| Metric | SPY | GPAAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 86.58% | 16.24% |
| CAGR﹪ | 13.36% | 3.07% |
| Sharpe | 0.59 | -0.06 |
| Prob. Sharpe Ratio | 90.85% | 44.23% |
| Smart Sharpe | 0.58 | -0.06 |
| Sortino | 0.86 | -0.08 |
| Smart Sortino | 0.83 | -0.08 |
| Sortino/√2 | 0.61 | -0.06 |
| Smart Sortino/√2 | 0.59 | -0.05 |
| Omega | 1.16 | 1.09 |
| Max Drawdown | -24.5% | -14.85% |
| Max DD Date | 2022-10-12 | 2023-10-30 |
| Max DD Period Start | 2022-01-04 | 2021-11-02 |
| Max DD Period End | 2023-12-12 | 2025-09-30 |
| Longest DD Days | 708 | 1429 |
| Volatility (ann.) | 17.2% | 7.5% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 0.21 |
| Skew | 0.32 | -5.21 |
| Kurtosis | 8.95 | 91.09 |
| Ulcer Performance Index | 10.24 | 1.83 |
| Risk-Adjusted Return | 13.36% | 3.41% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.06% | 0.01% |
| Avg. Win | 0.8% | 0.35% |
| Avg. Loss | -0.89% | -0.38% |
| Win/Loss Ratio | 0.9 | 0.93 |
| Profit Ratio | 0.83 | 0.51 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.03% | 0.25% |
| Expected Yearly | 10.95% | 2.54% |
| Kelly Criterion | 2.87% | 5.66% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.76% |
| Expected Shortfall (cVaR) | -2.58% | -1.22% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.16 | 0.09 |
| Gain/Pain (1M) | 0.87 | 0.42 |
| Payoff Ratio | 0.9 | 0.93 |
| Profit Factor | 1.16 | 1.09 |
| Common Sense Ratio | 1.17 | 1.0 |
| CPC Index | 0.56 | 0.55 |
| Tail Ratio | 1.01 | 0.92 |
| Outlier Win Ratio | 3.41 | 3.83 |
| Outlier Loss Ratio | 3.77 | 2.93 |
| MTD | 1.08% | 1.92% |
| 3M | 3.82% | 3.39% |
| 6M | 19.85% | 6.18% |
| YTD | 14.3% | 8.44% |
| 1Y | 17.78% | 11.98% |
| 3Y (ann.) | 24.86% | 9.29% |
| 5Y (ann.) | 13.06% | 2.48% |
| 10Y (ann.) | 13.36% | 3.07% |
| All-time (ann.) | 13.36% | 3.07% |
| Best Day | 10.5% | 1.8% |
| Worst Day | -5.85% | -8.66% |
| Best Month | 10.51% | 4.89% |
| Worst Month | -9.24% | -8.61% |
| Best Year | 26.18% | 12.03% |
| Worst Year | -18.18% | -6.64% |
| Avg. Drawdown | -1.89% | -2.1% |
| Avg. Drawdown Days | 20 | 103 |
| Recovery Factor | 2.85 | 1.11 |
| Ulcer Index | 0.08 | 0.09 |
| Serenity Index | 0.47 | 0.06 |
| Avg. Up Month | 4.2% | 1.8% |
| Avg. Down Month | -4.18% | -1.54% |
| Win Days | 54.04% | 54.52% |
| Win Month | 63.93% | 55.74% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.11 |
| Alpha | - | 0.02 |
| Correlation | - | 26.18% |
| Treynor Ratio | - | 142.25% |
| Year | SPY | GPAAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -6.64 | -0.88 | - |
| 2022 | -18.18 | -2.24 | 0.12 | + |
| 2023 | 26.18 | 3.83 | 0.15 | - |
| 2024 | 24.89 | 0.97 | 0.04 | - |
| 2025 | 17.72 | 12.03 | 0.68 | - |
| 2026 | 14.30 | 8.44 | 0.59 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-02 | 2025-09-30 | -14.85 | 1429 |
| 2026-03-02 | 2026-09-08 | -6.09 | 191 |
| 2025-10-21 | 2025-12-24 | -3.32 | 65 |
| 2026-01-30 | 2026-02-24 | -2.90 | 26 |
| 2026-01-07 | 2026-01-09 | -1.47 | 3 |
| 2025-10-09 | 2025-10-14 | -1.46 | 6 |
| 2025-12-29 | 2026-01-02 | -1.14 | 5 |
| 2026-01-16 | 2026-01-21 | -1.03 | 6 |
| 2025-10-17 | 2025-10-17 | -1.02 | 1 |
| 2021-09-28 | 2021-10-04 | -0.51 | 7 |