| Metric | SPY | FAAAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 84.0% |
| Cumulative Return | 198.97% | 31.63% |
| CAGR﹪ | 15.96% | 3.79% |
| Sharpe | 0.71 | 0.22 |
| Prob. Sharpe Ratio | 97.23% | 72.16% |
| Smart Sharpe | 0.61 | 0.21 |
| Sortino | 1.0 | 0.29 |
| Smart Sortino | 0.86 | 0.28 |
| Sortino/√2 | 0.71 | 0.2 |
| Smart Sortino/√2 | 0.61 | 0.2 |
| Omega | 1.18 | 1.17 |
| Max Drawdown | -33.72% | -11.18% |
| Max DD Date | 2020-03-23 | 2022-07-14 |
| Max DD Period Start | 2020-02-20 | 2021-11-17 |
| Max DD Period End | 2020-08-07 | 2024-09-13 |
| Longest DD Days | 708 | 1032 |
| Volatility (ann.) | 19.45% | 4.31% |
| R^2 | 0.58 | 0.58 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.47 | 0.34 |
| Skew | -0.28 | -1.1 |
| Kurtosis | 13.94 | 8.86 |
| Ulcer Performance Index | 25.14 | 6.59 |
| Risk-Adjusted Return | 15.96% | 4.51% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.08% | 0.02% |
| Avg. Win | 0.95% | 0.24% |
| Avg. Loss | -1.03% | -0.27% |
| Win/Loss Ratio | 0.92 | 0.89 |
| Profit Ratio | 0.78 | 0.39 |
| Expected Daily | 0.06% | 0.01% |
| Expected Monthly | 1.22% | 0.31% |
| Expected Yearly | 14.67% | 3.49% |
| Kelly Criterion | 6.29% | 6.94% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.43% |
| Expected Shortfall (cVaR) | -3.2% | -0.67% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.18 | 0.17 |
| Gain/Pain (1M) | 1.13 | 0.91 |
| Payoff Ratio | 0.92 | 0.89 |
| Profit Factor | 1.18 | 1.17 |
| Common Sense Ratio | 1.13 | 1.13 |
| CPC Index | 0.6 | 0.59 |
| Tail Ratio | 0.96 | 0.96 |
| Outlier Win Ratio | 3.69 | 4.01 |
| Outlier Loss Ratio | 4.12 | 3.05 |
| 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.) | 15.96% | 3.79% |
| All-time (ann.) | 15.96% | 3.79% |
| Best Day | 10.5% | 1.63% |
| Worst Day | -10.94% | -2.57% |
| Best Month | 12.7% | 3.7% |
| Worst Month | -12.49% | -5.81% |
| Best Year | 28.73% | 11.4% |
| Worst Year | -18.18% | -8.15% |
| Avg. Drawdown | -1.79% | -0.76% |
| Avg. Drawdown Days | 16 | 26 |
| Recovery Factor | 3.67 | 2.52 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 1.01 | 0.16 |
| Avg. Up Month | 4.46% | 1.17% |
| Avg. Down Month | -4.29% | -1.12% |
| Win Days | 55.1% | 56.06% |
| Win Month | 65.56% | 61.11% |
| Win Quarter | 77.42% | 70.97% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.17 |
| Alpha | - | 0.01 |
| Correlation | - | 76.17% |
| Treynor Ratio | - | 187.49% |
| Year | SPY | FAAAX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 2.43 | 0.15 | - |
| 2020 | 18.33 | 7.03 | 0.38 | - |
| 2021 | 28.73 | 2.62 | 0.09 | - |
| 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 |
| 2020-02-21 | 2020-08-27 | -10.65 | 189 |
| 2025-03-03 | 2025-05-19 | -3.53 | 78 |
| 2021-02-17 | 2021-04-27 | -2.72 | 70 |
| 2026-09-23 | 2026-11-04 | -2.63 | 43 |
| 2021-09-07 | 2021-11-11 | -2.21 | 66 |
| 2021-01-21 | 2021-02-03 | -1.70 | 14 |
| 2020-10-13 | 2020-11-04 | -1.61 | 23 |
| 2026-02-26 | 2026-04-07 | -1.58 | 41 |
| 2021-04-30 | 2021-06-10 | -1.44 | 42 |