| Metric | SPY | CTA |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 18.6% | 3.69% |
| CAGR﹪ | 40.67% | 7.52% |
| Sharpe | 2.32 | 0.27 |
| Prob. Sharpe Ratio | 95.04% | 57.53% |
| Smart Sharpe | 2.3 | 0.24 |
| Sortino | 3.78 | 0.39 |
| Smart Sortino | 3.75 | 0.34 |
| Sortino/√2 | 2.67 | 0.27 |
| Smart Sortino/√2 | 2.65 | 0.24 |
| Omega | 1.54 | 1.07 |
| Max Drawdown | -4.49% | -20.8% |
| Max DD Date | 2026-06-10 | 2026-08-04 |
| Max DD Period Start | 2026-06-03 | 2026-05-05 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 141 |
| Volatility (ann.) | 13.55% | 29.53% |
| R^2 | 0.22 | 0.22 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 9.05 | 0.36 |
| Skew | 0.1 | -0.14 |
| Kurtosis | 1.12 | 0.2 |
| Ulcer Performance Index | 11.86 | 0.31 |
| Risk-Adjusted Return | 40.67% | 7.6% |
| Risk-Return Ratio | 0.16 | 0.02 |
| Avg. Return | 0.15% | 0.05% |
| Avg. Win | 0.53% | 1.11% |
| Avg. Loss | -0.55% | -1.11% |
| Win/Loss Ratio | 0.95 | 1.01 |
| Profit Ratio | 1.12 | 1.0 |
| Expected Daily | 0.14% | 0.03% |
| Expected Monthly | 2.47% | 0.52% |
| Expected Yearly | 18.6% | 3.69% |
| Kelly Criterion | 5.76% | 0.25% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -3.01% |
| Expected Shortfall (cVaR) | -1.77% | -4.0% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.54 | 0.07 |
| Gain/Pain (1M) | 10.92 | 0.28 |
| Payoff Ratio | 0.95 | 1.01 |
| Profit Factor | 1.54 | 1.07 |
| Common Sense Ratio | 2.01 | 1.0 |
| CPC Index | 0.79 | 0.54 |
| Tail Ratio | 1.3 | 0.94 |
| Outlier Win Ratio | 3.21 | 2.91 |
| Outlier Loss Ratio | 3.16 | 3.22 |
| MTD | 1.08% | 2.76% |
| 3M | 3.82% | 8.38% |
| 6M | 18.6% | 3.69% |
| YTD | 18.6% | 3.69% |
| 1Y | 18.6% | 3.69% |
| 3Y (ann.) | 40.67% | 7.52% |
| 5Y (ann.) | 40.67% | 7.52% |
| 10Y (ann.) | 40.67% | 7.52% |
| All-time (ann.) | 40.67% | 7.52% |
| Best Day | 2.91% | 4.33% |
| Worst Day | -2.58% | -5.24% |
| Best Month | 10.51% | 7.58% |
| Worst Month | -1.03% | -10.29% |
| Best Year | 18.6% | 3.69% |
| Worst Year | 18.6% | 3.69% |
| Avg. Drawdown | -1.13% | -7.0% |
| Avg. Drawdown Days | 9 | 33 |
| Recovery Factor | 3.9 | 0.28 |
| Ulcer Index | 0.02 | 0.12 |
| Serenity Index | 2.75 | 0.04 |
| Avg. Up Month | 3.57% | 5.04% |
| Avg. Down Month | -1.03% | -9.73% |
| Win Days | 53.97% | 50.0% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -1.03 |
| Alpha | - | 0.48 |
| Correlation | - | -47.12% |
| Treynor Ratio | - | -3.6% |
| Year | SPY | CTA | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 3.69 | 0.20 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-05 | 2026-09-22 | -20.80 | 141 |
| 2026-04-07 | 2026-04-27 | -8.33 | 21 |
| 2026-03-31 | 2026-04-01 | -3.76 | 2 |
| 2026-04-30 | 2026-05-01 | -1.51 | 2 |
| 2026-03-25 | 2026-03-25 | -0.58 | 1 |