| Metric | SPY | GTAPX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 207.18% | 72.65% |
| CAGR﹪ | 16.7% | 7.81% |
| Sharpe | 0.74 | 0.47 |
| Prob. Sharpe Ratio | 97.59% | 89.29% |
| Smart Sharpe | 0.64 | 0.38 |
| Sortino | 1.04 | 0.65 |
| Smart Sortino | 0.9 | 0.53 |
| Sortino/√2 | 0.74 | 0.46 |
| Smart Sortino/√2 | 0.64 | 0.38 |
| Omega | 1.19 | 1.17 |
| 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 | 2021-03-12 |
| Longest DD Days | 708 | 446 |
| Volatility (ann.) | 19.58% | 11.28% |
| R^2 | 0.31 | 0.31 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.5 | 0.33 |
| Skew | -0.29 | -0.67 |
| Kurtosis | 13.81 | 56.17 |
| Ulcer Performance Index | 25.95 | 14.25 |
| Risk-Adjusted Return | 16.7% | 8.39% |
| Risk-Return Ratio | 0.06 | 0.05 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.93% | 0.48% |
| Avg. Loss | -1.05% | -0.52% |
| Win/Loss Ratio | 0.89 | 0.93 |
| Profit Ratio | 0.77 | 0.61 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.28% | 0.62% |
| Expected Yearly | 15.06% | 7.06% |
| Kelly Criterion | 5.04% | 5.43% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -1.14% |
| Expected Shortfall (cVaR) | -3.2% | -2.23% |
| Max Consecutive Wins | 11 | 7 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.19 | 0.17 |
| Gain/Pain (1M) | 1.17 | 1.33 |
| Payoff Ratio | 0.89 | 0.93 |
| Profit Factor | 1.19 | 1.17 |
| Common Sense Ratio | 1.14 | 1.24 |
| CPC Index | 0.58 | 0.59 |
| Tail Ratio | 0.96 | 1.06 |
| Outlier Win Ratio | 3.69 | 4.01 |
| Outlier Loss Ratio | 4.09 | 3.51 |
| MTD | 1.08% | -0.99% |
| 3M | 3.82% | 5.54% |
| 6M | 19.85% | 7.62% |
| YTD | 14.3% | 9.96% |
| 1Y | 18.22% | 15.31% |
| 3Y (ann.) | 24.95% | 11.69% |
| 5Y (ann.) | 13.07% | 9.43% |
| 10Y (ann.) | 16.7% | 7.81% |
| All-time (ann.) | 16.7% | 7.81% |
| 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 | -1.79% | -1.63% |
| Avg. Drawdown Days | 16 | 30 |
| Recovery Factor | 3.74 | 2.49 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 1.03 | 0.65 |
| Avg. Up Month | 4.02% | 1.94% |
| Avg. Down Month | -4.3% | -1.86% |
| Win Days | 55.33% | 54.52% |
| Win Month | 67.05% | 65.91% |
| Win Quarter | 76.67% | 83.33% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.32 |
| Alpha | - | 0.03 |
| Correlation | - | 55.82% |
| Treynor Ratio | - | 225.83% |
| 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 | 14.30 | 9.96 | 0.70 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2019-12-23 | 2021-03-12 | -23.78 | 446 |
| 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 |