| Metric | SPY | GPMFX |
|---|---|---|
| Risk-Free Proxy | Kenneth French daily RF | Kenneth French daily RF |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 187.03% | 43.88% |
| CAGR﹪ | 15.94% | 5.23% |
| Sharpe | 0.7 | 0.24 |
| Prob. Sharpe Ratio | 96.88% | 73.38% |
| Smart Sharpe | 0.61 | 0.23 |
| Sortino | 0.99 | 0.31 |
| Smart Sortino | 0.85 | 0.3 |
| Sortino/√2 | 0.7 | 0.22 |
| Smart Sortino/√2 | 0.6 | 0.21 |
| Omega | 1.18 | 1.09 |
| Max Drawdown | -33.72% | -35.99% |
| Max DD Date | 2020-03-23 | 2025-05-14 |
| Max DD Period Start | 2020-02-20 | 2022-10-17 |
| Max DD Period End | 2020-08-07 | 2026-07-30 |
| Longest DD Days | 714 | 1383 |
| Volatility (ann.) | 19.68% | 12.99% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.47 | 0.15 |
| Skew | -0.29 | -2.04 |
| Kurtosis | 13.75 | 21.34 |
| Ulcer Performance Index | 21.44 | 2.75 |
| Risk-Adjusted Return | 15.94% | 5.75% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.7% | 0.57% |
| Avg. Loss | -0.78% | -0.74% |
| Win/Loss Ratio | 0.91 | 0.77 |
| Profit Ratio | 0.76 | 0.48 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.23% | 0.42% |
| Expected Yearly | 14.09% | 4.65% |
| Kelly Criterion | 6.31% | -0.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.97% | -1.32% |
| Expected Shortfall (cVaR) | -3.25% | -2.05% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.18 | 0.09 |
| Gain/Pain (1M) | 1.08 | 0.41 |
| Payoff Ratio | 0.91 | 0.77 |
| Profit Factor | 1.18 | 1.09 |
| Common Sense Ratio | 1.12 | 0.98 |
| CPC Index | 0.59 | 0.47 |
| Tail Ratio | 0.95 | 0.91 |
| Outlier Win Ratio | 3.72 | 3.63 |
| Outlier Loss Ratio | 4.06 | 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.) | 11.71% | 2.68% |
| 10Y (ann.) | 15.94% | 5.23% |
| All-time (ann.) | 15.94% | 5.23% |
| Best Day | 10.5% | 3.55% |
| Worst Day | -10.94% | -10.74% |
| Best Month | 12.7% | 11.36% |
| Worst Month | -12.49% | -9.81% |
| Best Year | 28.73% | 36.21% |
| Worst Year | -20.18% | -10.17% |
| Avg. Drawdown | -1.82% | -3.5% |
| Avg. Drawdown Days | 16 | 66 |
| Recovery Factor | 3.54 | 1.18 |
| Ulcer Index | 0.09 | 0.16 |
| Serenity Index | 0.83 | 0.07 |
| Avg. Up Month | 3.91% | 2.74% |
| Avg. Down Month | -2.67% | -3.21% |
| Win Days | 55.43% | 56.09% |
| Win Month | 65.12% | 54.65% |
| Win Quarter | 73.33% | 60.0% |
| Win Year | 87.5% | 62.5% |
| Beta | - | 0.02 |
| Alpha | - | 0.06 |
| Correlation | - | 3.02% |
| Treynor Ratio | - | 2203.26% |
| Year | SPY | GPMFX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 3.32 | 0.20 | - |
| 2020 | 18.33 | 14.25 | 0.78 | - |
| 2021 | 28.73 | 3.37 | 0.12 | - |
| 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 |
| 2019-09-04 | 2020-03-19 | -9.18 | 198 |
| 2020-04-22 | 2020-08-05 | -8.86 | 106 |
| 2021-06-08 | 2022-02-07 | -8.30 | 245 |
| 2022-05-09 | 2022-06-08 | -5.67 | 31 |
| 2020-08-07 | 2020-11-25 | -5.09 | 111 |
| 2022-09-28 | 2022-10-13 | -4.46 | 16 |
| 2021-02-25 | 2021-04-23 | -3.71 | 58 |
| 2019-07-05 | 2019-07-31 | -3.42 | 27 |