| Metric | SPY | FSAOX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 69.0% |
| Cumulative Return | 15.72% | 7.8% |
| CAGR﹪ | 18.47% | 9.12% |
| Sharpe | 1.06 | 2.47 |
| Prob. Sharpe Ratio | 83.69% | 98.52% |
| Smart Sharpe | 1.06 | 2.21 |
| Sortino | 1.57 | 3.71 |
| Smart Sortino | 1.57 | 3.33 |
| Sortino/√2 | 1.11 | 2.62 |
| Smart Sortino/√2 | 1.11 | 2.35 |
| Omega | 1.26 | 2.23 |
| 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 | 36 |
| Volatility (ann.) | 12.92% | 1.92% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 2.48 | 8.58 |
| Skew | -0.09 | -0.59 |
| Kurtosis | 1.24 | 2.94 |
| Ulcer Performance Index | 7.0 | 33.57 |
| Risk-Adjusted Return | 18.47% | 13.22% |
| Risk-Return Ratio | 0.09 | 0.29 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.68% | 0.14% |
| Avg. Loss | -0.8% | -0.14% |
| Win/Loss Ratio | 0.86 | 1.04 |
| Profit Ratio | 1.07 | 0.14 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.13% | 0.58% |
| Expected Yearly | 7.57% | 3.83% |
| Kelly Criterion | -3.79% | 41.78% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.27% | -0.16% |
| Expected Shortfall (cVaR) | -1.78% | -0.23% |
| Max Consecutive Wins | 11 | 6 |
| Max Consecutive Losses | 8 | 5 |
| Gain/Pain Ratio | 0.26 | 1.23 |
| Gain/Pain (1M) | 3.09 | 19.59 |
| Payoff Ratio | 0.86 | 1.04 |
| Profit Factor | 1.26 | 2.23 |
| Common Sense Ratio | 1.41 | 2.29 |
| CPC Index | 0.56 | 1.64 |
| Tail Ratio | 1.12 | 1.03 |
| Outlier Win Ratio | 2.72 | 3.7 |
| Outlier Loss Ratio | 3.46 | 1.93 |
| MTD | 1.08% | 0.94% |
| 3M | 3.82% | 1.7% |
| 6M | 18.52% | 3.97% |
| YTD | 12.21% | 5.1% |
| 1Y | 15.72% | 7.8% |
| 3Y (ann.) | 18.47% | 9.12% |
| 5Y (ann.) | 18.47% | 9.12% |
| 10Y (ann.) | 18.47% | 9.12% |
| All-time (ann.) | 18.47% | 9.12% |
| Best Day | 2.91% | 0.39% |
| Worst Day | -2.7% | -0.58% |
| Best Month | 8.48% | 1.28% |
| Worst Month | -3.14% | -0.39% |
| Best Year | 12.21% | 5.1% |
| Worst Year | 3.13% | 2.57% |
| Avg. Drawdown | -1.77% | -0.22% |
| Avg. Drawdown Days | 16 | 7 |
| Recovery Factor | 2.06 | 7.09 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 1.01 | 5.44 |
| Avg. Up Month | 2.03% | 0.71% |
| Avg. Down Month | -0.97% | -0.39% |
| Win Days | 52.07% | 70.27% |
| Win Month | 76.92% | 92.31% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.05 |
| Alpha | - | 0.08 |
| Correlation | - | 33.03% |
| Treynor Ratio | - | 159.42% |
| Year | SPY | FSAOX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 2.57 | 0.82 | - |
| 2026 | 12.21 | 5.10 | 0.42 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-03 | 2026-04-07 | -1.06 | 36 |
| 2026-06-23 | 2026-07-21 | -0.57 | 29 |
| 2026-02-04 | 2026-02-25 | -0.39 | 22 |
| 2025-11-13 | 2025-11-26 | -0.38 | 14 |
| 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 |
| 2025-10-10 | 2025-10-14 | -0.19 | 5 |
| 2026-04-20 | 2026-04-22 | -0.19 | 3 |
| 2026-05-07 | 2026-05-29 | -0.19 | 23 |