| Metric | SPY | FSAOX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 69.0% |
| Cumulative Return | 18.52% | 3.97% |
| CAGR﹪ | 48.12% | 9.42% |
| Sharpe | 2.7 | 2.96 |
| Prob. Sharpe Ratio | 96.48% | 97.16% |
| Smart Sharpe | 2.66 | 2.55 |
| Sortino | 4.67 | 4.71 |
| Smart Sortino | 4.59 | 4.06 |
| Sortino/√2 | 3.3 | 3.33 |
| Smart Sortino/√2 | 3.25 | 2.87 |
| Omega | 1.65 | 2.29 |
| Max Drawdown | -4.49% | -0.57% |
| Max DD Date | 2026-06-10 | 2026-07-13 |
| Max DD Period Start | 2026-06-03 | 2026-06-23 |
| Max DD Period End | 2026-07-31 | 2026-07-22 |
| Longest DD Days | 59 | 30 |
| Volatility (ann.) | 13.57% | 1.85% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.15 | -0.15 |
| Calmar | 10.71 | 16.63 |
| Skew | 0.26 | -0.18 |
| Kurtosis | 1.19 | 0.51 |
| Ulcer Performance Index | 11.71 | 21.98 |
| Risk-Adjusted Return | 48.12% | 13.65% |
| Risk-Return Ratio | 0.19 | 0.31 |
| Avg. Return | 0.16% | 0.05% |
| Avg. Win | 0.78% | 0.15% |
| Avg. Loss | -0.54% | -0.12% |
| Win/Loss Ratio | 1.45 | 1.21 |
| Profit Ratio | 1.27 | 0.16 |
| Expected Daily | 0.16% | 0.04% |
| Expected Monthly | 2.46% | 0.56% |
| Expected Yearly | 18.52% | 3.97% |
| Kelly Criterion | 21.0% | 44.09% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.16% |
| Expected Shortfall (cVaR) | -1.68% | -0.22% |
| Max Consecutive Wins | 11 | 4 |
| Max Consecutive Losses | 4 | 2 |
| Gain/Pain Ratio | 0.65 | 1.29 |
| Gain/Pain (1M) | 19.17 | - |
| Payoff Ratio | 1.45 | 1.21 |
| Profit Factor | 1.65 | 2.29 |
| Common Sense Ratio | 2.41 | 2.33 |
| CPC Index | 1.27 | 1.93 |
| Tail Ratio | 1.46 | 1.02 |
| Outlier Win Ratio | 3.26 | 3.53 |
| Outlier Loss Ratio | 2.98 | 2.09 |
| MTD | 1.08% | 0.94% |
| 3M | 3.82% | 1.7% |
| 6M | 18.52% | 3.97% |
| YTD | 18.52% | 3.97% |
| 1Y | 18.52% | 3.97% |
| 3Y (ann.) | 48.12% | 9.42% |
| 5Y (ann.) | 48.12% | 9.42% |
| 10Y (ann.) | 48.12% | 9.42% |
| All-time (ann.) | 48.12% | 9.42% |
| Best Day | 2.91% | 0.38% |
| Worst Day | -2.58% | -0.28% |
| Best Month | 8.48% | 0.97% |
| Worst Month | -1.03% | 0.19% |
| Best Year | 18.52% | 3.97% |
| Worst Year | 18.52% | 3.97% |
| Avg. Drawdown | -1.15% | -0.2% |
| Avg. Drawdown Days | 12 | 7 |
| Recovery Factor | 3.87 | 6.89 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 2.74 | 6.36 |
| Avg. Up Month | 3.08% | 0.57% |
| Avg. Down Month | - | - |
| Win Days | 53.21% | 69.33% |
| Win Month | 85.71% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.02 |
| Alpha | - | 0.08 |
| Correlation | - | 16.92% |
| Treynor Ratio | - | 172.05% |
| Year | SPY | FSAOX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.52 | 3.97 | 0.21 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-23 | 2026-07-22 | -0.57 | 30 |
| 2026-07-24 | 2026-07-30 | -0.38 | 7 |
| 2026-08-03 | 2026-08-07 | -0.38 | 5 |
| 2026-04-20 | 2026-04-21 | -0.19 | 2 |
| 2026-05-07 | 2026-05-29 | -0.19 | 23 |
| 2026-06-10 | 2026-06-11 | -0.19 | 2 |
| 2026-04-09 | 2026-04-15 | -0.10 | 7 |
| 2026-06-18 | 2026-06-18 | -0.09 | 1 |
| 2026-08-13 | 2026-08-14 | -0.09 | 2 |
| 2026-09-08 | 2026-09-08 | -0.09 | 1 |