| Metric | SPY | FSAOX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 70.0% |
| Cumulative Return | 12.3% | 6.39% |
| CAGR﹪ | 14.42% | 7.45% |
| Sharpe | 0.83 | 1.8 |
| Prob. Sharpe Ratio | 77.89% | 94.72% |
| Smart Sharpe | 0.79 | 1.65 |
| Sortino | 1.23 | 2.64 |
| Smart Sortino | 1.18 | 2.41 |
| Sortino/√2 | 0.87 | 1.87 |
| Smart Sortino/√2 | 0.83 | 1.71 |
| Omega | 1.2 | 1.91 |
| Max Drawdown | -7.44% | -1.06% |
| Max DD Date | 2026-03-24 | 2026-03-13 |
| Max DD Period Start | 2026-01-13 | 2026-03-03 |
| Max DD Period End | 2026-04-09 | 2026-04-07 |
| Longest DD Days | 87 | 38 |
| Volatility (ann.) | 12.77% | 1.95% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 1.94 | 7.02 |
| Skew | 0.07 | -0.53 |
| Kurtosis | 0.93 | 2.64 |
| Ulcer Performance Index | 5.48 | 25.33 |
| Risk-Adjusted Return | 14.42% | 10.65% |
| Risk-Return Ratio | 0.07 | 0.23 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.69% | 0.14% |
| Avg. Loss | -0.71% | -0.14% |
| Win/Loss Ratio | 0.98 | 1.03 |
| Profit Ratio | 1.18 | 0.17 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 0.9% | 0.48% |
| Expected Yearly | 5.97% | 3.14% |
| Kelly Criterion | -0.73% | 34.36% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.27% | -0.17% |
| Expected Shortfall (cVaR) | -1.69% | -0.23% |
| Max Consecutive Wins | 11 | 6 |
| Max Consecutive Losses | 8 | 5 |
| Gain/Pain Ratio | 0.2 | 0.91 |
| Gain/Pain (1M) | 2.02 | 8.21 |
| Payoff Ratio | 0.98 | 1.03 |
| Profit Factor | 1.2 | 1.91 |
| Common Sense Ratio | 1.35 | 1.95 |
| CPC Index | 0.59 | 1.31 |
| Tail Ratio | 1.12 | 1.02 |
| Outlier Win Ratio | 2.68 | 3.74 |
| Outlier Loss Ratio | 3.11 | 2.06 |
| MTD | 1.47% | -0.09% |
| 3M | 1.46% | 1.23% |
| 6M | 5.62% | 2.6% |
| YTD | 11.26% | 4.93% |
| 1Y | 12.3% | 6.39% |
| 3Y (ann.) | 14.42% | 7.45% |
| 5Y (ann.) | 14.42% | 7.45% |
| 10Y (ann.) | 14.42% | 7.45% |
| All-time (ann.) | 14.42% | 7.45% |
| Best Day | 2.91% | 0.39% |
| Worst Day | -2.58% | -0.58% |
| Best Month | 8.48% | 1.28% |
| Worst Month | -3.14% | -0.39% |
| Best Year | 11.26% | 4.93% |
| Worst Year | 0.94% | 1.39% |
| Avg. Drawdown | -1.81% | -0.25% |
| Avg. Drawdown Days | 16 | 9 |
| Recovery Factor | 1.65 | 5.84 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 0.81 | 4.22 |
| Avg. Up Month | 2.43% | 0.75% |
| Avg. Down Month | -0.94% | -0.33% |
| Win Days | 50.23% | 66.67% |
| Win Month | 61.54% | 76.92% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.05 |
| Alpha | - | 0.06 |
| Correlation | - | 33.11% |
| Treynor Ratio | - | 126.63% |
| Year | SPY | FSAOX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.39 | 1.48 | + |
| 2026 | 11.26 | 4.93 | 0.44 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-03 | 2026-04-07 | -1.06 | 36 |
| 2026-09-28 | 2026-11-04 | -0.65 | 38 |
| 2026-02-04 | 2026-02-25 | -0.39 | 22 |
| 2025-11-13 | 2025-11-26 | -0.38 | 14 |
| 2026-06-23 | 2026-07-20 | -0.38 | 28 |
| 2026-07-24 | 2026-07-30 | -0.38 | 7 |
| 2026-08-03 | 2026-08-07 | -0.38 | 5 |
| 2026-01-20 | 2026-01-22 | -0.20 | 3 |
| 2026-04-20 | 2026-04-21 | -0.19 | 2 |
| 2026-05-07 | 2026-05-29 | -0.19 | 23 |