| Metric | SPY | FAAR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 204.97% | 70.31% |
| CAGR﹪ | 16.25% | 7.46% |
| Sharpe | 0.72 | 0.41 |
| Prob. Sharpe Ratio | 97.45% | 86.52% |
| Smart Sharpe | 0.63 | 0.35 |
| Sortino | 1.02 | 0.58 |
| Smart Sortino | 0.88 | 0.5 |
| Sortino/√2 | 0.72 | 0.41 |
| Smart Sortino/√2 | 0.62 | 0.35 |
| Omega | 1.18 | 1.13 |
| Max Drawdown | -33.72% | -18.03% |
| Max DD Date | 2020-03-23 | 2025-04-08 |
| Max DD Period Start | 2020-02-20 | 2022-06-10 |
| Max DD Period End | 2020-08-07 | 2026-01-12 |
| Longest DD Days | 708 | 1313 |
| Volatility (ann.) | 19.45% | 12.56% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.48 | 0.41 |
| Skew | -0.29 | -0.01 |
| Kurtosis | 13.94 | 22.87 |
| Ulcer Performance Index | 25.91 | 8.16 |
| Risk-Adjusted Return | 16.25% | 7.46% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.82% | 0.52% |
| Avg. Loss | -0.86% | -0.55% |
| Win/Loss Ratio | 0.95 | 0.94 |
| Profit Ratio | 0.78 | 0.91 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.25% | 0.59% |
| Expected Yearly | 14.96% | 6.88% |
| Kelly Criterion | 7.76% | 1.46% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.27% |
| Expected Shortfall (cVaR) | -3.2% | -2.04% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.13 |
| Gain/Pain (1M) | 1.15 | 0.84 |
| Payoff Ratio | 0.95 | 0.94 |
| Profit Factor | 1.18 | 1.13 |
| Common Sense Ratio | 1.13 | 1.16 |
| CPC Index | 0.62 | 0.55 |
| Tail Ratio | 0.96 | 1.03 |
| Outlier Win Ratio | 3.69 | 3.45 |
| Outlier Loss Ratio | 4.12 | 3.63 |
| 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.) | 16.25% | 7.46% |
| All-time (ann.) | 16.25% | 7.46% |
| Best Day | 10.5% | 8.5% |
| Worst Day | -10.94% | -7.77% |
| Best Month | 12.7% | 12.0% |
| Worst Month | -12.49% | -7.75% |
| Best Year | 28.73% | 18.86% |
| Worst Year | -18.18% | -5.63% |
| Avg. Drawdown | -1.79% | -2.96% |
| Avg. Drawdown Days | 16 | 76 |
| Recovery Factor | 3.72 | 3.28 |
| Ulcer Index | 0.08 | 0.09 |
| Serenity Index | 1.03 | 0.35 |
| Avg. Up Month | 4.18% | 2.37% |
| Avg. Down Month | -3.43% | -2.38% |
| Win Days | 55.15% | 52.24% |
| Win Month | 65.56% | 55.56% |
| Win Quarter | 77.42% | 54.84% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.03 |
| Alpha | - | 0.07 |
| Correlation | - | 4.53% |
| Treynor Ratio | - | 2405.8% |
| Year | SPY | FAAR | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | -1.35 | -0.08 | - |
| 2020 | 18.33 | 8.60 | 0.47 | - |
| 2021 | 28.73 | 12.34 | 0.43 | - |
| 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 |
| 2021-07-14 | 2022-02-04 | -12.20 | 206 |
| 2026-05-19 | 2026-11-04 | -10.64 | 170 |
| 2020-06-29 | 2021-01-05 | -7.84 | 191 |
| 2019-06-24 | 2020-06-25 | -6.81 | 368 |
| 2022-03-09 | 2022-06-08 | -6.33 | 92 |
| 2021-06-09 | 2021-07-12 | -5.87 | 34 |
| 2021-02-25 | 2021-04-28 | -3.63 | 63 |
| 2026-01-30 | 2026-02-18 | -2.88 | 20 |
| 2026-03-23 | 2026-04-01 | -2.70 | 10 |