| Metric | SPY | FAAAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 88.0% |
| Cumulative Return | 14.39% | 4.61% |
| CAGR﹪ | 14.51% | 4.65% |
| Sharpe | 0.83 | 0.24 |
| Prob. Sharpe Ratio | 79.61% | 59.34% |
| Smart Sharpe | 0.82 | 0.23 |
| Sortino | 1.22 | 0.34 |
| Smart Sortino | 1.2 | 0.33 |
| Sortino/√2 | 0.86 | 0.24 |
| Smart Sortino/√2 | 0.85 | 0.23 |
| Omega | 1.2 | 1.2 |
| Max Drawdown | -8.88% | -2.63% |
| Max DD Date | 2026-03-30 | 2026-11-02 |
| Max DD Period Start | 2026-01-28 | 2026-09-23 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 44 |
| Volatility (ann.) | 12.86% | 4.06% |
| R^2 | 0.52 | 0.52 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 1.63 | 1.77 |
| Skew | -0.02 | -0.01 |
| Kurtosis | 0.78 | -0.2 |
| Ulcer Performance Index | 6.68 | 6.13 |
| Risk-Adjusted Return | 14.51% | 5.29% |
| Risk-Return Ratio | 0.07 | 0.07 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.78% | 0.27% |
| Avg. Loss | -0.69% | -0.24% |
| Win/Loss Ratio | 1.14 | 1.11 |
| Profit Ratio | 1.02 | 0.59 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.04% | 0.35% |
| Expected Yearly | 6.95% | 2.28% |
| Kelly Criterion | 10.04% | 10.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.4% |
| Expected Shortfall (cVaR) | -1.66% | -0.49% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.2 |
| Gain/Pain (1M) | 1.83 | 1.48 |
| Payoff Ratio | 1.14 | 1.11 |
| Profit Factor | 1.2 | 1.2 |
| Common Sense Ratio | 1.19 | 1.21 |
| CPC Index | 0.71 | 0.7 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 2.84 | 3.05 |
| Outlier Loss Ratio | 3.01 | 2.4 |
| MTD | 1.47% | -0.17% |
| 3M | 1.46% | -0.69% |
| 6M | 6.94% | 0.26% |
| YTD | 13.33% | 3.89% |
| 1Y | 14.39% | 4.61% |
| 3Y (ann.) | 14.51% | 4.65% |
| 5Y (ann.) | 14.51% | 4.65% |
| 10Y (ann.) | 14.51% | 4.65% |
| All-time (ann.) | 14.51% | 4.65% |
| Best Day | 2.91% | 0.72% |
| Worst Day | -2.58% | -0.62% |
| Best Month | 10.51% | 1.6% |
| Worst Month | -4.94% | -1.37% |
| Best Year | 13.33% | 3.89% |
| Worst Year | 0.94% | 0.69% |
| Avg. Drawdown | -1.74% | -0.6% |
| Avg. Drawdown Days | 14 | 11 |
| Recovery Factor | 1.61 | 1.74 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 0.8 |
| Avg. Up Month | 3.48% | 0.9% |
| Avg. Down Month | -2.92% | -1.0% |
| Win Days | 52.0% | 52.75% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.23 |
| Alpha | - | 0.01 |
| Correlation | - | 71.95% |
| Treynor Ratio | - | 20.32% |
| Year | SPY | FAAAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 0.69 | 0.74 | - |
| 2026 | 13.33 | 3.89 | 0.29 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-23 | 2026-11-04 | -2.63 | 43 |
| 2026-02-26 | 2026-04-07 | -1.58 | 41 |
| 2026-07-01 | 2026-08-13 | -1.37 | 44 |
| 2026-06-05 | 2026-06-18 | -1.20 | 14 |
| 2025-12-12 | 2026-01-02 | -0.85 | 22 |
| 2026-02-04 | 2026-02-06 | -0.80 | 3 |
| 2026-01-16 | 2026-01-22 | -0.72 | 7 |
| 2026-05-15 | 2026-06-03 | -0.69 | 20 |
| 2026-08-18 | 2026-09-04 | -0.68 | 18 |
| 2025-11-12 | 2025-11-24 | -0.68 | 13 |