| Metric | XLF | GATRX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.32% | 11.32% |
| CAGR﹪ | 14.44% | 11.41% |
| Sharpe | 0.73 | 0.56 |
| Prob. Sharpe Ratio | 76.56% | 71.23% |
| Smart Sharpe | 0.71 | 0.53 |
| Sortino | 1.06 | 0.81 |
| Smart Sortino | 1.04 | 0.76 |
| Sortino/√2 | 0.75 | 0.57 |
| Smart Sortino/√2 | 0.73 | 0.54 |
| Omega | 1.17 | 1.14 |
| 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.) | 15.03% | 14.52% |
| R^2 | 0.65 | 0.65 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.98 | 0.99 |
| Skew | -0.03 | -0.14 |
| Kurtosis | 1.03 | 0.64 |
| Ulcer Performance Index | 2.34 | 2.24 |
| Risk-Adjusted Return | 14.44% | 11.41% |
| Risk-Return Ratio | 0.06 | 0.05 |
| Avg. Return | 0.06% | 0.05% |
| Avg. Win | 0.84% | 0.81% |
| Avg. Loss | -0.82% | -0.84% |
| Win/Loss Ratio | 1.03 | 0.97 |
| Profit Ratio | 0.88 | 0.88 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.03% | 0.83% |
| Expected Yearly | 6.92% | 5.51% |
| Kelly Criterion | 7.98% | 4.03% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.5% | -1.46% |
| Expected Shortfall (cVaR) | -2.02% | -2.1% |
| Max Consecutive Wins | 6 | 7 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.17 | 0.14 |
| Gain/Pain (1M) | 0.82 | 0.75 |
| Payoff Ratio | 1.03 | 0.97 |
| Profit Factor | 1.17 | 1.14 |
| Common Sense Ratio | 1.21 | 1.36 |
| CPC Index | 0.64 | 0.58 |
| Tail Ratio | 1.03 | 1.19 |
| Outlier Win Ratio | 3.25 | 3.0 |
| Outlier Loss Ratio | 2.97 | 3.07 |
| MTD | 4.76% | 2.84% |
| 3M | 3.54% | -5.31% |
| 6M | 14.83% | 6.44% |
| YTD | 9.41% | 6.64% |
| 1Y | 14.32% | 11.32% |
| 3Y (ann.) | 14.44% | 11.41% |
| 5Y (ann.) | 14.44% | 11.41% |
| 10Y (ann.) | 14.44% | 11.41% |
| All-time (ann.) | 14.44% | 11.41% |
| Best Day | 3.51% | 2.77% |
| Worst Day | -3.35% | -3.38% |
| Best Month | 6.21% | 6.62% |
| Worst Month | -7.14% | -6.26% |
| Best Year | 9.41% | 6.64% |
| Worst Year | 4.49% | 4.39% |
| Avg. Drawdown | -3.22% | -2.73% |
| Avg. Drawdown Days | 25 | 21 |
| Recovery Factor | 0.98 | 1.02 |
| Ulcer Index | 0.06 | 0.05 |
| Serenity Index | 0.18 | 0.22 |
| Avg. Up Month | 4.45% | 3.28% |
| Avg. Down Month | -4.8% | -5.09% |
| Win Days | 53.41% | 52.82% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 60.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.78 |
| Alpha | - | 0.0 |
| Correlation | - | 80.57% |
| Treynor Ratio | - | 14.54% |
| Year | XLF | GATRX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 4.49 | 4.39 | 0.98 | - |
| 2026 | 9.41 | 6.64 | 0.71 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-23 | 2026-06-23 | -11.49 | 152 |
| 2026-08-14 | 2026-11-04 | -10.33 | 83 |
| 2025-11-13 | 2025-11-25 | -4.51 | 13 |
| 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 |
| 2025-11-06 | 2025-11-10 | -1.15 | 5 |
| 2025-12-12 | 2025-12-17 | -1.14 | 6 |