| Metric | SPY | GTAPX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 18.3% | 15.31% |
| CAGR﹪ | 18.62% | 15.58% |
| Sharpe | 1.07 | 1.5 |
| Prob. Sharpe Ratio | 85.46% | 93.15% |
| Smart Sharpe | 1.04 | 1.37 |
| Sortino | 1.56 | 2.33 |
| Smart Sortino | 1.52 | 2.14 |
| Sortino/√2 | 1.1 | 1.65 |
| Smart Sortino/√2 | 1.07 | 1.51 |
| Omega | 1.26 | 1.38 |
| Max Drawdown | -8.88% | -3.01% |
| Max DD Date | 2026-03-30 | 2026-02-12 |
| Max DD Period Start | 2026-01-28 | 2026-02-03 |
| Max DD Period End | 2026-04-13 | 2026-03-23 |
| Longest DD Days | 76 | 49 |
| Volatility (ann.) | 13.04% | 7.22% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 2.1 | 5.18 |
| Skew | -0.16 | 0.06 |
| Kurtosis | 1.03 | -0.14 |
| Ulcer Performance Index | 8.48 | 15.38 |
| Risk-Adjusted Return | 18.62% | 16.4% |
| Risk-Return Ratio | 0.09 | 0.13 |
| Avg. Return | 0.06% | 0.06% |
| Avg. Win | 0.7% | 0.44% |
| Avg. Loss | -0.67% | -0.41% |
| Win/Loss Ratio | 1.04 | 1.07 |
| Profit Ratio | 0.91 | 0.8 |
| Expected Daily | 0.07% | 0.06% |
| Expected Monthly | 1.3% | 1.1% |
| Expected Yearly | 8.77% | 7.38% |
| Kelly Criterion | 9.86% | 11.41% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.69% |
| Expected Shortfall (cVaR) | -1.72% | -0.87% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.26 | 0.38 |
| Gain/Pain (1M) | 2.66 | 6.99 |
| Payoff Ratio | 1.04 | 1.07 |
| Profit Factor | 1.26 | 1.38 |
| Common Sense Ratio | 1.25 | 1.55 |
| CPC Index | 0.71 | 0.8 |
| Tail Ratio | 0.99 | 1.12 |
| Outlier Win Ratio | 2.88 | 3.0 |
| Outlier Loss Ratio | 3.16 | 2.71 |
| MTD | 1.08% | -0.99% |
| 3M | 3.82% | 5.54% |
| 6M | 19.85% | 7.62% |
| YTD | 14.3% | 9.96% |
| 1Y | 18.3% | 15.31% |
| 3Y (ann.) | 18.62% | 15.58% |
| 5Y (ann.) | 18.62% | 15.58% |
| 10Y (ann.) | 18.62% | 15.58% |
| All-time (ann.) | 18.62% | 15.58% |
| Best Day | 2.91% | 1.3% |
| Worst Day | -2.7% | -1.2% |
| Best Month | 10.51% | 5.78% |
| Worst Month | -4.94% | -1.11% |
| Best Year | 14.3% | 9.96% |
| Worst Year | 3.5% | 4.87% |
| Avg. Drawdown | -1.69% | -1.05% |
| Avg. Drawdown Days | 13 | 12 |
| Recovery Factor | 1.99 | 4.83 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.19 | 3.07 |
| Avg. Up Month | 2.6% | 1.79% |
| Avg. Down Month | -1.03% | -1.11% |
| Win Days | 54.03% | 54.27% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.17 |
| Alpha | - | 0.12 |
| Correlation | - | 30.04% |
| Treynor Ratio | - | 92.04% |
| Year | SPY | GTAPX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.50 | 4.87 | 1.39 | + |
| 2026 | 14.30 | 9.96 | 0.70 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-03 | 2026-03-23 | -3.01 | 49 |
| 2026-06-04 | 2026-07-15 | -2.36 | 42 |
| 2025-11-13 | 2025-12-09 | -1.97 | 27 |
| 2026-04-30 | 2026-05-22 | -1.92 | 23 |
| 2026-08-03 | 2026-08-18 | -1.64 | 16 |
| 2025-09-29 | 2025-10-17 | -1.61 | 19 |
| 2026-09-16 | 2026-09-22 | -1.61 | 7 |
| 2026-01-08 | 2026-01-23 | -1.30 | 16 |
| 2026-03-25 | 2026-04-07 | -1.27 | 14 |
| 2026-08-31 | 2026-09-14 | -1.19 | 15 |