| Metric | SPY | FSAWX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 64.0% |
| Cumulative Return | 51.88% | 24.16% |
| CAGR﹪ | 17.13% | 8.53% |
| Sharpe | 0.8 | 0.88 |
| Prob. Sharpe Ratio | 90.71% | 92.18% |
| Smart Sharpe | 0.75 | 0.57 |
| Sortino | 1.18 | 1.32 |
| Smart Sortino | 1.11 | 0.85 |
| Sortino/√2 | 0.83 | 0.93 |
| Smart Sortino/√2 | 0.78 | 0.6 |
| Omega | 1.23 | 1.78 |
| Max Drawdown | -20.21% | -3.08% |
| Max DD Date | 2025-04-08 | 2025-04-04 |
| Max DD Period Start | 2025-02-20 | 2025-04-01 |
| Max DD Period End | 2025-09-04 | 2025-04-04 |
| Longest DD Days | 206 | 91 |
| Volatility (ann.) | 15.55% | 4.15% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.85 | 2.77 |
| Skew | 1.05 | 0.49 |
| Kurtosis | 22.38 | 72.57 |
| Ulcer Performance Index | 12.61 | 40.81 |
| Risk-Adjusted Return | 17.13% | 13.33% |
| Risk-Return Ratio | 0.07 | 0.13 |
| Avg. Return | 0.08% | 0.05% |
| Avg. Win | 0.64% | 0.17% |
| Avg. Loss | -0.72% | -0.21% |
| Win/Loss Ratio | 0.88 | 0.83 |
| Profit Ratio | 0.78 | 0.14 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.08% | 0.56% |
| Expected Yearly | 11.01% | 5.56% |
| Kelly Criterion | 5.56% | 24.56% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.54% | -0.4% |
| Expected Shortfall (cVaR) | -2.29% | -0.93% |
| Max Consecutive Wins | 11 | 7 |
| Max Consecutive Losses | 8 | 4 |
| Gain/Pain Ratio | 0.23 | 0.78 |
| Gain/Pain (1M) | 1.4 | 6.86 |
| Payoff Ratio | 0.88 | 0.83 |
| Profit Factor | 1.23 | 1.78 |
| Common Sense Ratio | 1.1 | 2.67 |
| CPC Index | 0.6 | 0.97 |
| Tail Ratio | 0.89 | 1.5 |
| Outlier Win Ratio | 3.35 | 7.05 |
| Outlier Loss Ratio | 3.68 | 2.88 |
| MTD | 1.47% | 0.0% |
| 3M | 1.46% | -2.11% |
| 6M | 5.62% | 0.09% |
| YTD | 12.16% | 3.23% |
| 1Y | 8.89% | 2.7% |
| 3Y (ann.) | 17.29% | 9.14% |
| 5Y (ann.) | 17.13% | 8.53% |
| 10Y (ann.) | 17.13% | 8.53% |
| All-time (ann.) | 17.13% | 8.53% |
| Best Day | 10.5% | 3.28% |
| Worst Day | -5.85% | -3.08% |
| Best Month | 9.13% | 1.92% |
| Worst Month | -7.26% | -1.33% |
| Best Year | 24.29% | 10.03% |
| Worst Year | 1.45% | 1.31% |
| Avg. Drawdown | -1.97% | -0.4% |
| Avg. Drawdown Days | 19 | 10 |
| Recovery Factor | 2.23 | 7.09 |
| Ulcer Index | 0.04 | 0.01 |
| Serenity Index | 0.95 | 4.78 |
| Avg. Up Month | 3.41% | 0.87% |
| Avg. Down Month | -2.17% | -0.5% |
| Win Days | 55.71% | 65.72% |
| Win Month | 61.54% | 81.08% |
| Win Quarter | 71.43% | 78.57% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.01 |
| Alpha | - | 0.08 |
| Correlation | - | 2.96% |
| Treynor Ratio | - | 3053.88% |
| Year | SPY | FSAWX | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 7.38 | 1.31 | 0.18 | - |
| 2024 | 24.29 | 10.03 | 0.41 | - |
| 2025 | 1.45 | 7.89 | 5.43 | + |
| 2026 | 12.16 | 3.23 | 0.27 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-04-01 | 2025-04-04 | -3.08 | 4 |
| 2026-08-06 | 2026-11-04 | -2.99 | 91 |
| 2025-04-09 | 2025-04-22 | -2.14 | 14 |
| 2025-10-30 | 2026-01-27 | -1.20 | 90 |
| 2025-04-28 | 2025-05-08 | -1.01 | 11 |
| 2025-02-18 | 2025-02-26 | -0.93 | 9 |
| 2025-05-16 | 2025-07-31 | -0.82 | 77 |
| 2025-02-28 | 2025-02-28 | -0.74 | 1 |
| 2023-10-19 | 2023-11-08 | -0.70 | 21 |
| 2025-03-25 | 2025-03-28 | -0.65 | 4 |