| Metric | SPY | GPAAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 74.99% | 9.24% |
| CAGR﹪ | 11.91% | 1.79% |
| Sharpe | 0.52 | -0.24 |
| Prob. Sharpe Ratio | 87.6% | 28.87% |
| Smart Sharpe | 0.5 | -0.23 |
| Sortino | 0.74 | -0.29 |
| Smart Sortino | 0.72 | -0.28 |
| Sortino/√2 | 0.53 | -0.21 |
| Smart Sortino/√2 | 0.51 | -0.2 |
| Omega | 1.14 | 1.06 |
| Max Drawdown | -24.5% | -14.64% |
| Max DD Date | 2022-10-12 | 2023-10-30 |
| Max DD Period Start | 2022-01-04 | 2021-11-17 |
| Max DD Period End | 2023-12-12 | 2025-09-29 |
| Longest DD Days | 708 | 1413 |
| Volatility (ann.) | 17.19% | 7.48% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.12 |
| Skew | 0.33 | -5.24 |
| Kurtosis | 8.98 | 91.94 |
| Ulcer Performance Index | 8.86 | 1.06 |
| Risk-Adjusted Return | 11.91% | 1.99% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.05% | 0.01% |
| Avg. Win | 0.8% | 0.35% |
| Avg. Loss | -0.88% | -0.38% |
| Win/Loss Ratio | 0.91 | 0.92 |
| Profit Ratio | 0.86 | 0.51 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.92% | 0.15% |
| Expected Yearly | 9.77% | 1.48% |
| Kelly Criterion | 2.23% | 3.92% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.77% |
| Expected Shortfall (cVaR) | -2.58% | -1.24% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.06 |
| Gain/Pain (1M) | 0.79 | 0.25 |
| Payoff Ratio | 0.91 | 0.92 |
| Profit Factor | 1.14 | 1.06 |
| Common Sense Ratio | 1.15 | 0.96 |
| CPC Index | 0.55 | 0.52 |
| Tail Ratio | 1.0 | 0.91 |
| Outlier Win Ratio | 3.4 | 3.87 |
| Outlier Loss Ratio | 3.8 | 2.93 |
| MTD | 1.47% | -1.09% |
| 3M | 1.46% | 1.81% |
| 6M | 6.94% | 0.25% |
| YTD | 13.33% | 5.16% |
| 1Y | 13.43% | 6.32% |
| 3Y (ann.) | 20.78% | 7.42% |
| 5Y (ann.) | 12.86% | 2.0% |
| 10Y (ann.) | 11.91% | 1.79% |
| All-time (ann.) | 11.91% | 1.79% |
| 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% | -9.52% |
| Avg. Drawdown | -1.94% | -2.71% |
| Avg. Drawdown Days | 21 | 126 |
| Recovery Factor | 2.58 | 0.7 |
| Ulcer Index | 0.08 | 0.09 |
| Serenity Index | 0.43 | 0.04 |
| Avg. Up Month | 4.22% | 1.71% |
| Avg. Down Month | -4.11% | -1.47% |
| Win Days | 53.48% | 53.98% |
| Win Month | 62.3% | 52.46% |
| Win Quarter | 71.43% | 57.14% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.11 |
| Alpha | - | 0.01 |
| Correlation | - | 26.41% |
| Treynor Ratio | - | 80.41% |
| Year | SPY | GPAAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -9.52 | -5.51 | - |
| 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 | 13.33 | 5.16 | 0.39 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-17 | 2025-09-29 | -14.64 | 1413 |
| 2026-03-02 | 2026-09-08 | -6.09 | 191 |
| 2026-09-25 | 2026-11-04 | -3.66 | 41 |
| 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 |