| Metric | SPY | SPATX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 85.0% |
| Cumulative Return | 203.15% | 77.25% |
| CAGR﹪ | 16.47% | 8.19% |
| Sharpe | 0.73 | 0.87 |
| Prob. Sharpe Ratio | 97.44% | 98.73% |
| Smart Sharpe | 0.63 | 0.8 |
| Sortino | 1.03 | 1.18 |
| Smart Sortino | 0.89 | 1.09 |
| Sortino/√2 | 0.73 | 0.84 |
| Smart Sortino/√2 | 0.63 | 0.77 |
| Omega | 1.18 | 1.32 |
| 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.) | 19.56% | 5.96% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.7 |
| Skew | -0.29 | -0.68 |
| Kurtosis | 13.84 | 76.99 |
| Ulcer Performance Index | 25.46 | 30.55 |
| Risk-Adjusted Return | 16.47% | 9.63% |
| Risk-Return Ratio | 0.06 | 0.09 |
| Avg. Return | 0.08% | 0.04% |
| Avg. Win | 0.77% | 0.25% |
| Avg. Loss | -0.94% | -0.32% |
| Win/Loss Ratio | 0.82 | 0.77 |
| Profit Ratio | 0.78 | 0.35 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.27% | 0.65% |
| Expected Yearly | 14.87% | 7.42% |
| Kelly Criterion | 0.61% | 8.35% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -0.59% |
| Expected Shortfall (cVaR) | -3.2% | -1.05% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 7 | 5 |
| Gain/Pain Ratio | 0.18 | 0.32 |
| Gain/Pain (1M) | 1.16 | 2.1 |
| Payoff Ratio | 0.82 | 0.77 |
| Profit Factor | 1.18 | 1.32 |
| Common Sense Ratio | 1.14 | 1.39 |
| CPC Index | 0.54 | 0.61 |
| Tail Ratio | 0.96 | 1.05 |
| Outlier Win Ratio | 3.69 | 3.45 |
| Outlier Loss Ratio | 4.1 | 3.06 |
| 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.) | 16.47% | 8.19% |
| All-time (ann.) | 16.47% | 8.19% |
| 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% | 13.17% |
| Worst Year | -18.18% | 0.92% |
| Avg. Drawdown | -1.78% | -0.82% |
| Avg. Drawdown Days | 16 | 21 |
| Recovery Factor | 3.7 | 5.02 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 1.02 | 1.24 |
| Avg. Up Month | 4.07% | 1.35% |
| Avg. Down Month | -3.69% | -1.21% |
| Win Days | 55.22% | 60.0% |
| Win Month | 67.05% | 68.18% |
| Win Quarter | 76.67% | 86.67% |
| Win Year | 87.5% | 100.0% |
| Beta | - | 0.01 |
| Alpha | - | 0.08 |
| Correlation | - | 4.27% |
| Treynor Ratio | - | 5937.13% |
| 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 | 14.30 | 13.17 | 0.92 | - |
| 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 |