| Metric | SPY | GPAAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 89.0% |
| Cumulative Return | 204.97% | 34.36% |
| CAGR﹪ | 16.25% | 4.07% |
| Sharpe | 0.72 | 0.19 |
| Prob. Sharpe Ratio | 97.45% | 69.68% |
| Smart Sharpe | 0.63 | 0.18 |
| Sortino | 1.02 | 0.24 |
| Smart Sortino | 0.88 | 0.23 |
| Sortino/√2 | 0.72 | 0.17 |
| Smart Sortino/√2 | 0.62 | 0.16 |
| Omega | 1.18 | 1.12 |
| Max Drawdown | -33.72% | -14.85% |
| Max DD Date | 2020-03-23 | 2023-10-30 |
| Max DD Period Start | 2020-02-20 | 2021-11-02 |
| Max DD Period End | 2020-08-07 | 2025-09-30 |
| Longest DD Days | 708 | 1429 |
| Volatility (ann.) | 19.45% | 7.01% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.48 | 0.27 |
| Skew | -0.29 | -4.42 |
| Kurtosis | 13.94 | 80.59 |
| Ulcer Performance Index | 25.91 | 4.65 |
| Risk-Adjusted Return | 16.25% | 4.57% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.84% | 0.34% |
| Avg. Loss | -0.96% | -0.38% |
| Win/Loss Ratio | 0.87 | 0.88 |
| Profit Ratio | 0.78 | 0.48 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.33% |
| Expected Yearly | 14.96% | 3.76% |
| Kelly Criterion | 3.83% | 5.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.71% |
| Expected Shortfall (cVaR) | -3.2% | -1.08% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.12 |
| Gain/Pain (1M) | 1.15 | 0.61 |
| Payoff Ratio | 0.87 | 0.88 |
| Profit Factor | 1.18 | 1.12 |
| Common Sense Ratio | 1.13 | 1.0 |
| CPC Index | 0.57 | 0.55 |
| Tail Ratio | 0.96 | 0.89 |
| Outlier Win Ratio | 3.69 | 3.58 |
| Outlier Loss Ratio | 4.12 | 2.99 |
| 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.) | 16.25% | 4.07% |
| All-time (ann.) | 16.25% | 4.07% |
| Best Day | 10.5% | 1.8% |
| Worst Day | -10.94% | -8.66% |
| Best Month | 12.7% | 4.89% |
| Worst Month | -12.49% | -8.61% |
| Best Year | 28.73% | 12.03% |
| Worst Year | -18.18% | -3.58% |
| Avg. Drawdown | -1.79% | -1.77% |
| Avg. Drawdown Days | 16 | 62 |
| Recovery Factor | 3.72 | 2.11 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 1.03 | 0.13 |
| Avg. Up Month | 4.58% | 1.77% |
| Avg. Down Month | -3.58% | -1.39% |
| Win Days | 55.15% | 55.58% |
| Win Month | 65.56% | 56.18% |
| Win Quarter | 77.42% | 67.74% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.1 |
| Alpha | - | 0.02 |
| Correlation | - | 28.53% |
| Treynor Ratio | - | 334.1% |
| Year | SPY | GPAAX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 6.02 | 0.37 | - |
| 2020 | 18.33 | 8.86 | 0.48 | - |
| 2021 | 28.73 | -3.58 | -0.12 | - |
| 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 |
|---|---|---|---|
| 2021-11-02 | 2025-09-30 | -14.85 | 1429 |
| 2026-03-02 | 2026-09-08 | -6.09 | 191 |
| 2019-09-04 | 2020-02-19 | -4.74 | 169 |
| 2020-03-10 | 2020-07-17 | -4.48 | 130 |
| 2021-02-25 | 2021-05-05 | -4.13 | 70 |
| 2021-05-10 | 2021-10-14 | -3.85 | 158 |
| 2026-09-25 | 2026-11-04 | -3.66 | 41 |
| 2020-08-07 | 2020-12-03 | -3.41 | 119 |
| 2025-10-21 | 2025-12-24 | -3.32 | 65 |
| 2026-01-30 | 2026-02-24 | -2.90 | 26 |