| Metric | SPY | CTA |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 96.27% | 37.85% |
| CAGR﹪ | 15.63% | 7.16% |
| Sharpe | 0.69 | 0.25 |
| Prob. Sharpe Ratio | 93.38% | 69.92% |
| Smart Sharpe | 0.67 | 0.23 |
| Sortino | 1.01 | 0.32 |
| Smart Sortino | 0.97 | 0.31 |
| Sortino/√2 | 0.71 | 0.23 |
| Smart Sortino/√2 | 0.69 | 0.22 |
| Omega | 1.18 | 1.09 |
| 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 | 2026-11-04 |
| Longest DD Days | 475 | 541 |
| Volatility (ann.) | 17.06% | 18.11% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.71 | 0.34 |
| Skew | 0.37 | -1.41 |
| Kurtosis | 9.95 | 12.37 |
| Ulcer Performance Index | 13.24 | 4.9 |
| Risk-Adjusted Return | 15.63% | 7.23% |
| Risk-Return Ratio | 0.06 | 0.03 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.65% | 0.71% |
| Avg. Loss | -0.75% | -0.82% |
| Win/Loss Ratio | 0.87 | 0.87 |
| Profit Ratio | 0.85 | 0.8 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.19% | 0.56% |
| Expected Yearly | 14.44% | 6.63% |
| Kelly Criterion | 1.5% | -1.08% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.7% | -1.84% |
| Expected Shortfall (cVaR) | -2.62% | -3.1% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.18 | 0.09 |
| Gain/Pain (1M) | 1.07 | 0.45 |
| Payoff Ratio | 0.87 | 0.87 |
| Profit Factor | 1.18 | 1.09 |
| Common Sense Ratio | 1.23 | 1.11 |
| CPC Index | 0.56 | 0.5 |
| Tail Ratio | 1.04 | 1.02 |
| Outlier Win Ratio | 3.46 | 3.54 |
| Outlier Loss Ratio | 3.89 | 4.07 |
| MTD | 1.47% | -10.72% |
| 3M | 1.46% | 3.29% |
| 6M | 6.94% | -14.18% |
| YTD | 13.33% | 2.77% |
| 1Y | 13.43% | 3.45% |
| 3Y (ann.) | 20.78% | 8.68% |
| 5Y (ann.) | 15.63% | 7.16% |
| 10Y (ann.) | 15.63% | 7.16% |
| All-time (ann.) | 15.63% | 7.16% |
| 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 | -1.97% | -3.51% |
| Avg. Drawdown Days | 19 | 45 |
| Recovery Factor | 3.36 | 1.91 |
| Ulcer Index | 0.07 | 0.08 |
| Serenity Index | 0.66 | 0.35 |
| Avg. Up Month | 3.28% | 2.63% |
| Avg. Down Month | -3.45% | -3.61% |
| Win Days | 54.11% | 53.08% |
| Win Month | 64.91% | 63.16% |
| Win Quarter | 75.0% | 55.0% |
| Win Year | 80.0% | 80.0% |
| Beta | - | -0.17 |
| Alpha | - | 0.11 |
| Correlation | - | -15.55% |
| Treynor Ratio | - | -229.25% |
| 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 | 13.33 | 2.77 | 0.21 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-05 | 2026-11-04 | -20.80 | 184 |
| 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 |