| Metric | XLF | GATRX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 15.56% | 6.49% |
| CAGR﹪ | 33.24% | 13.29% |
| Sharpe | 1.84 | 0.73 |
| Prob. Sharpe Ratio | 90.96% | 69.8% |
| Smart Sharpe | 1.66 | 0.65 |
| Sortino | 3.04 | 1.1 |
| Smart Sortino | 2.74 | 0.97 |
| Sortino/√2 | 2.15 | 0.78 |
| Smart Sortino/√2 | 1.93 | 0.68 |
| Omega | 1.4 | 1.17 |
| Max Drawdown | -8.49% | -10.33% |
| Max DD Date | 2026-09-30 | 2026-10-14 |
| Max DD Period Start | 2026-09-04 | 2026-08-14 |
| Max DD Period End | 2026-11-03 | 2026-11-04 |
| Longest DD Days | 61 | 83 |
| Volatility (ann.) | 14.18% | 13.4% |
| R^2 | 0.57 | 0.57 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | 3.92 | 1.29 |
| Skew | 0.44 | 0.07 |
| Kurtosis | 1.13 | -0.43 |
| Ulcer Performance Index | 4.92 | 1.32 |
| Risk-Adjusted Return | 33.24% | 13.29% |
| Risk-Return Ratio | 0.13 | 0.06 |
| Avg. Return | 0.12% | 0.05% |
| Avg. Win | 0.87% | 0.82% |
| Avg. Loss | -0.71% | -0.8% |
| Win/Loss Ratio | 1.23 | 1.01 |
| Profit Ratio | 1.12 | 1.0 |
| Expected Daily | 0.11% | 0.05% |
| Expected Monthly | 2.09% | 0.9% |
| Expected Yearly | 15.56% | 6.49% |
| Kelly Criterion | 14.46% | 3.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.35% | -1.34% |
| Expected Shortfall (cVaR) | -1.7% | -1.84% |
| Max Consecutive Wins | 6 | 7 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.4 | 0.17 |
| Gain/Pain (1M) | 2.04 | 0.99 |
| Payoff Ratio | 1.23 | 1.01 |
| Profit Factor | 1.4 | 1.17 |
| Common Sense Ratio | 1.68 | 1.48 |
| CPC Index | 0.91 | 0.61 |
| Tail Ratio | 1.2 | 1.27 |
| Outlier Win Ratio | 3.19 | 2.41 |
| Outlier Loss Ratio | 2.97 | 2.67 |
| MTD | 4.76% | 2.84% |
| 3M | 3.54% | -5.31% |
| 6M | 15.56% | 6.49% |
| YTD | 15.56% | 6.49% |
| 1Y | 15.56% | 6.49% |
| 3Y (ann.) | 33.24% | 13.29% |
| 5Y (ann.) | 33.24% | 13.29% |
| 10Y (ann.) | 33.24% | 13.29% |
| All-time (ann.) | 33.24% | 13.29% |
| Best Day | 3.51% | 2.16% |
| Worst Day | -1.97% | -2.2% |
| Best Month | 6.21% | 5.37% |
| Worst Month | -7.14% | -6.26% |
| Best Year | 15.56% | 6.49% |
| Worst Year | 15.56% | 6.49% |
| Avg. Drawdown | -2.07% | -2.74% |
| Avg. Drawdown Days | 12 | 17 |
| Recovery Factor | 1.76 | 0.65 |
| Ulcer Index | 0.03 | 0.05 |
| Serenity Index | 0.59 | 0.12 |
| Avg. Up Month | 5.27% | 3.0% |
| Avg. Down Month | -7.14% | -6.26% |
| Win Days | 52.76% | 51.59% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.71 |
| Alpha | - | -0.08 |
| Correlation | - | 75.36% |
| Treynor Ratio | - | 9.11% |
| Year | XLF | GATRX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 15.56 | 6.49 | 0.42 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-14 | 2026-11-04 | -10.33 | 83 |
| 2026-05-07 | 2026-05-29 | -3.24 | 23 |
| 2026-07-07 | 2026-07-14 | -2.89 | 8 |
| 2026-07-17 | 2026-07-27 | -2.69 | 11 |
| 2026-06-02 | 2026-06-10 | -2.29 | 9 |
| 2026-08-05 | 2026-08-12 | -1.63 | 8 |
| 2026-06-17 | 2026-06-22 | -0.86 | 6 |
| 2026-07-29 | 2026-07-31 | -0.68 | 3 |
| 2026-07-02 | 2026-07-02 | -0.05 | 1 |