| Metric | SPY | FAAAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 87.0% |
| Cumulative Return | 15.55% | 8.01% |
| CAGR﹪ | 15.82% | 8.14% |
| Sharpe | 0.89 | 0.97 |
| Prob. Sharpe Ratio | 81.06% | 82.92% |
| Smart Sharpe | 0.86 | 0.88 |
| Sortino | 1.29 | 1.4 |
| Smart Sortino | 1.25 | 1.28 |
| Sortino/√2 | 0.91 | 0.99 |
| Smart Sortino/√2 | 0.88 | 0.91 |
| Omega | 1.22 | 1.36 |
| Max Drawdown | -8.88% | -1.58% |
| Max DD Date | 2026-03-30 | 2026-03-20 |
| Max DD Period Start | 2026-01-28 | 2026-02-26 |
| Max DD Period End | 2026-04-13 | 2026-04-07 |
| Longest DD Days | 76 | 61 |
| Volatility (ann.) | 12.97% | 4.1% |
| R^2 | 0.54 | 0.54 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.78 | 5.14 |
| Skew | -0.14 | -0.17 |
| Kurtosis | 1.08 | 0.03 |
| Ulcer Performance Index | 7.19 | 14.67 |
| Risk-Adjusted Return | 15.82% | 9.36% |
| Risk-Return Ratio | 0.08 | 0.12 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.76% | 0.27% |
| Avg. Loss | -0.73% | -0.26% |
| Win/Loss Ratio | 1.05 | 1.05 |
| Profit Ratio | 0.94 | 0.49 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.12% | 0.59% |
| Expected Yearly | 7.49% | 3.93% |
| Kelly Criterion | 8.48% | 15.65% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.39% |
| Expected Shortfall (cVaR) | -1.72% | -0.52% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.22 | 0.36 |
| Gain/Pain (1M) | 2.3 | 5.03 |
| Payoff Ratio | 1.05 | 1.05 |
| Profit Factor | 1.22 | 1.36 |
| Common Sense Ratio | 1.21 | 1.38 |
| CPC Index | 0.68 | 0.81 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 2.9 | 3.04 |
| Outlier Loss Ratio | 3.2 | 2.47 |
| MTD | 1.08% | 1.47% |
| 3M | 3.82% | 1.47% |
| 6M | 19.85% | 5.28% |
| YTD | 14.3% | 6.61% |
| 1Y | 15.55% | 8.01% |
| 3Y (ann.) | 15.82% | 8.14% |
| 5Y (ann.) | 15.82% | 8.14% |
| 10Y (ann.) | 15.82% | 8.14% |
| All-time (ann.) | 15.82% | 8.14% |
| Best Day | 2.91% | 0.72% |
| Worst Day | -2.7% | -0.77% |
| Best Month | 10.51% | 1.6% |
| Worst Month | -4.94% | -0.94% |
| Best Year | 14.3% | 6.61% |
| Worst Year | 1.1% | 1.31% |
| Avg. Drawdown | -1.71% | -0.59% |
| Avg. Drawdown Days | 13 | 13 |
| Recovery Factor | 1.72 | 4.91 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.02 | 3.05 |
| Avg. Up Month | 2.45% | 0.83% |
| Avg. Down Month | -4.94% | -0.62% |
| Win Days | 53.23% | 56.74% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.23 |
| Alpha | - | 0.04 |
| Correlation | - | 73.56% |
| Treynor Ratio | - | 34.44% |
| Year | SPY | FAAAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.10 | 1.31 | 1.19 | + |
| 2026 | 14.30 | 6.61 | 0.46 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-04-07 | -1.58 | 41 |
| 2026-07-01 | 2026-08-13 | -1.37 | 44 |
| 2025-10-10 | 2025-12-09 | -1.27 | 61 |
| 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 |
| 2026-04-15 | 2026-05-04 | -0.61 | 20 |