| Metric | XLF | GATRX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.26% | 13.62% |
| CAGR﹪ | 30.82% | 29.35% |
| Sharpe | 1.77 | 1.66 |
| Prob. Sharpe Ratio | 89.49% | 87.99% |
| Smart Sharpe | 1.71 | 1.6 |
| Sortino | 2.83 | 2.62 |
| Smart Sortino | 2.73 | 2.51 |
| Sortino/√2 | 2.0 | 1.85 |
| Smart Sortino/√2 | 1.93 | 1.78 |
| Omega | 1.4 | 1.36 |
| Max Drawdown | -4.61% | -6.16% |
| Max DD Date | 2026-09-18 | 2026-09-18 |
| Max DD Period Start | 2026-09-04 | 2026-08-14 |
| Max DD Period End | 2026-09-21 | 2026-09-21 |
| Longest DD Days | 52 | 51 |
| Volatility (ann.) | 13.69% | 13.88% |
| R^2 | 0.59 | 0.59 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 6.69 | 4.77 |
| Skew | 0.19 | 0.11 |
| Kurtosis | 0.87 | 0.1 |
| Ulcer Performance Index | 8.88 | 6.53 |
| Risk-Adjusted Return | 30.82% | 29.35% |
| Risk-Return Ratio | 0.13 | 0.12 |
| Avg. Return | 0.11% | 0.11% |
| Avg. Win | 0.79% | 0.81% |
| Avg. Loss | -0.71% | -0.81% |
| Win/Loss Ratio | 1.1 | 1.0 |
| Profit Ratio | 0.92 | 0.84 |
| Expected Daily | 0.11% | 0.1% |
| Expected Monthly | 1.92% | 1.84% |
| Expected Yearly | 14.26% | 13.62% |
| Kelly Criterion | 13.75% | 11.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.31% | -1.33% |
| Expected Shortfall (cVaR) | -1.81% | -1.86% |
| Max Consecutive Wins | 6 | 7 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.4 | 0.36 |
| Gain/Pain (1M) | 3.63 | 4.13 |
| Payoff Ratio | 1.1 | 1.0 |
| Profit Factor | 1.4 | 1.36 |
| Common Sense Ratio | 1.86 | 1.79 |
| CPC Index | 0.84 | 0.75 |
| Tail Ratio | 1.33 | 1.32 |
| Outlier Win Ratio | 3.55 | 2.76 |
| Outlier Loss Ratio | 2.99 | 2.82 |
| MTD | -2.79% | -2.51% |
| 3M | 5.08% | 3.8% |
| 6M | 14.26% | 13.62% |
| YTD | 14.26% | 13.62% |
| 1Y | 14.26% | 13.62% |
| 3Y (ann.) | 30.82% | 29.35% |
| 5Y (ann.) | 30.82% | 29.35% |
| 10Y (ann.) | 30.82% | 29.35% |
| All-time (ann.) | 30.82% | 29.35% |
| Best Day | 2.65% | 2.77% |
| Worst Day | -2.53% | -2.2% |
| Best Month | 6.21% | 6.62% |
| Worst Month | -2.79% | -2.51% |
| Best Year | 14.26% | 13.62% |
| Worst Year | 14.26% | 13.62% |
| Avg. Drawdown | -2.0% | -1.84% |
| Avg. Drawdown Days | 12 | 12 |
| Recovery Factor | 2.99 | 2.15 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.89 | 1.12 |
| Avg. Up Month | 5.37% | 5.2% |
| Avg. Down Month | -2.79% | -2.51% |
| Win Days | 54.84% | 55.65% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.78 |
| Alpha | - | 0.05 |
| Correlation | - | 76.86% |
| Treynor Ratio | - | 17.48% |
| Year | XLF | GATRX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 14.26 | 13.62 | 0.96 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-14 | 2026-09-21 | -6.16 | 39 |
| 2026-04-21 | 2026-06-10 | -3.45 | 51 |
| 2026-07-07 | 2026-07-14 | -2.89 | 8 |
| 2026-07-17 | 2026-07-27 | -2.69 | 11 |
| 2026-03-26 | 2026-04-07 | -2.55 | 13 |
| 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 |
| 2026-04-10 | 2026-04-10 | -0.49 | 1 |
| 2026-03-24 | 2026-03-24 | -0.43 | 1 |