 | 2026-05-14 |
| Max DD Period End | 2026-07-30 | 2026-07-30 |
| Longest DD Days | 58 | 78 |
| Volatility (ann.) | 13.91% | 11.79% |
| R^2 | 0.17 | 0.17 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 2.72 | -1.38 |
| Skew | -0.37 | -0.22 |
| Kurtosis | 0.55 | 0.28 |
| Ulcer Performance Index | 1.48 | -0.54 |
| Risk-Adjusted Return | 12.24% | -10.68% |
| Risk-Return Ratio | 0.06 | -0.05 |
| Avg. Return | 0.04% | -0.04% |
| Avg. Win | 0.63% | 0.59% |
| Avg. Loss | -0.68% | -0.75% |
| Win/Loss Ratio | 0.92 | 0.8 |
| Profit Ratio | 0.83 | 0.55 |
| Expected Daily | 0.05% | -0.04% |
| Expected Monthly | 0.91% | -0.79% |
| Expected Yearly | 2.74% | -2.34% |
| Kelly Criterion | 4.61% | -10.64% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.39% | -1.26% |
| Expected Shortfall (cVaR) | -1.79% | -1.94% |
| Max Consecutive Wins | 4 | 4 |
| Max Consecutive Losses | 3 | 3 |
| Gain/Pain Ratio | 0.16 | -0.12 |
| Gain/Pain (1M) | 1.91 | -0.62 |
| Payoff Ratio | 0.92 | 0.8 |
| Profit Factor | 1.16 | 0.88 |
| Common Sense Ratio | 1.31 | 0.86 |
| CPC Index | 0.58 | 0.36 |
| Tail Ratio | 1.13 | 0.98 |
| Outlier Win Ratio | 2.6 | 3.1 |
| Outlier Loss Ratio | 2.94 | 2.73 |
| MTD | -0.68% | 1.33% |
| 3M | 2.74% | -2.34% |
| 6M | 2.74% | -2.34% |
| YTD | 2.74% | -2.34% |
| 1Y | 2.74% | -2.34% |
| 3Y (ann.) | 12.24% | -9.61% |
| 5Y (ann.) | 12.24% | -9.61% |
| 10Y (ann.) | 12.24% | -9.61% |
| All-time (ann.) | 12.24% | -9.61% |
| Best Day | 1.76% | 1.51% |
| Worst Day | -2.58% | -2.11% |
| Best Month | 4.52% | 1.33% |
| Worst Month | -1.03% | -2.77% |
| Best Year | 2.74% | -2.34% |
| Worst Year | 2.74% | -2.34% |
| Avg. Drawdown | -1.38% | -4.09% |
| Avg. Drawdown Days | 14 | 40 |
| Recovery Factor | 0.65 | 0.32 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 0.35 | -0.05 |
| Avg. Up Month | - | - |
| Avg. Down Month | -1.03% | -2.77% |
| Win Days | 54.24% | 50.94% |
| Win Month | 33.33% | 33.33% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.35 |
| Alpha | - | -0.14 |
| Correlation | - | 40.96% |
| Treynor Ratio | - | -6.74% |
| Year | SPY | GPMFX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 2.74 | -2.34 | -0.85 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-14 | 2026-07-30 | -6.94 | 78 |
| 2026-05-06 | 2026-05-08 | -1.25 | 3 |