| Metric | SPY | SPATX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 85.0% |
| Cumulative Return | 200.57% | 76.11% |
| CAGR﹪ | 16.04% | 7.95% |
| Sharpe | 0.71 | 0.84 |
| Prob. Sharpe Ratio | 97.29% | 98.53% |
| Smart Sharpe | 0.62 | 0.77 |
| Sortino | 1.01 | 1.14 |
| Smart Sortino | 0.87 | 1.05 |
| Sortino/√2 | 0.71 | 0.8 |
| Smart Sortino/√2 | 0.61 | 0.74 |
| Omega | 1.18 | 1.31 |
| Max Drawdown | -33.72% | -11.67% |
| Max DD Date | 2020-03-23 | 2020-03-18 |
| Max DD Period Start | 2020-02-20 | 2019-09-04 |
| Max DD Period End | 2020-08-07 | 2020-12-21 |
| Longest DD Days | 708 | 475 |
| Volatility (ann.) | 19.45% | 5.92% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.48 | 0.68 |
| Skew | -0.28 | -0.67 |
| Kurtosis | 13.93 | 77.43 |
| Ulcer Performance Index | 25.34 | 30.33 |
| Risk-Adjusted Return | 16.04% | 9.35% |
| Risk-Return Ratio | 0.05 | 0.08 |
| Avg. Return | 0.08% | 0.04% |
| Avg. Win | 0.77% | 0.25% |
| Avg. Loss | -0.94% | -0.32% |
| Win/Loss Ratio | 0.82 | 0.78 |
| Profit Ratio | 0.78 | 0.35 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.23% | 0.63% |
| Expected Yearly | 14.75% | 7.33% |
| Kelly Criterion | 0.36% | 8.09% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.58% |
| Expected Shortfall (cVaR) | -3.2% | -1.05% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 7 | 5 |
| Gain/Pain Ratio | 0.18 | 0.31 |
| Gain/Pain (1M) | 1.14 | 1.98 |
| Payoff Ratio | 0.82 | 0.78 |
| Profit Factor | 1.18 | 1.31 |
| Common Sense Ratio | 1.13 | 1.39 |
| CPC Index | 0.53 | 0.61 |
| Tail Ratio | 0.96 | 1.06 |
| Outlier Win Ratio | 3.69 | 3.45 |
| Outlier Loss Ratio | 4.12 | 3.01 |
| MTD | 1.47% | -0.72% |
| 3M | 1.46% | 3.6% |
| 6M | 6.94% | 5.41% |
| YTD | 13.33% | 12.44% |
| 1Y | 13.43% | 12.93% |
| 3Y (ann.) | 20.78% | 10.68% |
| 5Y (ann.) | 12.86% | 10.28% |
| 10Y (ann.) | 16.04% | 7.95% |
| All-time (ann.) | 16.04% | 7.95% |
| Best Day | 10.5% | 6.16% |
| Worst Day | -10.94% | -5.89% |
| Best Month | 12.7% | 5.52% |
| Worst Month | -12.49% | -5.25% |
| Best Year | 28.73% | 12.79% |
| Worst Year | -18.18% | 0.92% |
| Avg. Drawdown | -1.79% | -0.82% |
| Avg. Drawdown Days | 16 | 21 |
| Recovery Factor | 3.68 | 4.96 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 1.02 | 1.25 |
| Avg. Up Month | 4.14% | 1.33% |
| Avg. Down Month | -3.44% | -1.16% |
| Win Days | 55.1% | 59.82% |
| Win Month | 65.56% | 66.67% |
| Win Quarter | 77.42% | 83.87% |
| Win Year | 87.5% | 100.0% |
| Beta | - | 0.01 |
| Alpha | - | 0.08 |
| Correlation | - | 4.27% |
| Treynor Ratio | - | 5854.26% |
| Year | SPY | SPATX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 14.71 | 0.92 | 0.06 | - |
| 2020 | 18.33 | 3.42 | 0.19 | - |
| 2021 | 28.73 | 5.86 | 0.20 | - |
| 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 | 13.33 | 12.44 | 0.93 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2019-09-04 | 2020-12-21 | -11.67 | 475 |
| 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 |
| 2021-02-22 | 2022-01-13 | -3.53 | 326 |
| 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 |
| 2026-06-04 | 2026-07-20 | -1.95 | 47 |