| Metric | SPY | CTA |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 14.39% | 3.6% |
| CAGR﹪ | 14.51% | 3.63% |
| Sharpe | 0.83 | 0.13 |
| Prob. Sharpe Ratio | 79.61% | 55.01% |
| Smart Sharpe | 0.82 | 0.12 |
| Sortino | 1.22 | 0.17 |
| Smart Sortino | 1.2 | 0.17 |
| Sortino/√2 | 0.86 | 0.12 |
| Smart Sortino/√2 | 0.85 | 0.12 |
| Omega | 1.2 | 1.05 |
| 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 | 2026-11-04 |
| Longest DD Days | 76 | 184 |
| Volatility (ann.) | 12.86% | 26.07% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 1.63 | 0.17 |
| Skew | -0.02 | -0.58 |
| Kurtosis | 0.78 | 1.84 |
| Ulcer Performance Index | 6.68 | 0.4 |
| Risk-Adjusted Return | 14.51% | 3.67% |
| Risk-Return Ratio | 0.07 | 0.02 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.55% | 0.97% |
| Avg. Loss | -0.59% | -1.12% |
| Win/Loss Ratio | 0.92 | 0.87 |
| Profit Ratio | 1.02 | 0.81 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.04% | 0.27% |
| Expected Yearly | 6.95% | 1.79% |
| Kelly Criterion | -0.07% | -2.03% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -2.67% |
| Expected Shortfall (cVaR) | -1.66% | -4.28% |
| Max Consecutive Wins | 7 | 11 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.2 | 0.05 |
| Gain/Pain (1M) | 1.83 | 0.22 |
| Payoff Ratio | 0.92 | 0.87 |
| Profit Factor | 1.2 | 1.05 |
| Common Sense Ratio | 1.19 | 1.05 |
| CPC Index | 0.58 | 0.48 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 2.84 | 3.46 |
| Outlier Loss Ratio | 3.01 | 4.05 |
| MTD | 1.47% | -10.72% |
| 3M | 1.46% | 3.29% |
| 6M | 6.94% | -14.18% |
| YTD | 13.33% | 2.77% |
| 1Y | 14.39% | 3.6% |
| 3Y (ann.) | 14.51% | 3.63% |
| 5Y (ann.) | 14.51% | 3.63% |
| 10Y (ann.) | 14.51% | 3.63% |
| All-time (ann.) | 14.51% | 3.63% |
| Best Day | 2.91% | 4.33% |
| Worst Day | -2.58% | -6.41% |
| Best Month | 10.51% | 8.35% |
| Worst Month | -4.94% | -10.72% |
| Best Year | 13.33% | 2.77% |
| Worst Year | 0.94% | 0.82% |
| Avg. Drawdown | -1.74% | -4.34% |
| Avg. Drawdown Days | 14 | 24 |
| Recovery Factor | 1.61 | 0.33 |
| Ulcer Index | 0.02 | 0.09 |
| Serenity Index | 0.94 | 0.07 |
| Avg. Up Month | 2.61% | 3.58% |
| Avg. Down Month | -1.03% | -9.73% |
| Win Days | 52.0% | 52.63% |
| Win Month | 61.54% | 76.92% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.63 |
| Alpha | - | 0.16 |
| Correlation | - | -31.28% |
| Treynor Ratio | - | -5.68% |
| Year | SPY | CTA | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 0.82 | 0.87 | - |
| 2026 | 13.33 | 2.77 | 0.21 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-05 | 2026-11-04 | -20.80 | 184 |
| 2026-04-07 | 2026-04-27 | -8.33 | 21 |
| 2026-03-19 | 2026-04-01 | -6.39 | 14 |
| 2026-01-30 | 2026-02-13 | -4.76 | 15 |
| 2025-11-11 | 2025-12-24 | -3.72 | 44 |
| 2026-01-15 | 2026-01-23 | -2.79 | 9 |
| 2025-12-29 | 2026-01-08 | -2.20 | 11 |
| 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 |