| Metric | XLF | GATRX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 5.62% | 8.48% |
| CAGR﹪ | 5.69% | 8.58% |
| Sharpe | 0.18 | 0.36 |
| Prob. Sharpe Ratio | 57.04% | 63.87% |
| Smart Sharpe | 0.18 | 0.35 |
| Sortino | 0.25 | 0.5 |
| Smart Sortino | 0.25 | 0.48 |
| Sortino/√2 | 0.17 | 0.35 |
| Smart Sortino/√2 | 0.17 | 0.34 |
| Omega | 1.08 | 1.11 |
| Max Drawdown | -14.79% | -11.49% |
| Max DD Date | 2026-03-27 | 2026-03-27 |
| Max DD Period Start | 2026-01-07 | 2026-01-23 |
| Max DD Period End | 2026-07-02 | 2026-06-23 |
| Longest DD Days | 177 | 152 |
| Volatility (ann.) | 14.67% | 14.94% |
| R^2 | 0.66 | 0.66 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.38 | 0.75 |
| Skew | -0.32 | -0.38 |
| Kurtosis | 0.93 | 0.91 |
| Ulcer Performance Index | 0.96 | 2.01 |
| Risk-Adjusted Return | 5.69% | 8.58% |
| Risk-Return Ratio | 0.03 | 0.04 |
| Avg. Return | 0.03% | 0.04% |
| Avg. Win | 0.79% | 0.8% |
| Avg. Loss | -0.83% | -0.87% |
| Win/Loss Ratio | 0.95 | 0.93 |
| Profit Ratio | 0.85 | 0.79 |
| Expected Daily | 0.02% | 0.03% |
| Expected Monthly | 0.42% | 0.63% |
| Expected Yearly | 2.77% | 4.15% |
| Kelly Criterion | 2.95% | 4.14% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.49% | -1.51% |
| Expected Shortfall (cVaR) | -2.06% | -2.19% |
| Max Consecutive Wins | 6 | 7 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.08 | 0.11 |
| Gain/Pain (1M) | 0.41 | 0.58 |
| Payoff Ratio | 0.95 | 0.93 |
| Profit Factor | 1.08 | 1.11 |
| Common Sense Ratio | 0.91 | 1.1 |
| CPC Index | 0.54 | 0.55 |
| Tail Ratio | 0.84 | 1.0 |
| Outlier Win Ratio | 3.14 | 2.96 |
| Outlier Loss Ratio | 3.31 | 3.61 |
| MTD | -2.79% | -2.51% |
| 3M | 5.08% | 3.8% |
| 6M | 15.29% | 15.58% |
| YTD | 3.31% | 7.64% |
| 1Y | 5.62% | 8.48% |
| 3Y (ann.) | 5.69% | 8.58% |
| 5Y (ann.) | 5.69% | 8.58% |
| 10Y (ann.) | 5.69% | 8.58% |
| All-time (ann.) | 5.69% | 8.58% |
| Best Day | 2.65% | 2.77% |
| Worst Day | -3.35% | -3.38% |
| Best Month | 6.21% | 6.62% |
| Worst Month | -3.76% | -5.23% |
| Best Year | 3.31% | 7.64% |
| Worst Year | 2.23% | 0.78% |
| Avg. Drawdown | -3.18% | -2.84% |
| Avg. Drawdown Days | 27 | 23 |
| Recovery Factor | 0.44 | 0.8 |
| Ulcer Index | 0.06 | 0.04 |
| Serenity Index | 0.08 | 0.21 |
| Avg. Up Month | 4.2% | 4.14% |
| Avg. Down Month | -3.21% | -3.82% |
| Win Days | 52.63% | 53.85% |
| Win Month | 53.85% | 53.85% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.83 |
| Alpha | - | 0.04 |
| Correlation | - | 81.24% |
| Treynor Ratio | - | 10.25% |
| Year | XLF | GATRX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 2.23 | 0.78 | 0.35 | - |
| 2026 | 3.31 | 7.64 | 2.31 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-23 | 2026-06-23 | -11.49 | 152 |
| 2025-10-06 | 2025-12-09 | -7.24 | 65 |
| 2026-08-14 | 2026-09-21 | -6.16 | 39 |
| 2026-07-07 | 2026-07-14 | -2.89 | 8 |
| 2026-07-17 | 2026-07-27 | -2.69 | 11 |
| 2026-01-12 | 2026-01-20 | -2.14 | 9 |
| 2025-12-23 | 2026-01-02 | -1.78 | 11 |
| 2026-08-05 | 2026-08-12 | -1.63 | 8 |
| 2025-09-30 | 2025-10-02 | -1.25 | 3 |
| 2025-12-12 | 2025-12-17 | -1.14 | 6 |