| Metric | SPY | CTA |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 6.48% | -14.69% |
| CAGR﹪ | 13.27% | -27.04% |
| Sharpe | 0.78 | -1.07 |
| Prob. Sharpe Ratio | 70.87% | 22.2% |
| Smart Sharpe | 0.75 | -0.98 |
| Sortino | 1.14 | -1.4 |
| Smart Sortino | 1.09 | -1.28 |
| Sortino/√2 | 0.8 | -0.99 |
| Smart Sortino/√2 | 0.77 | -0.9 |
| Omega | 1.19 | 0.85 |
| Max Drawdown | -4.49% | -20.14% |
| Max DD Date | 2026-06-10 | 2026-08-04 |
| Max DD Period Start | 2026-06-03 | 2026-05-20 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 169 |
| Volatility (ann.) | 12.4% | 28.92% |
| R^2 | 0.16 | 0.16 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 2.95 | -1.34 |
| Skew | -0.15 | -0.4 |
| Kurtosis | 0.59 | 1.17 |
| Ulcer Performance Index | 3.89 | -1.25 |
| Risk-Adjusted Return | 13.27% | -27.31% |
| Risk-Return Ratio | 0.07 | -0.06 |
| Avg. Return | 0.06% | -0.11% |
| Avg. Win | 0.5% | 0.9% |
| Avg. Loss | -0.59% | -1.19% |
| Win/Loss Ratio | 0.84 | 0.75 |
| Profit Ratio | 1.15 | 1.13 |
| Expected Daily | 0.05% | -0.13% |
| Expected Monthly | 0.9% | -2.24% |
| Expected Yearly | 6.48% | -14.69% |
| Kelly Criterion | -9.0% | -26.73% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -3.11% |
| Expected Shortfall (cVaR) | -1.63% | -4.61% |
| Max Consecutive Wins | 4 | 6 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.19 | -0.15 |
| Gain/Pain (1M) | 3.26 | -0.44 |
| Payoff Ratio | 0.84 | 0.75 |
| Profit Factor | 1.19 | 0.85 |
| Common Sense Ratio | 1.47 | 0.76 |
| CPC Index | 0.5 | 0.29 |
| Tail Ratio | 1.23 | 0.9 |
| Outlier Win Ratio | 2.66 | 2.97 |
| Outlier Loss Ratio | 3.07 | 3.94 |
| MTD | 1.47% | -10.72% |
| 3M | 1.46% | 3.29% |
| 6M | 6.48% | -14.69% |
| YTD | 6.48% | -14.69% |
| 1Y | 6.48% | -14.69% |
| 3Y (ann.) | 13.27% | -27.04% |
| 5Y (ann.) | 13.27% | -27.04% |
| 10Y (ann.) | 13.27% | -27.04% |
| All-time (ann.) | 13.27% | -27.04% |
| Best Day | 1.8% | 4.33% |
| Worst Day | -2.58% | -6.41% |
| Best Month | 4.52% | 5.14% |
| Worst Month | -1.03% | -10.72% |
| Best Year | 6.48% | -14.69% |
| Worst Year | 6.48% | -14.69% |
| Avg. Drawdown | -1.57% | -12.41% |
| Avg. Drawdown Days | 17 | 91 |
| Recovery Factor | 1.48 | 0.68 |
| Ulcer Index | 0.02 | 0.12 |
| Serenity Index | 0.91 | -0.11 |
| Avg. Up Month | 1.36% | 4.9% |
| Avg. Down Month | -1.03% | -9.73% |
| Win Days | 50.39% | 45.6% |
| Win Month | 57.14% | 57.14% |
| Win Quarter | 100.0% | 33.33% |
| Win Year | 100.0% | 0.0% |
| Beta | - | -0.93 |
| Alpha | - | -0.15 |
| Correlation | - | -39.87% |
| Treynor Ratio | - | 15.79% |
| Year | SPY | CTA | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | -14.69 | -2.27 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-20 | 2026-11-04 | -20.14 | 169 |
| 2026-05-06 | 2026-05-18 | -4.69 | 13 |