| Metric | SPY | CTA |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 97.95% | 48.52% |
| CAGR﹪ | 16.31% | 9.15% |
| Sharpe | 0.72 | 0.35 |
| Prob. Sharpe Ratio | 93.87% | 76.74% |
| Smart Sharpe | 0.69 | 0.32 |
| Sortino | 1.05 | 0.47 |
| Smart Sortino | 1.01 | 0.43 |
| Sortino/√2 | 0.74 | 0.33 |
| Smart Sortino/√2 | 0.71 | 0.31 |
| Omega | 1.19 | 1.11 |
| Max Drawdown | -22.09% | -20.8% |
| Max DD Date | 2022-10-12 | 2026-08-04 |
| Max DD Period Start | 2022-03-30 | 2026-05-05 |
| Max DD Period End | 2023-07-17 | 2026-09-22 |
| Longest DD Days | 475 | 541 |
| Volatility (ann.) | 17.19% | 17.6% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.74 | 0.44 |
| Skew | 0.37 | -1.33 |
| Kurtosis | 9.88 | 13.0 |
| Ulcer Performance Index | 13.3 | 6.28 |
| Risk-Adjusted Return | 16.31% | 9.24% |
| Risk-Return Ratio | 0.06 | 0.04 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.66% | 0.7% |
| Avg. Loss | -0.75% | -0.8% |
| Win/Loss Ratio | 0.87 | 0.88 |
| Profit Ratio | 0.84 | 0.79 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.25% | 0.72% |
| Expected Yearly | 14.63% | 8.23% |
| Kelly Criterion | 1.82% | 0.73% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.72% | -1.78% |
| Expected Shortfall (cVaR) | -2.72% | -2.94% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.19 | 0.11 |
| Gain/Pain (1M) | 1.1 | 0.6 |
| Payoff Ratio | 0.87 | 0.88 |
| Profit Factor | 1.19 | 1.11 |
| Common Sense Ratio | 1.24 | 1.11 |
| CPC Index | 0.56 | 0.52 |
| Tail Ratio | 1.04 | 1.0 |
| Outlier Win Ratio | 3.46 | 3.61 |
| Outlier Loss Ratio | 3.89 | 4.01 |
| MTD | 1.08% | 2.76% |
| 3M | 3.82% | 8.38% |
| 6M | 19.85% | -1.46% |
| YTD | 14.3% | 10.72% |
| 1Y | 17.78% | 10.73% |
| 3Y (ann.) | 24.86% | 9.63% |
| 5Y (ann.) | 16.31% | 9.15% |
| 10Y (ann.) | 16.31% | 9.15% |
| All-time (ann.) | 16.31% | 9.15% |
| Best Day | 10.5% | 4.33% |
| Worst Day | -5.85% | -11.67% |
| Best Month | 10.51% | 9.78% |
| Worst Month | -9.24% | -14.09% |
| Best Year | 26.18% | 24.15% |
| Worst Year | -6.63% | -2.23% |
| Avg. Drawdown | -1.95% | -3.51% |
| Avg. Drawdown Days | 19 | 44 |
| Recovery Factor | 3.39 | 2.24 |
| Ulcer Index | 0.07 | 0.08 |
| Serenity Index | 0.65 | 0.4 |
| Avg. Up Month | 3.18% | 2.64% |
| Avg. Down Month | -3.45% | -3.61% |
| Win Days | 54.27% | 53.48% |
| Win Month | 67.27% | 63.64% |
| Win Quarter | 73.68% | 57.89% |
| Win Year | 80.0% | 80.0% |
| Beta | - | -0.16 |
| Alpha | - | 0.13 |
| Correlation | - | -15.2% |
| Treynor Ratio | - | -311.85% |
| Year | SPY | CTA | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -6.63 | 9.55 | -1.44 | + |
| 2023 | 26.18 | -2.23 | -0.09 | - |
| 2024 | 24.89 | 24.15 | 0.97 | - |
| 2025 | 17.72 | 0.88 | 0.05 | - |
| 2026 | 14.30 | 10.72 | 0.75 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-05 | 2026-09-22 | -20.80 | 141 |
| 2022-10-17 | 2024-04-09 | -18.07 | 541 |
| 2025-02-20 | 2026-02-17 | -11.23 | 363 |
| 2024-05-21 | 2024-11-20 | -8.34 | 184 |
| 2026-04-07 | 2026-04-27 | -8.33 | 21 |
| 2026-03-19 | 2026-04-01 | -6.39 | 14 |
| 2022-03-09 | 2022-04-14 | -5.28 | 37 |
| 2022-05-13 | 2022-06-29 | -4.17 | 48 |
| 2022-09-27 | 2022-10-13 | -4.00 | 17 |
| 2022-07-26 | 2022-08-30 | -3.69 | 36 |