| Metric | SPY | FAAR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 74.99% | 39.25% |
| CAGR﹪ | 11.91% | 6.89% |
| Sharpe | 0.52 | 0.3 |
| Prob. Sharpe Ratio | 87.6% | 74.47% |
| Smart Sharpe | 0.5 | 0.29 |
| Sortino | 0.74 | 0.41 |
| Smart Sortino | 0.72 | 0.4 |
| Sortino/√2 | 0.53 | 0.29 |
| Smart Sortino/√2 | 0.51 | 0.28 |
| Omega | 1.14 | 1.11 |
| Max Drawdown | -24.5% | -18.03% |
| Max DD Date | 2022-10-12 | 2025-04-08 |
| Max DD Period Start | 2022-01-04 | 2022-06-10 |
| Max DD Period End | 2023-12-12 | 2026-01-12 |
| Longest DD Days | 708 | 1313 |
| Volatility (ann.) | 17.19% | 11.8% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.49 | 0.38 |
| Skew | 0.33 | -0.4 |
| Kurtosis | 8.98 | 4.07 |
| Ulcer Performance Index | 8.86 | 3.94 |
| Risk-Adjusted Return | 11.91% | 6.89% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.8% | 0.54% |
| Avg. Loss | -0.81% | -0.59% |
| Win/Loss Ratio | 0.99 | 0.91 |
| Profit Ratio | 0.86 | 0.89 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.92% | 0.54% |
| Expected Yearly | 9.77% | 5.67% |
| Kelly Criterion | 6.44% | 0.46% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.19% |
| Expected Shortfall (cVaR) | -2.58% | -1.76% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.11 |
| Gain/Pain (1M) | 0.79 | 0.63 |
| Payoff Ratio | 0.99 | 0.91 |
| Profit Factor | 1.14 | 1.11 |
| Common Sense Ratio | 1.15 | 1.12 |
| CPC Index | 0.6 | 0.53 |
| Tail Ratio | 1.0 | 1.01 |
| Outlier Win Ratio | 3.4 | 3.34 |
| Outlier Loss Ratio | 3.8 | 3.31 |
| MTD | 1.47% | -2.18% |
| 3M | 1.46% | 3.97% |
| 6M | 6.94% | -6.03% |
| YTD | 13.33% | 18.86% |
| 1Y | 13.43% | 16.98% |
| 3Y (ann.) | 20.78% | 10.93% |
| 5Y (ann.) | 12.86% | 8.07% |
| 10Y (ann.) | 11.91% | 6.89% |
| All-time (ann.) | 11.91% | 6.89% |
| Best Day | 10.5% | 3.57% |
| Worst Day | -5.85% | -4.68% |
| Best Month | 10.51% | 12.0% |
| Worst Month | -9.24% | -7.75% |
| Best Year | 26.18% | 18.86% |
| Worst Year | -18.18% | -5.63% |
| Avg. Drawdown | -1.94% | -3.03% |
| Avg. Drawdown Days | 21 | 83 |
| Recovery Factor | 2.58 | 2.03 |
| Ulcer Index | 0.08 | 0.1 |
| Serenity Index | 0.43 | 0.16 |
| Avg. Up Month | 3.91% | 2.56% |
| Avg. Down Month | -3.72% | -2.96% |
| Win Days | 53.48% | 52.49% |
| Win Month | 62.3% | 54.1% |
| Win Quarter | 71.43% | 42.86% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.04 |
| Alpha | - | 0.07 |
| Correlation | - | 6.45% |
| Treynor Ratio | - | 886.91% |
| Year | SPY | FAAR | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -1.59 | -0.92 | - |
| 2022 | -18.18 | 10.15 | -0.56 | + |
| 2023 | 26.18 | -5.63 | -0.21 | - |
| 2024 | 24.89 | 5.97 | 0.24 | - |
| 2025 | 17.72 | 8.07 | 0.46 | - |
| 2026 | 13.33 | 18.86 | 1.42 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-10 | 2026-01-12 | -18.03 | 1313 |
| 2026-05-19 | 2026-11-04 | -10.64 | 170 |
| 2021-11-10 | 2022-01-25 | -6.72 | 77 |
| 2022-03-09 | 2022-06-08 | -6.33 | 92 |
| 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 |
| 2022-02-14 | 2022-02-18 | -2.03 | 5 |
| 2022-02-24 | 2022-02-28 | -1.98 | 5 |
| 2026-04-07 | 2026-04-24 | -1.91 | 18 |