| Metric | SPY | GAAVX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 86.58% | 26.71% |
| CAGR﹪ | 13.36% | 4.88% |
| Sharpe | 0.59 | 0.19 |
| Prob. Sharpe Ratio | 90.85% | 66.44% |
| Smart Sharpe | 0.58 | 0.19 |
| Sortino | 0.86 | 0.27 |
| Smart Sortino | 0.83 | 0.27 |
| Sortino/√2 | 0.61 | 0.19 |
| Smart Sortino/√2 | 0.59 | 0.19 |
| Omega | 1.16 | 1.15 |
| 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.) | 17.2% | 6.03% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.55 | 0.63 |
| Skew | 0.32 | -0.03 |
| Kurtosis | 8.95 | 2.39 |
| Ulcer Performance Index | 10.24 | 9.1 |
| Risk-Adjusted Return | 13.36% | 5.24% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.83% | 0.31% |
| Avg. Loss | -0.87% | -0.31% |
| Win/Loss Ratio | 0.96 | 1.0 |
| Profit Ratio | 0.83 | 0.72 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.39% |
| Expected Yearly | 10.95% | 4.02% |
| Kelly Criterion | 6.18% | 4.06% |
| 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 | 0.16 | 0.15 |
| Gain/Pain (1M) | 0.87 | 0.75 |
| Payoff Ratio | 0.96 | 1.0 |
| Profit Factor | 1.16 | 1.15 |
| Common Sense Ratio | 1.17 | 1.28 |
| CPC Index | 0.6 | 0.6 |
| Tail Ratio | 1.01 | 1.11 |
| Outlier Win Ratio | 3.41 | 3.85 |
| Outlier Loss Ratio | 3.77 | 3.21 |
| MTD | 1.08% | 1.23% |
| 3M | 3.82% | 5.85% |
| 6M | 19.85% | 4.6% |
| YTD | 14.3% | 7.0% |
| 1Y | 17.78% | 15.73% |
| 3Y (ann.) | 24.86% | 6.08% |
| 5Y (ann.) | 13.06% | 5.15% |
| 10Y (ann.) | 13.36% | 4.88% |
| All-time (ann.) | 13.36% | 4.88% |
| 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 | -1.89% | -1.16% |
| Avg. Drawdown Days | 20 | 37 |
| Recovery Factor | 2.85 | 3.18 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 0.47 | 0.51 |
| Avg. Up Month | 3.31% | 1.7% |
| Avg. Down Month | -3.42% | -1.52% |
| Win Days | 54.04% | 52.03% |
| Win Month | 63.93% | 57.38% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.06 |
| Alpha | - | 0.04 |
| Correlation | - | 18.4% |
| Treynor Ratio | - | 414.48% |
| Year | SPY | GAAVX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -0.77 | -0.10 | - |
| 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 | 14.30 | 7.00 | 0.49 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-02 | 2025-08-18 | -7.73 | 413 |
| 2022-02-14 | 2023-01-25 | -6.22 | 346 |
| 2021-10-11 | 2022-01-05 | -4.76 | 87 |
| 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 |
| 2026-09-16 | 2026-09-22 | -1.20 | 7 |