| Metric | SPY | GAAVX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 74.99% | 38.13% |
| CAGR﹪ | 11.91% | 6.71% |
| Sharpe | 0.52 | 0.46 |
| Prob. Sharpe Ratio | 87.6% | 85.0% |
| Smart Sharpe | 0.5 | 0.46 |
| Sortino | 0.74 | 0.68 |
| Smart Sortino | 0.72 | 0.67 |
| Sortino/√2 | 0.53 | 0.48 |
| Smart Sortino/√2 | 0.51 | 0.47 |
| Omega | 1.14 | 1.21 |
| Max Drawdown | -24.5% | -7.73% |
| Max DD Date | 2022-10-12 | 2025-02-10 |
| Max DD Period Start | 2022-01-04 | 2024-07-02 |
| Max DD Period End | 2023-12-12 | 2025-08-18 |
| Longest DD Days | 708 | 413 |
| Volatility (ann.) | 17.19% | 6.06% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.49 | 0.87 |
| Skew | 0.33 | 0.01 |
| Kurtosis | 8.98 | 2.4 |
| Ulcer Performance Index | 8.86 | 13.35 |
| Risk-Adjusted Return | 11.91% | 7.22% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.83% | 0.31% |
| Avg. Loss | -0.86% | -0.3% |
| Win/Loss Ratio | 0.96 | 1.02 |
| Profit Ratio | 0.86 | 0.74 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.92% | 0.53% |
| Expected Yearly | 9.77% | 5.53% |
| Kelly Criterion | 5.05% | 5.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.6% |
| Expected Shortfall (cVaR) | -2.58% | -0.88% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.21 |
| Gain/Pain (1M) | 0.79 | 1.11 |
| Payoff Ratio | 0.96 | 1.02 |
| Profit Factor | 1.14 | 1.21 |
| Common Sense Ratio | 1.15 | 1.38 |
| CPC Index | 0.59 | 0.65 |
| Tail Ratio | 1.0 | 1.14 |
| Outlier Win Ratio | 3.4 | 3.84 |
| Outlier Loss Ratio | 3.8 | 3.25 |
| MTD | 1.47% | 0.55% |
| 3M | 1.46% | 7.51% |
| 6M | 6.94% | 11.27% |
| YTD | 13.33% | 13.28% |
| 1Y | 13.43% | 21.1% |
| 3Y (ann.) | 20.78% | 8.01% |
| 5Y (ann.) | 12.86% | 6.66% |
| 10Y (ann.) | 11.91% | 6.71% |
| All-time (ann.) | 11.91% | 6.71% |
| Best Day | 10.5% | 1.68% |
| Worst Day | -5.85% | -2.2% |
| Best Month | 10.51% | 5.69% |
| Worst Month | -9.24% | -3.41% |
| Best Year | 26.18% | 15.16% |
| Worst Year | -18.18% | -5.7% |
| Avg. Drawdown | -1.94% | -0.98% |
| Avg. Drawdown Days | 21 | 30 |
| Recovery Factor | 2.58 | 4.3 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 0.43 | 0.72 |
| Avg. Up Month | 3.32% | 1.67% |
| Avg. Down Month | -3.6% | -1.52% |
| Win Days | 53.48% | 52.46% |
| Win Month | 62.3% | 59.02% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.06 |
| Alpha | - | 0.06 |
| Correlation | - | 17.19% |
| Treynor Ratio | - | 628.84% |
| Year | SPY | GAAVX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 2.17 | 1.26 | + |
| 2022 | -18.18 | 3.62 | -0.20 | + |
| 2023 | 26.18 | 6.06 | 0.23 | - |
| 2024 | 24.89 | -5.70 | -0.23 | - |
| 2025 | 17.72 | 15.16 | 0.86 | - |
| 2026 | 13.33 | 13.28 | 1.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-02 | 2025-08-18 | -7.73 | 413 |
| 2022-02-14 | 2023-01-25 | -6.22 | 346 |
| 2026-02-09 | 2026-07-23 | -4.29 | 165 |
| 2023-03-06 | 2023-07-26 | -4.09 | 143 |
| 2026-08-03 | 2026-08-31 | -2.29 | 29 |
| 2024-06-03 | 2024-06-28 | -2.20 | 26 |
| 2024-01-08 | 2024-05-30 | -2.16 | 144 |
| 2023-10-11 | 2023-12-20 | -2.07 | 71 |
| 2021-11-24 | 2021-12-02 | -1.31 | 9 |
| 2026-09-16 | 2026-10-02 | -1.20 | 17 |