| Metric | SPY | FAAR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 18.32% |
| CAGR﹪ | 18.02% | 18.48% |
| Sharpe | 1.04 | 1.07 |
| Prob. Sharpe Ratio | 84.73% | 85.82% |
| Smart Sharpe | 1.01 | 1.06 |
| Sortino | 1.51 | 1.61 |
| Smart Sortino | 1.47 | 1.6 |
| Sortino/√2 | 1.07 | 1.14 |
| Smart Sortino/√2 | 1.04 | 1.13 |
| Omega | 1.25 | 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 | 2026-09-22 |
| Longest DD Days | 76 | 127 |
| Volatility (ann.) | 12.99% | 12.85% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 2.03 | 1.74 |
| Skew | -0.15 | 0.12 |
| Kurtosis | 1.05 | 1.06 |
| Ulcer Performance Index | 8.3 | 4.01 |
| Risk-Adjusted Return | 18.02% | 18.48% |
| Risk-Return Ratio | 0.08 | 0.09 |
| Avg. Return | 0.07% | 0.07% |
| Avg. Win | 0.59% | 0.65% |
| Avg. Loss | -0.63% | -0.68% |
| Win/Loss Ratio | 0.94 | 0.96 |
| Profit Ratio | 0.94 | 0.97 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.27% | 1.3% |
| Expected Yearly | 8.57% | 8.77% |
| Kelly Criterion | 4.3% | 4.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.26% |
| Expected Shortfall (cVaR) | -1.72% | -1.56% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.25 | 0.25 |
| Gain/Pain (1M) | 2.6 | 1.41 |
| Payoff Ratio | 0.94 | 0.96 |
| Profit Factor | 1.25 | 1.25 |
| Common Sense Ratio | 1.24 | 1.31 |
| CPC Index | 0.63 | 0.63 |
| Tail Ratio | 0.99 | 1.05 |
| Outlier Win Ratio | 2.88 | 2.81 |
| Outlier Loss Ratio | 3.19 | 2.75 |
| MTD | 1.08% | 4.39% |
| 3M | 3.82% | -0.12% |
| 6M | 19.85% | -4.33% |
| YTD | 14.3% | 20.14% |
| 1Y | 17.87% | 18.32% |
| 3Y (ann.) | 18.02% | 18.48% |
| 5Y (ann.) | 18.02% | 18.48% |
| 10Y (ann.) | 18.02% | 18.48% |
| All-time (ann.) | 18.02% | 18.48% |
| Best Day | 2.91% | 3.57% |
| Worst Day | -2.7% | -2.7% |
| Best Month | 10.51% | 12.0% |
| Worst Month | -4.94% | -6.23% |
| Best Year | 14.3% | 20.14% |
| Worst Year | 3.13% | -1.52% |
| Avg. Drawdown | -1.71% | -2.31% |
| Avg. Drawdown Days | 13 | 21 |
| Recovery Factor | 1.94 | 1.66 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 1.16 | 0.34 |
| Avg. Up Month | 2.74% | 3.19% |
| Avg. Down Month | -1.03% | -6.23% |
| Win Days | 53.6% | 53.2% |
| Win Month | 76.92% | 53.85% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | -0.1 |
| Alpha | - | 0.2 |
| Correlation | - | -10.27% |
| Treynor Ratio | - | -180.23% |
| Year | SPY | FAAR | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | -1.52 | -0.49 | - |
| 2026 | 14.30 | 20.14 | 1.41 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-19 | 2026-09-22 | -10.64 | 127 |
| 2025-11-12 | 2026-01-12 | -4.85 | 62 |
| 2025-09-29 | 2025-11-10 | -3.37 | 43 |
| 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 |