| Metric | XLF | GATRX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 153.11% | 232.07% |
| CAGR﹪ | 13.36% | 17.6% |
| Sharpe | 0.53 | 0.7 |
| Prob. Sharpe Ratio | 92.31% | 97.05% |
| Smart Sharpe | 0.46 | 0.66 |
| Sortino | 0.75 | 1.0 |
| Smart Sortino | 0.66 | 0.94 |
| Sortino/√2 | 0.53 | 0.71 |
| Smart Sortino/√2 | 0.47 | 0.67 |
| Omega | 1.13 | 1.18 |
| Max Drawdown | -42.86% | -47.46% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-18 | 2019-12-18 |
| Max DD Period End | 2021-01-05 | 2020-11-13 |
| Longest DD Days | 770 | 547 |
| Volatility (ann.) | 23.7% | 22.59% |
| R^2 | 0.81 | 0.81 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.31 | 0.37 |
| Skew | -0.2 | -0.51 |
| Kurtosis | 15.23 | 14.59 |
| Ulcer Performance Index | 13.17 | 23.63 |
| Risk-Adjusted Return | 13.36% | 17.77% |
| Risk-Return Ratio | 0.04 | 0.05 |
| Avg. Return | 0.06% | 0.08% |
| Avg. Win | 1.12% | 1.07% |
| Avg. Loss | -1.15% | -1.07% |
| Win/Loss Ratio | 0.97 | 1.0 |
| Profit Ratio | 0.85 | 0.81 |
| Expected Daily | 0.05% | 0.06% |
| Expected Monthly | 1.04% | 1.34% |
| Expected Yearly | 12.31% | 16.19% |
| Kelly Criterion | 5.17% | 7.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.39% | -2.27% |
| Expected Shortfall (cVaR) | -3.83% | -3.88% |
| Max Consecutive Wins | 9 | 9 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.13 | 0.18 |
| Gain/Pain (1M) | 0.75 | 1.06 |
| Payoff Ratio | 0.97 | 1.0 |
| Profit Factor | 1.13 | 1.18 |
| Common Sense Ratio | 1.08 | 1.14 |
| CPC Index | 0.59 | 0.63 |
| Tail Ratio | 0.96 | 0.97 |
| Outlier Win Ratio | 3.98 | 4.34 |
| Outlier Loss Ratio | 3.75 | 4.27 |
| 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.) | 13.36% | 17.6% |
| All-time (ann.) | 13.36% | 17.6% |
| Best Day | 13.16% | 10.36% |
| Worst Day | -13.71% | -13.34% |
| Best Month | 16.85% | 16.81% |
| Worst Month | -21.03% | -25.37% |
| Best Year | 34.8% | 35.58% |
| Worst Year | -10.59% | -7.18% |
| Avg. Drawdown | -3.17% | -2.71% |
| Avg. Drawdown Days | 29 | 23 |
| Recovery Factor | 2.65 | 2.93 |
| Ulcer Index | 0.12 | 0.1 |
| Serenity Index | 0.56 | 0.73 |
| Avg. Up Month | 5.33% | 5.03% |
| Avg. Down Month | -5.22% | -4.78% |
| Win Days | 53.21% | 53.92% |
| Win Month | 57.78% | 65.56% |
| Win Quarter | 70.97% | 74.19% |
| Win Year | 75.0% | 87.5% |
| Beta | - | 0.86 |
| Alpha | - | 0.06 |
| Correlation | - | 89.8% |
| Treynor Ratio | - | 271.04% |
| Year | XLF | GATRX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.23 | 8.05 | 0.50 | - |
| 2020 | -1.74 | 11.06 | -6.37 | + |
| 2021 | 34.80 | 27.17 | 0.78 | - |
| 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 |
|---|---|---|---|
| 2019-12-18 | 2020-11-13 | -47.46 | 332 |
| 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 |
| 2019-07-25 | 2019-09-10 | -9.64 | 48 |
| 2019-09-17 | 2019-11-22 | -8.96 | 67 |
| 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 |