| Metric | XLF | GATRX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 61.19% | 119.4% |
| CAGR﹪ | 10.08% | 17.12% |
| Sharpe | 0.4 | 0.77 |
| Prob. Sharpe Ratio | 81.62% | 95.78% |
| Smart Sharpe | 0.4 | 0.77 |
| Sortino | 0.57 | 1.12 |
| Smart Sortino | 0.56 | 1.11 |
| Sortino/√2 | 0.41 | 0.79 |
| Smart Sortino/√2 | 0.4 | 0.79 |
| Omega | 1.11 | 1.19 |
| Max Drawdown | -25.81% | -21.0% |
| Max DD Date | 2022-10-12 | 2025-04-08 |
| Max DD Period Start | 2022-01-13 | 2025-02-19 |
| Max DD Period End | 2024-02-21 | 2025-06-26 |
| Longest DD Days | 770 | 547 |
| Volatility (ann.) | 18.37% | 17.38% |
| R^2 | 0.73 | 0.73 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 0.39 | 0.82 |
| Skew | -0.05 | 0.07 |
| Kurtosis | 4.25 | 7.26 |
| Ulcer Performance Index | 5.74 | 16.61 |
| Risk-Adjusted Return | 10.08% | 17.29% |
| Risk-Return Ratio | 0.04 | 0.06 |
| Avg. Return | 0.05% | 0.07% |
| Avg. Win | 0.97% | 0.92% |
| Avg. Loss | -0.98% | -0.9% |
| Win/Loss Ratio | 0.99 | 1.02 |
| Profit Ratio | 0.89 | 0.82 |
| Expected Daily | 0.04% | 0.06% |
| Expected Monthly | 0.79% | 1.3% |
| Expected Yearly | 8.28% | 13.99% |
| Kelly Criterion | 4.11% | 8.87% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.86% | -1.73% |
| Expected Shortfall (cVaR) | -2.67% | -2.62% |
| Max Consecutive Wins | 9 | 9 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.11 | 0.19 |
| Gain/Pain (1M) | 0.54 | 1.06 |
| Payoff Ratio | 0.99 | 1.02 |
| Profit Factor | 1.11 | 1.19 |
| Common Sense Ratio | 1.02 | 1.25 |
| CPC Index | 0.57 | 0.66 |
| Tail Ratio | 0.92 | 1.05 |
| Outlier Win Ratio | 3.61 | 3.3 |
| Outlier Loss Ratio | 3.67 | 3.68 |
| MTD | 4.76% | 2.84% |
| 3M | 3.54% | -5.31% |
| 6M | 14.83% | 6.44% |
| YTD | 9.41% | 6.64% |
| 1Y | 15.31% | 12.06% |
| 3Y (ann.) | 20.37% | 24.51% |
| 5Y (ann.) | 11.39% | 18.14% |
| 10Y (ann.) | 10.08% | 17.12% |
| All-time (ann.) | 10.08% | 17.12% |
| Best Day | 7.54% | 8.29% |
| Worst Day | -7.32% | -7.13% |
| Best Month | 11.92% | 13.82% |
| Worst Month | -10.86% | -10.61% |
| Best Year | 30.56% | 35.58% |
| Worst Year | -10.59% | -7.18% |
| Avg. Drawdown | -3.34% | -2.33% |
| Avg. Drawdown Days | 38 | 22 |
| Recovery Factor | 2.18 | 4.1 |
| Ulcer Index | 0.11 | 0.07 |
| Serenity Index | 0.28 | 0.8 |
| Avg. Up Month | 4.94% | 4.94% |
| Avg. Down Month | -4.84% | -4.16% |
| Win Days | 52.38% | 53.96% |
| Win Month | 55.74% | 63.93% |
| Win Quarter | 57.14% | 71.43% |
| Win Year | 66.67% | 83.33% |
| Beta | - | 0.81 |
| Alpha | - | 0.08 |
| Correlation | - | 85.59% |
| Treynor Ratio | - | 147.47% |
| Year | XLF | GATRX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -1.96 | 0.83 | -0.42 | + |
| 2022 | -10.59 | -7.18 | 0.68 | + |
| 2023 | 12.03 | 31.98 | 2.66 | + |
| 2024 | 30.56 | 35.58 | 1.16 | + |
| 2025 | 14.90 | 22.86 | 1.53 | + |
| 2026 | 9.41 | 6.64 | 0.71 | - |
| 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 |