| Metric | SPY | FAAAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 83.0% |
| Cumulative Return | 71.54% | 15.98% |
| CAGR﹪ | 11.48% | 3.03% |
| Sharpe | 0.49 | -0.2 |
| Prob. Sharpe Ratio | 86.54% | 32.58% |
| Smart Sharpe | 0.48 | -0.19 |
| Sortino | 0.71 | -0.27 |
| Smart Sortino | 0.69 | -0.26 |
| Sortino/√2 | 0.5 | -0.19 |
| Smart Sortino/√2 | 0.49 | -0.18 |
| Omega | 1.14 | 1.14 |
| Max Drawdown | -24.5% | -11.18% |
| Max DD Date | 2022-10-12 | 2022-07-14 |
| Max DD Period Start | 2022-01-04 | 2021-11-17 |
| Max DD Period End | 2023-12-12 | 2024-09-13 |
| Longest DD Days | 708 | 1032 |
| Volatility (ann.) | 17.19% | 3.94% |
| R^2 | 0.53 | 0.53 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.47 | 0.27 |
| Skew | 0.33 | -0.43 |
| Kurtosis | 8.99 | 1.41 |
| Ulcer Performance Index | 8.45 | 2.84 |
| Risk-Adjusted Return | 11.48% | 3.65% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.05% | 0.01% |
| Avg. Win | 0.91% | 0.24% |
| Avg. Loss | -0.94% | -0.25% |
| Win/Loss Ratio | 0.97 | 0.94 |
| Profit Ratio | 0.86 | 0.41 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.89% | 0.24% |
| Expected Yearly | 9.41% | 2.5% |
| Kelly Criterion | 5.53% | 6.32% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.4% |
| Expected Shortfall (cVaR) | -2.58% | -0.56% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.14 | 0.14 |
| Gain/Pain (1M) | 0.77 | 0.73 |
| Payoff Ratio | 0.97 | 0.94 |
| Profit Factor | 1.14 | 1.14 |
| Common Sense Ratio | 1.14 | 1.12 |
| CPC Index | 0.59 | 0.58 |
| Tail Ratio | 1.01 | 0.98 |
| Outlier Win Ratio | 3.41 | 3.79 |
| Outlier Loss Ratio | 3.8 | 2.74 |
| MTD | 1.47% | -0.17% |
| 3M | 1.46% | -0.69% |
| 6M | 6.94% | 0.26% |
| YTD | 13.33% | 3.89% |
| 1Y | 13.43% | 4.26% |
| 3Y (ann.) | 20.02% | 8.04% |
| 5Y (ann.) | 12.42% | 3.38% |
| 10Y (ann.) | 11.48% | 3.03% |
| All-time (ann.) | 11.48% | 3.03% |
| Best Day | 10.5% | 0.88% |
| Worst Day | -5.85% | -1.16% |
| Best Month | 10.51% | 2.27% |
| Worst Month | -9.24% | -2.42% |
| Best Year | 26.18% | 11.4% |
| Worst Year | -18.18% | -8.15% |
| Avg. Drawdown | -1.94% | -0.66% |
| Avg. Drawdown Days | 21 | 26 |
| Recovery Factor | 2.5 | 1.36 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 0.41 | 0.06 |
| Avg. Up Month | 4.18% | 1.03% |
| Avg. Down Month | -4.4% | -1.05% |
| Win Days | 53.4% | 54.72% |
| Win Month | 62.3% | 62.3% |
| Win Quarter | 71.43% | 66.67% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.17 |
| Alpha | - | 0.01 |
| Correlation | - | 72.87% |
| Treynor Ratio | - | 95.7% |
| Year | SPY | FAAAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -0.87 | -0.51 | - |
| 2022 | -18.18 | -8.15 | 0.45 | + |
| 2023 | 26.18 | 2.61 | 0.10 | - |
| 2024 | 24.89 | 11.40 | 0.46 | - |
| 2025 | 15.40 | 7.26 | 0.47 | - |
| 2026 | 13.33 | 3.89 | 0.29 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-17 | 2024-09-13 | -11.18 | 1032 |
| 2025-03-03 | 2025-05-19 | -3.53 | 78 |
| 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 |
| 2025-10-10 | 2025-12-09 | -1.27 | 61 |
| 2026-06-05 | 2026-06-18 | -1.20 | 14 |
| 2025-01-27 | 2025-02-14 | -0.90 | 19 |
| 2025-12-12 | 2026-01-02 | -0.85 | 22 |
| 2026-02-04 | 2026-02-06 | -0.80 | 3 |