| Metric | SPY | FAAR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.39% | 18.02% |
| CAGR﹪ | 14.51% | 18.18% |
| Sharpe | 0.83 | 1.11 |
| Prob. Sharpe Ratio | 79.61% | 86.64% |
| Smart Sharpe | 0.82 | 1.08 |
| Sortino | 1.22 | 1.66 |
| Smart Sortino | 1.2 | 1.62 |
| Sortino/√2 | 0.86 | 1.17 |
| Smart Sortino/√2 | 0.85 | 1.14 |
| Omega | 1.2 | 1.25 |
| Max Drawdown | -8.88% | -10.64% |
| Max DD Date | 2026-03-30 | 2026-08-04 |
| Max DD Period Start | 2026-01-28 | 2026-05-19 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 170 |
| Volatility (ann.) | 12.86% | 12.41% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 1.63 | 1.71 |
| Skew | -0.02 | 0.08 |
| Kurtosis | 0.78 | 1.32 |
| Ulcer Performance Index | 6.68 | 3.75 |
| Risk-Adjusted Return | 14.51% | 18.18% |
| Risk-Return Ratio | 0.07 | 0.09 |
| Avg. Return | 0.06% | 0.07% |
| Avg. Win | 0.57% | 0.63% |
| Avg. Loss | -0.64% | -0.67% |
| Win/Loss Ratio | 0.89 | 0.94 |
| Profit Ratio | 1.02 | 0.94 |
| Expected Daily | 0.05% | 0.07% |
| Expected Monthly | 1.04% | 1.28% |
| Expected Yearly | 6.95% | 8.64% |
| Kelly Criterion | -1.89% | 4.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.22% |
| Expected Shortfall (cVaR) | -1.66% | -1.55% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.2 | 0.25 |
| Gain/Pain (1M) | 1.83 | 1.27 |
| Payoff Ratio | 0.89 | 0.94 |
| Profit Factor | 1.2 | 1.25 |
| Common Sense Ratio | 1.19 | 1.27 |
| CPC Index | 0.56 | 0.63 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 2.84 | 2.78 |
| Outlier Loss Ratio | 3.01 | 2.83 |
| MTD | 1.47% | -2.18% |
| 3M | 1.46% | 3.97% |
| 6M | 6.94% | -6.03% |
| YTD | 13.33% | 18.86% |
| 1Y | 14.39% | 18.02% |
| 3Y (ann.) | 14.51% | 18.18% |
| 5Y (ann.) | 14.51% | 18.18% |
| 10Y (ann.) | 14.51% | 18.18% |
| All-time (ann.) | 14.51% | 18.18% |
| Best Day | 2.91% | 3.57% |
| Worst Day | -2.58% | -2.7% |
| Best Month | 10.51% | 12.0% |
| Worst Month | -4.94% | -6.23% |
| Best Year | 13.33% | 18.86% |
| Worst Year | 0.94% | -0.71% |
| Avg. Drawdown | -1.74% | -2.23% |
| Avg. Drawdown Days | 14 | 22 |
| Recovery Factor | 1.61 | 1.63 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 0.94 | 0.3 |
| Avg. Up Month | 4.28% | 3.78% |
| Avg. Down Month | -1.03% | -6.23% |
| Win Days | 52.0% | 53.6% |
| Win Month | 61.54% | 53.85% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | -0.14 |
| Alpha | - | 0.2 |
| Correlation | - | -14.96% |
| Treynor Ratio | - | -124.88% |
| Year | SPY | FAAR | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | -0.71 | -0.75 | - |
| 2026 | 13.33 | 18.86 | 1.42 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-19 | 2026-11-04 | -10.64 | 170 |
| 2025-11-12 | 2026-01-12 | -4.85 | 62 |
| 2026-01-30 | 2026-02-18 | -2.88 | 20 |
| 2026-03-23 | 2026-04-01 | -2.70 | 10 |
| 2026-05-01 | 2026-05-15 | -2.24 | 15 |
| 2026-04-07 | 2026-04-24 | -1.91 | 18 |
| 2026-03-13 | 2026-03-17 | -1.89 | 5 |
| 2026-03-09 | 2026-03-10 | -1.74 | 2 |
| 2026-03-19 | 2026-03-19 | -0.74 | 1 |
| 2026-01-15 | 2026-01-16 | -0.64 | 2 |