| Metric | SPY | FSAWX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 68.0% |
| Cumulative Return | 8.62% | 4.44% |
| CAGR﹪ | 12.2% | 6.23% |
| Sharpe | 0.67 | 0.95 |
| Prob. Sharpe Ratio | 71.42% | 78.81% |
| Smart Sharpe | 0.66 | 0.84 |
| Sortino | 1.0 | 1.39 |
| Smart Sortino | 0.98 | 1.24 |
| Sortino/√2 | 0.71 | 0.98 |
| Smart Sortino/√2 | 0.69 | 0.88 |
| Omega | 1.17 | 1.63 |
| Max Drawdown | -8.94% | -1.32% |
| Max DD Date | 2026-03-24 | 2026-09-18 |
| Max DD Period Start | 2025-10-16 | 2026-08-06 |
| Max DD Period End | 2026-04-15 | 2026-09-22 |
| Longest DD Days | 182 | 90 |
| Volatility (ann.) | 12.7% | 2.35% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 1.36 | 4.73 |
| Skew | 0.18 | -0.02 |
| Kurtosis | 1.12 | 4.78 |
| Ulcer Performance Index | 2.64 | 9.03 |
| Risk-Adjusted Return | 12.2% | 9.17% |
| Risk-Return Ratio | 0.06 | 0.16 |
| Avg. Return | 0.09% | 0.04% |
| Avg. Win | 0.7% | 0.16% |
| Avg. Loss | -0.75% | -0.18% |
| Win/Loss Ratio | 0.94 | 0.91 |
| Profit Ratio | 1.15 | 0.19 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 0.64% | 0.33% |
| Expected Yearly | 4.22% | 2.2% |
| Kelly Criterion | -2.66% | 21.35% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.27% | -0.22% |
| Expected Shortfall (cVaR) | -1.64% | -0.46% |
| Max Consecutive Wins | 11 | 6 |
| Max Consecutive Losses | 8 | 3 |
| Gain/Pain Ratio | 0.17 | 0.63 |
| Gain/Pain (1M) | 0.91 | 2.27 |
| Payoff Ratio | 0.94 | 0.91 |
| Profit Factor | 1.17 | 1.63 |
| Common Sense Ratio | 1.31 | 1.69 |
| CPC Index | 0.55 | 0.92 |
| Tail Ratio | 1.11 | 1.04 |
| Outlier Win Ratio | 2.97 | 4.74 |
| Outlier Loss Ratio | 2.81 | 3.42 |
| MTD | 1.08% | -0.53% |
| 3M | 3.82% | -0.27% |
| 6M | 18.52% | 2.75% |
| YTD | 13.12% | 4.16% |
| 1Y | 8.62% | 4.44% |
| 3Y (ann.) | 12.2% | 6.23% |
| 5Y (ann.) | 12.2% | 6.23% |
| 10Y (ann.) | 12.2% | 6.23% |
| All-time (ann.) | 12.2% | 6.23% |
| Best Day | 2.91% | 0.71% |
| Worst Day | -2.58% | -0.54% |
| Best Month | 8.48% | 1.47% |
| Worst Month | -3.62% | -0.86% |
| Best Year | 13.12% | 4.16% |
| Worst Year | -3.98% | 0.27% |
| Avg. Drawdown | -1.67% | -0.37% |
| Avg. Drawdown Days | 24 | 14 |
| Recovery Factor | 0.99 | 3.31 |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 0.31 | 1.22 |
| Avg. Up Month | 2.99% | 0.78% |
| Avg. Down Month | -3.62% | -0.86% |
| Win Days | 50.28% | 62.6% |
| Win Month | 53.85% | 75.0% |
| Win Quarter | 40.0% | 75.0% |
| Win Year | 50.0% | 100.0% |
| Beta | - | 0.05 |
| Alpha | - | 0.05 |
| Correlation | - | 28.42% |
| Treynor Ratio | - | 84.56% |
| Year | SPY | FSAWX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | -3.98 | 0.27 | -0.07 | + |
| 2026 | 13.12 | 4.16 | 0.32 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-06 | 2026-09-22 | -1.32 | 48 |
| 2025-10-30 | 2026-01-27 | -1.20 | 90 |
| 2026-06-18 | 2026-06-26 | -0.62 | 9 |
| 2026-03-03 | 2026-03-24 | -0.54 | 22 |
| 2026-07-23 | 2026-07-31 | -0.26 | 9 |
| 2026-05-19 | 2026-05-20 | -0.18 | 2 |
| 2026-06-11 | 2026-06-12 | -0.18 | 2 |
| 2026-06-16 | 2026-06-16 | -0.18 | 1 |
| 2026-08-04 | 2026-08-04 | -0.18 | 1 |
| 2025-10-16 | 2025-10-28 | -0.17 | 13 |