| Metric | SPY | SPATX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 14.39% | 12.84% |
| CAGR﹪ | 14.51% | 12.95% |
| Sharpe | 0.83 | 2.15 |
| Prob. Sharpe Ratio | 79.61% | 98.37% |
| Smart Sharpe | 0.82 | 2.13 |
| Sortino | 1.22 | 3.34 |
| Smart Sortino | 1.2 | 3.31 |
| Sortino/√2 | 0.86 | 2.36 |
| Smart Sortino/√2 | 0.85 | 2.34 |
| Omega | 1.2 | 1.62 |
| Max Drawdown | -8.88% | -1.95% |
| Max DD Date | 2026-03-30 | 2026-07-02 |
| Max DD Period Start | 2026-01-28 | 2026-06-04 |
| Max DD Period End | 2026-04-13 | 2026-07-20 |
| Longest DD Days | 76 | 50 |
| Volatility (ann.) | 12.86% | 3.99% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 1.63 | 6.65 |
| Skew | -0.02 | -0.05 |
| Kurtosis | 0.78 | -0.24 |
| Ulcer Performance Index | 6.68 | 21.74 |
| Risk-Adjusted Return | 14.51% | 14.38% |
| Risk-Return Ratio | 0.07 | 0.19 |
| Avg. Return | 0.05% | 0.05% |
| Avg. Win | 0.61% | 0.23% |
| Avg. Loss | -0.66% | -0.21% |
| Win/Loss Ratio | 0.92 | 1.12 |
| Profit Ratio | 1.02 | 0.43 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.04% | 0.93% |
| Expected Yearly | 6.95% | 6.22% |
| Kelly Criterion | 0.0% | 27.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.36% |
| Expected Shortfall (cVaR) | -1.66% | -0.43% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.62 |
| Gain/Pain (1M) | 1.83 | 6.7 |
| Payoff Ratio | 0.92 | 1.12 |
| Profit Factor | 1.2 | 1.62 |
| Common Sense Ratio | 1.19 | 1.96 |
| CPC Index | 0.58 | 1.12 |
| Tail Ratio | 0.99 | 1.21 |
| Outlier Win Ratio | 2.84 | 3.16 |
| Outlier Loss Ratio | 3.01 | 2.0 |
| MTD | 1.47% | -0.72% |
| 3M | 1.46% | 3.6% |
| 6M | 6.94% | 5.41% |
| YTD | 13.33% | 12.44% |
| 1Y | 14.39% | 12.84% |
| 3Y (ann.) | 14.51% | 12.95% |
| 5Y (ann.) | 14.51% | 12.95% |
| 10Y (ann.) | 14.51% | 12.95% |
| All-time (ann.) | 14.51% | 12.95% |
| Best Day | 2.91% | 0.76% |
| Worst Day | -2.58% | -0.54% |
| Best Month | 10.51% | 2.94% |
| Worst Month | -4.94% | -0.72% |
| Best Year | 13.33% | 12.44% |
| Worst Year | 0.94% | 0.35% |
| Avg. Drawdown | -1.74% | -0.52% |
| Avg. Drawdown Days | 14 | 8 |
| Recovery Factor | 1.61 | 6.25 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 3.44 |
| Avg. Up Month | 3.34% | 1.23% |
| Avg. Down Month | -0.97% | -0.44% |
| Win Days | 52.0% | 61.88% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.02 |
| Alpha | - | 0.13 |
| Correlation | - | -7.74% |
| Treynor Ratio | - | -535.4% |
| Year | SPY | SPATX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 0.35 | 0.38 | - |
| 2026 | 13.33 | 12.44 | 0.93 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-04 | 2026-07-20 | -1.95 | 47 |
| 2026-10-22 | 2026-11-04 | -1.71 | 14 |
| 2026-04-08 | 2026-04-27 | -1.45 | 20 |
| 2025-11-12 | 2025-12-31 | -1.10 | 50 |
| 2026-07-24 | 2026-08-12 | -0.89 | 20 |
| 2026-05-27 | 2026-05-29 | -0.68 | 3 |
| 2026-03-03 | 2026-03-16 | -0.63 | 14 |
| 2026-01-09 | 2026-01-23 | -0.56 | 15 |
| 2026-03-23 | 2026-03-23 | -0.46 | 1 |
| 2026-04-30 | 2026-05-01 | -0.46 | 2 |