| Metric | SPY | FSAOX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 69.0% |
| Cumulative Return | 19.3% | 9.08% |
| CAGR﹪ | 21.03% | 9.85% |
| Sharpe | 1.25 | 2.8 |
| Prob. Sharpe Ratio | 88.38% | 99.46% |
| Smart Sharpe | 1.25 | 2.48 |
| Sortino | 1.85 | 4.29 |
| Smart Sortino | 1.85 | 3.79 |
| Sortino/√2 | 1.31 | 3.04 |
| Smart Sortino/√2 | 1.31 | 2.68 |
| Omega | 1.3 | 2.38 |
| 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.) | 12.62% | 1.9% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 2.83 | 9.28 |
| Skew | -0.11 | -0.58 |
| Kurtosis | 1.36 | 2.82 |
| Ulcer Performance Index | 8.9 | 40.41 |
| Risk-Adjusted Return | 21.03% | 14.28% |
| Risk-Return Ratio | 0.1 | 0.31 |
| Avg. Return | 0.08% | 0.05% |
| Avg. Win | 0.67% | 0.15% |
| Avg. Loss | -0.77% | -0.13% |
| Win/Loss Ratio | 0.87 | 1.08 |
| Profit Ratio | 1.04 | 0.14 |
| Expected Daily | 0.08% | 0.04% |
| Expected Monthly | 1.37% | 0.67% |
| Expected Yearly | 9.23% | 4.44% |
| Kelly Criterion | -1.39% | 44.26% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.16% |
| Expected Shortfall (cVaR) | -1.66% | -0.23% |
| Max Consecutive Wins | 11 | 6 |
| Max Consecutive Losses | 8 | 5 |
| Gain/Pain Ratio | 0.3 | 1.38 |
| Gain/Pain (1M) | 3.71 | 22.65 |
| Payoff Ratio | 0.87 | 1.08 |
| Profit Factor | 1.3 | 2.38 |
| Common Sense Ratio | 1.46 | 2.46 |
| CPC Index | 0.6 | 1.82 |
| Tail Ratio | 1.12 | 1.03 |
| Outlier Win Ratio | 2.76 | 3.64 |
| Outlier Loss Ratio | 3.44 | 1.85 |
| MTD | 1.08% | 0.94% |
| 3M | 3.82% | 1.7% |
| 6M | 18.52% | 3.97% |
| YTD | 12.21% | 5.1% |
| 1Y | 15.63% | 7.91% |
| 3Y (ann.) | 21.03% | 9.85% |
| 5Y (ann.) | 21.03% | 9.85% |
| 10Y (ann.) | 21.03% | 9.85% |
| All-time (ann.) | 21.03% | 9.85% |
| Best Day | 2.91% | 0.39% |
| Worst Day | -2.7% | -0.58% |
| Best Month | 8.48% | 1.48% |
| Worst Month | -3.14% | -0.39% |
| Best Year | 12.21% | 5.1% |
| Worst Year | 6.32% | 3.79% |
| Avg. Drawdown | -1.54% | -0.21% |
| Avg. Drawdown Days | 14 | 7 |
| Recovery Factor | 2.47 | 8.2 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 1.25 | 6.46 |
| Avg. Up Month | 2.34% | 0.83% |
| Avg. Down Month | -0.97% | -0.39% |
| Win Days | 52.79% | 71.07% |
| 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 | - | 34.16% |
| Treynor Ratio | - | 176.37% |
| Year | SPY | FSAOX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 6.32 | 3.79 | 0.60 | - |
| 2026 | 12.21 | 5.10 | 0.42 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-03 | 2026-04-07 | -1.06 | 36 |
| 2026-06-23 | 2026-07-22 | -0.57 | 30 |
| 2026-02-04 | 2026-02-25 | -0.39 | 22 |
| 2025-11-13 | 2025-11-26 | -0.38 | 14 |
| 2026-08-03 | 2026-08-11 | -0.38 | 9 |
| 2026-07-24 | 2026-07-30 | -0.38 | 7 |
| 2026-01-20 | 2026-01-22 | -0.20 | 3 |
| 2025-10-10 | 2025-10-14 | -0.19 | 5 |
| 2026-04-20 | 2026-04-21 | -0.19 | 2 |
| 2026-05-07 | 2026-05-29 | -0.19 | 23 |