| Metric | SPY | CTA |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 17.87% | 9.7% |
| CAGR﹪ | 18.02% | 9.78% |
| Sharpe | 1.04 | 0.34 |
| Prob. Sharpe Ratio | 84.73% | 63.28% |
| Smart Sharpe | 1.01 | 0.32 |
| Sortino | 1.51 | 0.48 |
| Smart Sortino | 1.47 | 0.44 |
| Sortino/√2 | 1.07 | 0.34 |
| Smart Sortino/√2 | 1.04 | 0.31 |
| Omega | 1.25 | 1.09 |
| Max Drawdown | -8.88% | -20.8% |
| Max DD Date | 2026-03-30 | 2026-08-04 |
| Max DD Period Start | 2026-01-28 | 2026-05-05 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 141 |
| Volatility (ann.) | 12.99% | 24.18% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 2.03 | 0.47 |
| Skew | -0.15 | -0.31 |
| Kurtosis | 1.05 | 1.34 |
| Ulcer Performance Index | 8.3 | 1.07 |
| Risk-Adjusted Return | 18.02% | 9.88% |
| Risk-Return Ratio | 0.08 | 0.03 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.56% | 0.96% |
| Avg. Loss | -0.63% | -1.05% |
| Win/Loss Ratio | 0.89 | 0.92 |
| Profit Ratio | 0.94 | 0.74 |
| Expected Daily | 0.07% | 0.04% |
| Expected Monthly | 1.27% | 0.71% |
| Expected Yearly | 8.57% | 4.74% |
| Kelly Criterion | 1.61% | 4.32% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -2.46% |
| Expected Shortfall (cVaR) | -1.72% | -3.69% |
| Max Consecutive Wins | 7 | 11 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.25 | 0.09 |
| Gain/Pain (1M) | 2.6 | 0.53 |
| Payoff Ratio | 0.89 | 0.92 |
| Profit Factor | 1.25 | 1.09 |
| Common Sense Ratio | 1.24 | 1.17 |
| CPC Index | 0.6 | 0.54 |
| Tail Ratio | 0.99 | 1.07 |
| Outlier Win Ratio | 2.88 | 3.72 |
| Outlier Loss Ratio | 3.19 | 3.76 |
| MTD | 1.08% | 2.76% |
| 3M | 3.82% | 8.38% |
| 6M | 19.85% | -1.46% |
| YTD | 14.3% | 10.72% |
| 1Y | 17.87% | 9.7% |
| 3Y (ann.) | 18.02% | 9.78% |
| 5Y (ann.) | 18.02% | 9.78% |
| 10Y (ann.) | 18.02% | 9.78% |
| All-time (ann.) | 18.02% | 9.78% |
| Best Day | 2.91% | 4.33% |
| Worst Day | -2.7% | -5.24% |
| Best Month | 10.51% | 8.35% |
| Worst Month | -4.94% | -10.29% |
| Best Year | 14.3% | 10.72% |
| Worst Year | 3.13% | -0.92% |
| Avg. Drawdown | -1.71% | -5.25% |
| Avg. Drawdown Days | 13 | 29 |
| Recovery Factor | 1.94 | 0.58 |
| Ulcer Index | 0.02 | 0.09 |
| Serenity Index | 1.16 | 0.11 |
| Avg. Up Month | 2.06% | 3.1% |
| Avg. Down Month | -1.03% | -9.73% |
| Win Days | 53.6% | 54.25% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | -0.52 |
| Alpha | - | 0.21 |
| Correlation | - | -27.71% |
| Treynor Ratio | - | -18.81% |
| Year | SPY | CTA | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | -0.92 | -0.30 | - |
| 2026 | 14.30 | 10.72 | 0.75 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-05 | 2026-09-22 | -20.80 | 141 |
| 2026-04-07 | 2026-04-27 | -8.33 | 21 |
| 2025-10-17 | 2026-01-27 | -8.22 | 103 |
| 2026-03-19 | 2026-04-01 | -6.39 | 14 |
| 2026-01-30 | 2026-02-13 | -4.76 | 15 |
| 2025-09-29 | 2025-10-06 | -2.41 | 8 |
| 2026-03-13 | 2026-03-16 | -2.00 | 4 |
| 2026-03-03 | 2026-03-09 | -1.91 | 7 |
| 2026-04-30 | 2026-05-01 | -1.51 | 2 |
| 2025-10-09 | 2025-10-10 | -0.91 | 2 |