CAPTX vs. GTAIX
CAPTX (Canterbury Portfolio Thermostat Fund) and GTAIX (Donoghue Forlines Tactical Allocation Fund) are both Tactical Allocation funds. Over the past 5 years, CAPTX returned 4.68%/yr vs 6.84%/yr for GTAIX. Their correlation of 0.80 means they have usually moved in the same direction. CAPTX charges 1.98%/yr vs 1.20%/yr for GTAIX.
Performance
CAPTX vs. GTAIX - Performance Comparison
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Returns By Period
In the year-to-date period, CAPTX achieves a 11.50% return, which is significantly lower than GTAIX's 12.72% return.
CAPTX
- 1D
- 1.76%
- 1M
- -3.61%
- 6M
- 4.60%
- YTD
- 11.50%
- 1Y
- 24.73%
- 3Y*
- 10.47%
- 5Y*
- 4.68%
- 10Y*
- —
- ALL TIME*
- 5.13%
GTAIX
- 1D
- 1.26%
- 1M
- -0.54%
- 6M
- 8.46%
- YTD
- 12.72%
- 1Y
- 19.59%
- 3Y*
- 13.20%
- 5Y*
- 6.84%
- 10Y*
- —
- ALL TIME*
- 5.67%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
CAPTX vs. GTAIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
CAPTX Canterbury Portfolio Thermostat Fund | 11.50% | 12.68% | 11.07% | 0.63% | -11.80% | 14.07% | -3.30% | 14.16% | -7.90% |
GTAIX Donoghue Forlines Tactical Allocation Fund | 12.72% | 13.49% | 8.39% | 15.59% | -14.49% | 9.25% | -0.10% | 16.08% | -8.93% |
Correlation
The correlation between CAPTX and GTAIX is 0.87, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.87 |
Correlation (3Y) Balances recent behavior with more history. | 0.77 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.79 |
Correlation (All Time) Calculated using the full available price history since Apr 6, 2018 | 0.80 |
The correlation between CAPTX and GTAIX shifts across timeframes, from 0.77 (3 years) to 0.87 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
CAPTX vs. GTAIX — Risk / Return Rank
CAPTX
GTAIX
CAPTX vs. GTAIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Canterbury Portfolio Thermostat Fund (CAPTX) and Donoghue Forlines Tactical Allocation Fund (GTAIX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| CAPTX | GTAIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.25 | ||
| Sortino ratioReturn per unit of downside risk | -0.45 | ||
| Omega ratioGain probability vs. loss probability | 1.33 | 1.37 | -0.05 |
| Calmar ratioReturn relative to maximum drawdown | 2.95 | 4.15 | -1.20 |
| Martin ratioReturn relative to average drawdown | 10.63 | 16.25 | -5.62 |
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Drawdowns
CAPTX vs. GTAIX - Drawdown Comparison
The maximum CAPTX drawdown since its inception was -28.25%, which is greater than GTAIX's maximum drawdown of -24.25%. Use the drawdown chart below to compare losses from any high point for CAPTX and GTAIX.
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Drawdown Indicators
| CAPTX | GTAIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -28.25% | -24.25% | -4.00% |
Max Drawdown (1Y)Largest decline over 1 year | -7.97% | -4.51% | -3.46% |
Max Drawdown (3Y)Largest decline over 3 years | -11.27% | -11.89% | +0.62% |
Max Drawdown (5Y)Largest decline over 5 years | -15.88% | -19.43% | +3.55% |
Current DrawdownCurrent decline from peak | -6.35% | -1.86% | -4.49% |
Average DrawdownAverage peak-to-trough decline | -5.41% | -4.75% | -0.66% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.21% | 1.15% | +1.06% |
Volatility
CAPTX vs. GTAIX - Volatility Comparison
Canterbury Portfolio Thermostat Fund (CAPTX) has a higher volatility of 4.41% compared to Donoghue Forlines Tactical Allocation Fund (GTAIX) at 2.87%. This indicates that CAPTX's price experiences larger fluctuations and is considered to be riskier than GTAIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CAPTX | GTAIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.41% | 2.87% | +1.54% |
Volatility (6M)Calculated over the trailing 6-month period | 10.66% | 7.66% | +3.00% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.02% | 9.11% | +3.91% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.17% | 10.83% | -0.66% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.83% | 11.50% | +0.33% |
CAPTX vs. GTAIX - Expense Ratio Comparison
CAPTX has a 1.98% expense ratio, which is higher than GTAIX's 1.20% expense ratio.
Dividends
CAPTX vs. GTAIX - Dividend Comparison
CAPTX has not paid dividends to shareholders, while GTAIX's dividend yield for the trailing twelve months is around 5.07%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
CAPTX Canterbury Portfolio Thermostat Fund | 0.00% | 0.00% | 0.00% | 0.63% | 0.00% | 13.02% | 0.15% | 1.21% | 1.35% | 0.99% |
GTAIX Donoghue Forlines Tactical Allocation Fund | 5.07% | 5.82% | 3.38% | 2.69% | 1.65% | 2.35% | 0.82% | 1.77% | 1.92% | 0.00% |
Frequently Asked Questions
CAPTX and GTAIX have a correlation of 0.87, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CAPTX has higher volatility (4.41%) compared to GTAIX (2.87%). In terms of maximum drawdown, CAPTX dropped -28.25% vs GTAIX's -24.25%.
GTAIX currently has the higher Sharpe Ratio (2.06 vs 1.81), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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