| Metric | SPY | GTAPX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 74.76% | 65.52% |
| CAGR﹪ | 11.92% | 10.7% |
| Sharpe | 0.52 | 0.65 |
| Prob. Sharpe Ratio | 87.58% | 91.99% |
| Smart Sharpe | 0.5 | 0.47 |
| Sortino | 0.74 | 0.93 |
| Smart Sortino | 0.72 | 0.68 |
| Sortino/√2 | 0.53 | 0.66 |
| Smart Sortino/√2 | 0.51 | 0.48 |
| Omega | 1.14 | 1.26 |
| Max Drawdown | -24.5% | -12.21% |
| Max DD Date | 2022-10-12 | 2025-04-08 |
| Max DD Period Start | 2022-01-04 | 2024-12-17 |
| Max DD Period End | 2023-12-12 | 2025-10-27 |
| Longest DD Days | 708 | 315 |
| Volatility (ann.) | 17.21% | 10.62% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.49 | 0.88 |
| Skew | 0.33 | -0.33 |
| Kurtosis | 8.95 | 93.66 |
| Ulcer Performance Index | 8.82 | 17.43 |
| Risk-Adjusted Return | 11.92% | 11.51% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.04% | 0.05% |
| Avg. Win | 0.88% | 0.43% |
| Avg. Loss | -0.97% | -0.43% |
| Win/Loss Ratio | 0.91 | 0.99 |
| Profit Ratio | 0.85 | 0.6 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.92% | 0.83% |
| Expected Yearly | 9.75% | 8.76% |
| Kelly Criterion | 2.28% | 10.89% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.06% |
| Expected Shortfall (cVaR) | -2.58% | -2.46% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.26 |
| Gain/Pain (1M) | 0.79 | 2.86 |
| Payoff Ratio | 0.91 | 0.99 |
| Profit Factor | 1.14 | 1.26 |
| Common Sense Ratio | 1.15 | 1.4 |
| CPC Index | 0.55 | 0.7 |
| Tail Ratio | 1.01 | 1.11 |
| Outlier Win Ratio | 3.4 | 3.34 |
| Outlier Loss Ratio | 3.78 | 2.94 |
| MTD | 1.47% | 0.41% |
| 3M | 1.46% | 6.3% |
| 6M | 6.94% | 10.81% |
| YTD | 13.33% | 16.05% |
| 1Y | 13.84% | 19.85% |
| 3Y (ann.) | 20.85% | 14.17% |
| 5Y (ann.) | 12.87% | 10.55% |
| 10Y (ann.) | 11.92% | 10.7% |
| All-time (ann.) | 11.92% | 10.7% |
| Best Day | 10.5% | 8.94% |
| Worst Day | -5.85% | -9.39% |
| Best Month | 10.51% | 5.78% |
| Worst Month | -9.24% | -4.8% |
| Best Year | 26.18% | 16.05% |
| Worst Year | -18.18% | 3.16% |
| Avg. Drawdown | -1.96% | -1.27% |
| Avg. Drawdown Days | 21 | 23 |
| Recovery Factor | 2.58 | 4.36 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.43 | 1.06 |
| Avg. Up Month | 3.75% | 1.98% |
| Avg. Down Month | -4.09% | -1.12% |
| Win Days | 53.57% | 55.64% |
| Win Month | 62.3% | 67.21% |
| Win Quarter | 71.43% | 85.71% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.22 |
| Alpha | - | 0.08 |
| Correlation | - | 36.45% |
| Treynor Ratio | - | 291.27% |
| Year | SPY | GTAPX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 4.85 | 2.80 | + |
| 2022 | -18.18 | 3.16 | -0.17 | + |
| 2023 | 26.18 | 3.70 | 0.14 | - |
| 2024 | 24.89 | 11.76 | 0.47 | - |
| 2025 | 17.57 | 13.79 | 0.78 | - |
| 2026 | 13.33 | 16.05 | 1.20 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-12-17 | 2025-10-27 | -12.21 | 315 |
| 2023-12-18 | 2024-07-25 | -8.25 | 221 |
| 2022-06-08 | 2023-02-28 | -7.91 | 266 |
| 2023-03-03 | 2023-06-12 | -3.57 | 102 |
| 2023-10-12 | 2023-12-14 | -3.07 | 64 |
| 2024-07-30 | 2024-08-28 | -3.03 | 30 |
| 2022-02-10 | 2022-05-03 | -3.01 | 83 |
| 2026-02-03 | 2026-03-23 | -3.01 | 49 |
| 2026-06-04 | 2026-07-15 | -2.36 | 42 |
| 2024-09-03 | 2024-09-20 | -2.25 | 18 |