| Metric | SPY | GTAPX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 204.57% | 82.21% |
| CAGR﹪ | 16.27% | 8.46% |
| Sharpe | 0.72 | 0.52 |
| Prob. Sharpe Ratio | 97.44% | 91.92% |
| Smart Sharpe | 0.63 | 0.43 |
| Sortino | 1.02 | 0.73 |
| Smart Sortino | 0.88 | 0.6 |
| Sortino/√2 | 0.72 | 0.52 |
| Smart Sortino/√2 | 0.62 | 0.42 |
| Omega | 1.18 | 1.19 |
| Max Drawdown | -33.72% | -23.78% |
| Max DD Date | 2020-03-23 | 2020-03-18 |
| Max DD Period Start | 2020-02-20 | 2019-12-23 |
| Max DD Period End | 2020-08-07 | 2021-03-11 |
| Longest DD Days | 708 | 445 |
| Volatility (ann.) | 19.47% | 11.22% |
| R^2 | 0.31 | 0.31 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.48 | 0.36 |
| Skew | -0.29 | -0.68 |
| Kurtosis | 13.91 | 56.6 |
| Ulcer Performance Index | 25.83 | 16.27 |
| Risk-Adjusted Return | 16.27% | 9.1% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.93% | 0.48% |
| Avg. Loss | -1.04% | -0.52% |
| Win/Loss Ratio | 0.89 | 0.93 |
| Profit Ratio | 0.77 | 0.61 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.25% | 0.67% |
| Expected Yearly | 14.94% | 7.79% |
| Kelly Criterion | 4.76% | 6.03% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.13% |
| Expected Shortfall (cVaR) | -3.2% | -2.2% |
| Max Consecutive Wins | 11 | 7 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.19 |
| Gain/Pain (1M) | 1.15 | 1.49 |
| Payoff Ratio | 0.89 | 0.93 |
| Profit Factor | 1.18 | 1.19 |
| Common Sense Ratio | 1.13 | 1.27 |
| CPC Index | 0.58 | 0.6 |
| Tail Ratio | 0.96 | 1.07 |
| Outlier Win Ratio | 3.69 | 4.0 |
| Outlier Loss Ratio | 4.1 | 3.48 |
| 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.) | 16.27% | 8.46% |
| All-time (ann.) | 16.27% | 8.46% |
| Best Day | 10.5% | 8.94% |
| Worst Day | -10.94% | -9.39% |
| Best Month | 12.7% | 5.78% |
| Worst Month | -12.49% | -9.2% |
| Best Year | 28.73% | 17.72% |
| Worst Year | -18.18% | -5.16% |
| Avg. Drawdown | -1.8% | -1.51% |
| Avg. Drawdown Days | 16 | 27 |
| Recovery Factor | 3.72 | 2.72 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 1.03 | 0.72 |
| Avg. Up Month | 3.97% | 1.91% |
| Avg. Down Month | -4.3% | -1.86% |
| Win Days | 55.22% | 54.77% |
| Win Month | 65.56% | 67.78% |
| Win Quarter | 77.42% | 83.87% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.32 |
| Alpha | - | 0.03 |
| Correlation | - | 55.36% |
| Treynor Ratio | - | 257.78% |
| Year | SPY | GTAPX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 3.39 | 0.21 | - |
| 2020 | 18.33 | -5.16 | -0.28 | - |
| 2021 | 28.73 | 17.72 | 0.62 | - |
| 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 |
|---|---|---|---|
| 2019-12-23 | 2021-03-11 | -23.78 | 445 |
| 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 |
| 2019-07-31 | 2019-11-14 | -5.10 | 107 |
| 2021-06-09 | 2021-08-13 | -3.75 | 66 |
| 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 |