| Metric | SPY | GATRX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 74.99% | 119.4% |
| CAGR﹪ | 11.91% | 17.12% |
| Sharpe | 0.52 | 0.77 |
| Prob. Sharpe Ratio | 87.6% | 95.78% |
| Smart Sharpe | 0.5 | 0.77 |
| Sortino | 0.74 | 1.12 |
| Smart Sortino | 0.72 | 1.11 |
| Sortino/√2 | 0.53 | 0.79 |
| Smart Sortino/√2 | 0.51 | 0.79 |
| Omega | 1.14 | 1.19 |
| Max Drawdown | -24.5% | -21.0% |
| Max DD Date | 2022-10-12 | 2025-04-08 |
| Max DD Period Start | 2022-01-04 | 2025-02-19 |
| Max DD Period End | 2023-12-12 | 2025-06-26 |
| Longest DD Days | 708 | 547 |
| Volatility (ann.) | 17.19% | 17.38% |
| R^2 | 0.59 | 0.59 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.49 | 0.82 |
| Skew | 0.33 | 0.07 |
| Kurtosis | 8.98 | 7.26 |
| Ulcer Performance Index | 8.86 | 16.61 |
| Risk-Adjusted Return | 11.91% | 17.29% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.05% | 0.07% |
| Avg. Win | 0.88% | 0.91% |
| Avg. Loss | -0.91% | -0.91% |
| Win/Loss Ratio | 0.97 | 1.0 |
| Profit Ratio | 0.86 | 0.82 |
| Expected Daily | 0.04% | 0.06% |
| Expected Monthly | 0.92% | 1.3% |
| Expected Yearly | 9.77% | 13.99% |
| Kelly Criterion | 5.36% | 7.73% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.73% |
| Expected Shortfall (cVaR) | -2.58% | -2.62% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.19 |
| Gain/Pain (1M) | 0.79 | 1.06 |
| Payoff Ratio | 0.97 | 1.0 |
| Profit Factor | 1.14 | 1.19 |
| Common Sense Ratio | 1.15 | 1.25 |
| CPC Index | 0.59 | 0.64 |
| Tail Ratio | 1.0 | 1.05 |
| Outlier Win Ratio | 3.4 | 3.3 |
| Outlier Loss Ratio | 3.8 | 3.68 |
| MTD | 1.47% | 2.84% |
| 3M | 1.46% | -5.31% |
| 6M | 6.94% | 6.44% |
| YTD | 13.33% | 6.64% |
| 1Y | 13.43% | 12.06% |
| 3Y (ann.) | 20.78% | 24.51% |
| 5Y (ann.) | 12.86% | 18.14% |
| 10Y (ann.) | 11.91% | 17.12% |
| All-time (ann.) | 11.91% | 17.12% |
| Best Day | 10.5% | 8.29% |
| Worst Day | -5.85% | -7.13% |
| Best Month | 10.51% | 13.82% |
| Worst Month | -9.24% | -10.61% |
| Best Year | 26.18% | 35.58% |
| Worst Year | -18.18% | -7.18% |
| Avg. Drawdown | -1.94% | -2.33% |
| Avg. Drawdown Days | 21 | 22 |
| Recovery Factor | 2.58 | 4.1 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 0.43 | 0.8 |
| Avg. Up Month | 4.02% | 4.98% |
| Avg. Down Month | -3.92% | -4.29% |
| Win Days | 53.48% | 53.96% |
| Win Month | 62.3% | 63.93% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.78 |
| Alpha | - | 0.07 |
| Correlation | - | 76.8% |
| Treynor Ratio | - | 153.79% |
| Year | SPY | GATRX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.83 | 0.48 | - |
| 2022 | -18.18 | -7.18 | 0.39 | + |
| 2023 | 26.18 | 31.98 | 1.22 | + |
| 2024 | 24.89 | 35.58 | 1.43 | + |
| 2025 | 17.72 | 22.86 | 1.29 | + |
| 2026 | 13.33 | 6.64 | 0.50 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-19 | 2025-06-26 | -21.00 | 128 |
| 2022-01-18 | 2023-07-18 | -20.95 | 547 |
| 2026-01-23 | 2026-06-23 | -11.49 | 152 |
| 2026-08-14 | 2026-11-04 | -10.33 | 83 |
| 2024-08-01 | 2024-09-16 | -7.39 | 47 |
| 2025-10-06 | 2025-12-09 | -7.24 | 65 |
| 2024-11-26 | 2025-01-17 | -6.82 | 53 |
| 2021-11-24 | 2021-12-23 | -4.87 | 30 |
| 2024-05-22 | 2024-07-11 | -4.59 | 51 |
| 2023-08-08 | 2023-11-02 | -4.24 | 87 |