| Metric | SPY | GAAVX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 203.15% | 23.98% |
| CAGR﹪ | 16.47% | 3.0% |
| Sharpe | 0.73 | 0.04 |
| Prob. Sharpe Ratio | 97.44% | 54.61% |
| Smart Sharpe | 0.63 | 0.04 |
| Sortino | 1.03 | 0.06 |
| Smart Sortino | 0.89 | 0.05 |
| Sortino/√2 | 0.73 | 0.04 |
| Smart Sortino/√2 | 0.63 | 0.04 |
| Omega | 1.18 | 1.1 |
| Max Drawdown | -33.72% | -9.59% |
| Max DD Date | 2020-03-23 | 2021-11-30 |
| Max DD Period Start | 2020-02-20 | 2021-06-07 |
| Max DD Period End | 2020-08-07 | 2023-09-08 |
| Longest DD Days | 708 | 824 |
| Volatility (ann.) | 19.56% | 6.03% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.49 | 0.31 |
| Skew | -0.29 | -0.73 |
| Kurtosis | 13.84 | 7.75 |
| Ulcer Performance Index | 25.46 | 6.1 |
| Risk-Adjusted Return | 16.47% | 3.26% |
| Risk-Return Ratio | 0.06 | 0.03 |
| Avg. Return | 0.06% | 0.01% |
| Avg. Win | 0.9% | 0.29% |
| Avg. Loss | -0.98% | -0.33% |
| Win/Loss Ratio | 0.91 | 0.89 |
| Profit Ratio | 0.78 | 0.64 |
| Expected Daily | 0.06% | 0.01% |
| Expected Monthly | 1.27% | 0.24% |
| Expected Yearly | 14.87% | 2.72% |
| Kelly Criterion | 6.11% | 0.16% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -0.61% |
| Expected Shortfall (cVaR) | -3.2% | -0.96% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.18 | 0.1 |
| Gain/Pain (1M) | 1.16 | 0.47 |
| Payoff Ratio | 0.91 | 0.89 |
| Profit Factor | 1.18 | 1.1 |
| Common Sense Ratio | 1.14 | 1.15 |
| CPC Index | 0.6 | 0.52 |
| Tail Ratio | 0.96 | 1.05 |
| Outlier Win Ratio | 3.69 | 3.85 |
| Outlier Loss Ratio | 4.1 | 3.57 |
| 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.) | 16.47% | 3.0% |
| All-time (ann.) | 16.47% | 3.0% |
| Best Day | 10.5% | 1.84% |
| Worst Day | -10.94% | -3.71% |
| Best Month | 12.7% | 5.69% |
| Worst Month | -12.49% | -4.22% |
| Best Year | 28.73% | 15.16% |
| Worst Year | -18.18% | -5.7% |
| Avg. Drawdown | -1.78% | -1.38% |
| Avg. Drawdown Days | 16 | 54 |
| Recovery Factor | 3.7 | 2.38 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 1.02 | 0.28 |
| Avg. Up Month | 3.96% | 1.46% |
| Avg. Down Month | -3.97% | -1.45% |
| Win Days | 55.22% | 52.94% |
| Win Month | 67.05% | 55.68% |
| Win Quarter | 76.67% | 66.67% |
| Win Year | 87.5% | 62.5% |
| Beta | - | 0.11 |
| Alpha | - | 0.01 |
| Correlation | - | 34.39% |
| Treynor Ratio | - | 226.37% |
| Year | SPY | GAAVX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 14.71 | 2.61 | 0.18 | - |
| 2020 | 18.33 | -0.27 | -0.01 | - |
| 2021 | 28.73 | -5.12 | -0.18 | - |
| 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 |
|---|---|---|---|
| 2021-06-07 | 2023-09-08 | -9.59 | 824 |
| 2020-01-03 | 2021-01-15 | -9.50 | 379 |
| 2024-07-02 | 2025-08-18 | -7.73 | 413 |
| 2026-02-09 | 2026-07-23 | -4.29 | 165 |
| 2021-01-22 | 2021-05-14 | -4.05 | 113 |
| 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 |
| 2019-07-05 | 2019-09-04 | -1.54 | 62 |