| Metric | SPY | SPATX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 87.0% |
| Cumulative Return | 86.58% | 60.65% |
| CAGR﹪ | 13.36% | 10.0% |
| Sharpe | 0.59 | 0.96 |
| Prob. Sharpe Ratio | 90.85% | 97.97% |
| Smart Sharpe | 0.58 | 0.82 |
| Sortino | 0.86 | 1.35 |
| Smart Sortino | 0.83 | 1.15 |
| Sortino/√2 | 0.61 | 0.95 |
| Smart Sortino/√2 | 0.59 | 0.81 |
| Omega | 1.16 | 1.39 |
| Max Drawdown | -24.5% | -5.89% |
| Max DD Date | 2022-10-12 | 2024-01-02 |
| Max DD Period Start | 2022-01-04 | 2024-01-02 |
| Max DD Period End | 2023-12-12 | 2024-03-19 |
| Longest DD Days | 708 | 219 |
| Volatility (ann.) | 17.2% | 6.17% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.55 | 1.7 |
| Skew | 0.32 | -0.18 |
| Kurtosis | 8.95 | 93.19 |
| Ulcer Performance Index | 10.24 | 38.35 |
| Risk-Adjusted Return | 13.36% | 11.5% |
| Risk-Return Ratio | 0.05 | 0.1 |
| Avg. Return | 0.05% | 0.04% |
| Avg. Win | 0.7% | 0.24% |
| Avg. Loss | -0.82% | -0.32% |
| Win/Loss Ratio | 0.85 | 0.76 |
| Profit Ratio | 0.83 | 0.38 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.03% | 0.78% |
| Expected Yearly | 10.95% | 8.22% |
| Kelly Criterion | -0.35% | 8.64% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.6% |
| Expected Shortfall (cVaR) | -2.58% | -1.06% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.16 | 0.39 |
| Gain/Pain (1M) | 0.87 | 2.75 |
| Payoff Ratio | 0.85 | 0.76 |
| Profit Factor | 1.16 | 1.39 |
| Common Sense Ratio | 1.17 | 1.46 |
| CPC Index | 0.53 | 0.64 |
| Tail Ratio | 1.01 | 1.05 |
| Outlier Win Ratio | 3.41 | 3.17 |
| Outlier Loss Ratio | 3.77 | 2.79 |
| MTD | 1.08% | 2.28% |
| 3M | 3.82% | 5.53% |
| 6M | 19.85% | 7.49% |
| YTD | 14.3% | 13.17% |
| 1Y | 17.78% | 16.05% |
| 3Y (ann.) | 24.86% | 10.5% |
| 5Y (ann.) | 13.06% | 9.9% |
| 10Y (ann.) | 13.36% | 10.0% |
| All-time (ann.) | 13.36% | 10.0% |
| Best Day | 10.5% | 6.16% |
| Worst Day | -5.85% | -5.89% |
| Best Month | 10.51% | 5.52% |
| Worst Month | -9.24% | -4.42% |
| Best Year | 26.18% | 13.17% |
| Worst Year | -18.18% | 0.14% |
| Avg. Drawdown | -1.89% | -0.75% |
| Avg. Drawdown Days | 20 | 15 |
| Recovery Factor | 2.85 | 8.21 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.47 | 3.02 |
| Avg. Up Month | 3.7% | 1.43% |
| Avg. Down Month | -2.45% | -0.69% |
| Win Days | 54.04% | 60.55% |
| Win Month | 63.93% | 70.49% |
| Win Quarter | 66.67% | 85.71% |
| Win Year | 83.33% | 100.0% |
| Beta | - | -0.01 |
| Alpha | - | 0.1 |
| Correlation | - | -2.34% |
| Treynor Ratio | - | -7221.75% |
| Year | SPY | SPATX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 0.14 | 0.02 | - |
| 2022 | -18.18 | 12.79 | -0.70 | + |
| 2023 | 26.18 | 11.47 | 0.44 | - |
| 2024 | 24.89 | 1.49 | 0.06 | - |
| 2025 | 17.72 | 11.08 | 0.63 | - |
| 2026 | 14.30 | 13.17 | 0.92 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-01-02 | 2024-03-19 | -5.89 | 78 |
| 2023-03-09 | 2023-08-09 | -4.77 | 154 |
| 2024-06-03 | 2025-01-07 | -4.51 | 219 |
| 2022-06-15 | 2022-09-12 | -3.22 | 90 |
| 2025-04-02 | 2025-05-30 | -3.17 | 59 |
| 2022-11-08 | 2023-02-16 | -3.01 | 101 |
| 2023-09-29 | 2023-12-28 | -2.54 | 91 |
| 2021-10-26 | 2022-01-04 | -2.34 | 71 |
| 2026-06-04 | 2026-07-20 | -1.95 | 47 |
| 2022-02-24 | 2022-03-02 | -1.75 | 7 |