| Metric | SPY | FAAAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 6.48% | -0.17% |
| CAGR﹪ | 13.27% | -0.35% |
| Sharpe | 0.78 | -0.97 |
| Prob. Sharpe Ratio | 70.87% | 24.54% |
| Smart Sharpe | 0.75 | -0.94 |
| Sortino | 1.14 | -1.32 |
| Smart Sortino | 1.09 | -1.28 |
| Sortino/√2 | 0.8 | -0.94 |
| Smart Sortino/√2 | 0.77 | -0.9 |
| Omega | 1.19 | 0.99 |
| Max Drawdown | -4.49% | -2.63% |
| Max DD Date | 2026-06-10 | 2026-11-02 |
| Max DD Period Start | 2026-06-03 | 2026-09-23 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 44 |
| Volatility (ann.) | 12.4% | 3.93% |
| R^2 | 0.48 | 0.48 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 2.95 | -0.13 |
| Skew | -0.15 | 0.03 |
| Kurtosis | 0.59 | -0.38 |
| Ulcer Performance Index | 3.89 | -0.19 |
| Risk-Adjusted Return | 13.27% | -0.38% |
| Risk-Return Ratio | 0.07 | -0.0 |
| Avg. Return | 0.02% | -0.0% |
| Avg. Win | 0.78% | 0.27% |
| Avg. Loss | -0.64% | -0.23% |
| Win/Loss Ratio | 1.22 | 1.15 |
| Profit Ratio | 1.15 | 0.74 |
| Expected Daily | 0.05% | -0.0% |
| Expected Monthly | 0.9% | -0.02% |
| Expected Yearly | 6.48% | -0.17% |
| Kelly Criterion | 9.61% | 4.09% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.41% |
| Expected Shortfall (cVaR) | -1.63% | -0.47% |
| Max Consecutive Wins | 4 | 4 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.19 | -0.01 |
| Gain/Pain (1M) | 3.26 | -0.05 |
| Payoff Ratio | 1.22 | 1.15 |
| Profit Factor | 1.19 | 0.99 |
| Common Sense Ratio | 1.47 | 0.93 |
| CPC Index | 0.73 | 0.55 |
| Tail Ratio | 1.23 | 0.94 |
| Outlier Win Ratio | 2.66 | 2.81 |
| Outlier Loss Ratio | 3.07 | 2.4 |
| MTD | 1.47% | -0.17% |
| 3M | 1.46% | -0.69% |
| 6M | 6.48% | -0.17% |
| YTD | 6.48% | -0.17% |
| 1Y | 6.48% | -0.17% |
| 3Y (ann.) | 13.27% | -0.35% |
| 5Y (ann.) | 13.27% | -0.35% |
| 10Y (ann.) | 13.27% | -0.35% |
| All-time (ann.) | 13.27% | -0.35% |
| Best Day | 1.8% | 0.61% |
| Worst Day | -2.58% | -0.6% |
| Best Month | 4.52% | 0.96% |
| Worst Month | -1.03% | -1.37% |
| Best Year | 6.48% | -0.17% |
| Worst Year | 6.48% | -0.17% |
| Avg. Drawdown | -1.57% | -0.74% |
| Avg. Drawdown Days | 17 | 14 |
| Recovery Factor | 1.48 | 0.05 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.91 | -0.02 |
| Avg. Up Month | 3.6% | 0.65% |
| Avg. Down Month | -0.91% | -1.37% |
| Win Days | 50.39% | 48.7% |
| Win Month | 57.14% | 57.14% |
| Win Quarter | 100.0% | 33.33% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.22 |
| Alpha | - | -0.03 |
| Correlation | - | 69.21% |
| Treynor Ratio | - | -0.79% |
| Year | SPY | FAAAX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | -0.17 | -0.03 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-23 | 2026-11-04 | -2.63 | 43 |
| 2026-07-01 | 2026-08-13 | -1.37 | 44 |
| 2026-06-05 | 2026-06-18 | -1.20 | 14 |
| 2026-05-15 | 2026-06-03 | -0.69 | 20 |
| 2026-08-18 | 2026-09-04 | -0.68 | 18 |
| 2026-06-23 | 2026-06-29 | -0.51 | 7 |
| 2026-05-07 | 2026-05-07 | -0.35 | 1 |
| 2026-09-14 | 2026-09-16 | -0.26 | 3 |
| 2026-05-12 | 2026-05-12 | -0.17 | 1 |
| 2026-09-09 | 2026-09-10 | -0.17 | 2 |