| Metric | SPY | GTAPX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 14.81% | 18.45% |
| CAGR﹪ | 15.07% | 18.77% |
| Sharpe | 0.87 | 1.95 |
| Prob. Sharpe Ratio | 80.5% | 97.42% |
| Smart Sharpe | 0.86 | 1.8 |
| Sortino | 1.27 | 3.12 |
| Smart Sortino | 1.26 | 2.88 |
| Sortino/√2 | 0.9 | 2.21 |
| Smart Sortino/√2 | 0.89 | 2.04 |
| Omega | 1.21 | 1.49 |
| 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.) | 12.91% | 7.07% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 1.7 | 6.25 |
| Skew | -0.03 | 0.05 |
| Kurtosis | 0.75 | -0.11 |
| Ulcer Performance Index | 6.86 | 18.71 |
| Risk-Adjusted Return | 15.07% | 19.97% |
| Risk-Return Ratio | 0.07 | 0.16 |
| Avg. Return | 0.05% | 0.07% |
| Avg. Win | 0.7% | 0.43% |
| Avg. Loss | -0.64% | -0.38% |
| Win/Loss Ratio | 1.1 | 1.13 |
| Profit Ratio | 0.99 | 0.8 |
| Expected Daily | 0.06% | 0.07% |
| Expected Monthly | 1.07% | 1.31% |
| Expected Yearly | 7.15% | 8.83% |
| Kelly Criterion | 9.1% | 14.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.66% |
| Expected Shortfall (cVaR) | -1.66% | -0.79% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.21 | 0.49 |
| Gain/Pain (1M) | 1.88 | 15.6 |
| Payoff Ratio | 1.1 | 1.13 |
| Profit Factor | 1.21 | 1.49 |
| Common Sense Ratio | 1.2 | 1.65 |
| CPC Index | 0.7 | 0.92 |
| Tail Ratio | 0.99 | 1.11 |
| Outlier Win Ratio | 2.84 | 3.03 |
| Outlier Loss Ratio | 2.98 | 2.47 |
| MTD | 1.47% | 0.41% |
| 3M | 1.46% | 6.3% |
| 6M | 6.94% | 10.81% |
| YTD | 13.33% | 16.05% |
| 1Y | 14.81% | 18.45% |
| 3Y (ann.) | 15.07% | 18.77% |
| 5Y (ann.) | 15.07% | 18.77% |
| 10Y (ann.) | 15.07% | 18.77% |
| All-time (ann.) | 15.07% | 18.77% |
| Best Day | 2.91% | 1.3% |
| Worst Day | -2.58% | -1.2% |
| Best Month | 10.51% | 5.78% |
| Worst Month | -4.94% | -1.11% |
| Best Year | 13.33% | 16.05% |
| Worst Year | 1.31% | 2.07% |
| Avg. Drawdown | -1.72% | -0.91% |
| Avg. Drawdown Days | 13 | 11 |
| Recovery Factor | 1.65 | 5.72 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.96 | 3.65 |
| Avg. Up Month | 2.84% | 1.72% |
| Avg. Down Month | -1.03% | -1.11% |
| Win Days | 52.42% | 54.74% |
| Win Month | 61.54% | 92.31% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.11 |
| Alpha | - | 0.16 |
| Correlation | - | 20.58% |
| Treynor Ratio | - | 163.7% |
| Year | SPY | GTAPX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.31 | 2.07 | 1.58 | + |
| 2026 | 13.33 | 16.05 | 1.20 | + |
| 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 |
| 2026-09-16 | 2026-09-30 | -1.61 | 15 |
| 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 |
| 2026-10-23 | 2026-10-29 | -0.95 | 7 |