| Metric | SPY | SPATX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 89.0% |
| Cumulative Return | 18.6% | 7.99% |
| CAGR﹪ | 40.67% | 16.62% |
| Sharpe | 2.32 | 2.73 |
| Prob. Sharpe Ratio | 95.04% | 97.21% |
| Smart Sharpe | 2.3 | 2.59 |
| Sortino | 3.78 | 4.31 |
| Smart Sortino | 3.75 | 4.09 |
| Sortino/√2 | 2.67 | 3.05 |
| Smart Sortino/√2 | 2.65 | 2.89 |
| Omega | 1.54 | 1.74 |
| Max Drawdown | -4.49% | -1.95% |
| Max DD Date | 2026-06-10 | 2026-07-02 |
| Max DD Period Start | 2026-06-03 | 2026-06-04 |
| Max DD Period End | 2026-07-31 | 2026-07-20 |
| Longest DD Days | 59 | 47 |
| Volatility (ann.) | 13.55% | 4.34% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 9.05 | 8.54 |
| Skew | 0.1 | -0.14 |
| Kurtosis | 1.12 | -0.28 |
| Ulcer Performance Index | 11.86 | 11.59 |
| Risk-Adjusted Return | 40.67% | 18.67% |
| Risk-Return Ratio | 0.16 | 0.22 |
| Avg. Return | 0.14% | 0.07% |
| Avg. Win | 0.59% | 0.24% |
| Avg. Loss | -0.5% | -0.24% |
| Win/Loss Ratio | 1.17 | 1.0 |
| Profit Ratio | 1.12 | 0.38 |
| Expected Daily | 0.14% | 0.06% |
| Expected Monthly | 2.47% | 1.1% |
| Expected Yearly | 18.6% | 7.99% |
| Kelly Criterion | 14.78% | 28.48% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.39% |
| Expected Shortfall (cVaR) | -1.77% | -0.47% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.54 | 0.74 |
| Gain/Pain (1M) | 10.92 | 26.49 |
| Payoff Ratio | 1.17 | 1.0 |
| Profit Factor | 1.54 | 1.74 |
| Common Sense Ratio | 2.01 | 1.77 |
| CPC Index | 0.98 | 1.11 |
| Tail Ratio | 1.3 | 1.02 |
| Outlier Win Ratio | 3.21 | 3.12 |
| Outlier Loss Ratio | 3.16 | 1.94 |
| MTD | 1.08% | 2.28% |
| 3M | 3.82% | 5.53% |
| 6M | 18.6% | 7.99% |
| YTD | 18.6% | 7.99% |
| 1Y | 18.6% | 7.99% |
| 3Y (ann.) | 40.67% | 16.62% |
| 5Y (ann.) | 40.67% | 16.62% |
| 10Y (ann.) | 40.67% | 16.62% |
| All-time (ann.) | 40.67% | 16.62% |
| Best Day | 2.91% | 0.76% |
| Worst Day | -2.58% | -0.54% |
| Best Month | 10.51% | 2.28% |
| Worst Month | -1.03% | -0.3% |
| Best Year | 18.6% | 7.99% |
| Worst Year | 18.6% | 7.99% |
| Avg. Drawdown | -1.13% | -0.56% |
| Avg. Drawdown Days | 9 | 8 |
| Recovery Factor | 3.9 | 3.98 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 2.75 | 1.92 |
| Avg. Up Month | 3.91% | 1.49% |
| Avg. Down Month | -1.03% | -0.3% |
| Win Days | 53.97% | 64.29% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.08 |
| Alpha | - | 0.18 |
| Correlation | - | -25.66% |
| Treynor Ratio | - | -97.12% |
| Year | SPY | SPATX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 7.99 | 0.43 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-04 | 2026-07-20 | -1.95 | 47 |
| 2026-04-08 | 2026-04-27 | -1.45 | 20 |
| 2026-07-24 | 2026-08-13 | -0.89 | 21 |
| 2026-05-27 | 2026-05-29 | -0.68 | 3 |
| 2026-04-30 | 2026-05-01 | -0.46 | 2 |
| 2026-05-06 | 2026-05-08 | -0.46 | 3 |
| 2026-09-21 | 2026-09-22 | -0.43 | 2 |
| 2026-08-19 | 2026-08-20 | -0.37 | 2 |
| 2026-03-25 | 2026-03-25 | -0.23 | 1 |
| 2026-03-30 | 2026-03-31 | -0.23 | 2 |