| Metric | SPY | GTAPX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 18.6% | 6.81% |
| CAGR﹪ | 40.67% | 14.08% |
| Sharpe | 2.32 | 1.36 |
| Prob. Sharpe Ratio | 95.04% | 83.25% |
| Smart Sharpe | 2.3 | 1.21 |
| Sortino | 3.78 | 2.14 |
| Smart Sortino | 3.75 | 1.9 |
| Sortino/√2 | 2.67 | 1.51 |
| Smart Sortino/√2 | 2.65 | 1.35 |
| Omega | 1.54 | 1.34 |
| Max Drawdown | -4.49% | -2.36% |
| Max DD Date | 2026-06-10 | 2026-07-01 |
| Max DD Period Start | 2026-06-03 | 2026-06-04 |
| Max DD Period End | 2026-07-31 | 2026-07-15 |
| Longest DD Days | 59 | 42 |
| Volatility (ann.) | 13.55% | 7.25% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | 9.05 | 5.96 |
| Skew | 0.1 | 0.15 |
| Kurtosis | 1.12 | -0.19 |
| Ulcer Performance Index | 11.86 | 7.32 |
| Risk-Adjusted Return | 40.67% | 15.14% |
| Risk-Return Ratio | 0.16 | 0.12 |
| Avg. Return | 0.12% | 0.06% |
| Avg. Win | 0.78% | 0.41% |
| Avg. Loss | -0.63% | -0.39% |
| Win/Loss Ratio | 1.23 | 1.04 |
| Profit Ratio | 1.12 | 0.92 |
| Expected Daily | 0.14% | 0.05% |
| Expected Monthly | 2.47% | 0.95% |
| Expected Yearly | 18.6% | 6.81% |
| Kelly Criterion | 16.44% | 4.43% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.7% |
| Expected Shortfall (cVaR) | -1.77% | -0.81% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.54 | 0.34 |
| Gain/Pain (1M) | 10.92 | 2.93 |
| Payoff Ratio | 1.23 | 1.04 |
| Profit Factor | 1.54 | 1.34 |
| Common Sense Ratio | 2.01 | 1.48 |
| CPC Index | 1.02 | 0.72 |
| Tail Ratio | 1.3 | 1.1 |
| Outlier Win Ratio | 3.21 | 3.08 |
| Outlier Loss Ratio | 3.16 | 2.35 |
| MTD | 1.08% | -0.99% |
| 3M | 3.82% | 5.54% |
| 6M | 18.6% | 6.81% |
| YTD | 18.6% | 6.81% |
| 1Y | 18.6% | 6.81% |
| 3Y (ann.) | 40.67% | 14.08% |
| 5Y (ann.) | 40.67% | 14.08% |
| 10Y (ann.) | 40.67% | 14.08% |
| All-time (ann.) | 40.67% | 14.08% |
| Best Day | 2.91% | 1.3% |
| Worst Day | -2.58% | -1.12% |
| Best Month | 10.51% | 5.78% |
| Worst Month | -1.03% | -1.11% |
| Best Year | 18.6% | 6.81% |
| Worst Year | 18.6% | 6.81% |
| Avg. Drawdown | -1.13% | -1.04% |
| Avg. Drawdown Days | 9 | 12 |
| Recovery Factor | 3.9 | 2.84 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 2.75 | 1.66 |
| Avg. Up Month | 4.62% | 2.28% |
| Avg. Down Month | -0.9% | -0.67% |
| Win Days | 53.97% | 51.28% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.07 |
| Alpha | - | 0.11 |
| Correlation | - | 12.63% |
| Treynor Ratio | - | 100.7% |
| Year | SPY | GTAPX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 6.81 | 0.37 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-04 | 2026-07-15 | -2.36 | 42 |
| 2026-04-30 | 2026-05-22 | -1.92 | 23 |
| 2026-08-03 | 2026-08-18 | -1.64 | 16 |
| 2026-09-16 | 2026-09-22 | -1.61 | 7 |
| 2026-03-25 | 2026-04-07 | -1.27 | 14 |
| 2026-08-31 | 2026-09-14 | -1.19 | 15 |
| 2026-08-20 | 2026-08-25 | -0.78 | 6 |
| 2026-05-27 | 2026-06-02 | -0.74 | 7 |
| 2026-07-17 | 2026-07-24 | -0.73 | 8 |
| 2026-04-23 | 2026-04-28 | -0.67 | 6 |