| Metric | SPY | FSAWX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 64.0% |
| Cumulative Return | 53.18% | 25.27% |
| CAGR﹪ | 18.44% | 9.35% |
| Sharpe | 0.86 | 1.03 |
| Prob. Sharpe Ratio | 91.72% | 94.48% |
| Smart Sharpe | 0.8 | 0.65 |
| Sortino | 1.27 | 1.54 |
| Smart Sortino | 1.18 | 0.98 |
| Sortino/√2 | 0.9 | 1.09 |
| Smart Sortino/√2 | 0.84 | 0.69 |
| Omega | 1.24 | 1.88 |
| 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 | 90 |
| Volatility (ann.) | 15.73% | 4.21% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.91 | 3.03 |
| Skew | 1.06 | 0.48 |
| Kurtosis | 22.38 | 71.82 |
| Ulcer Performance Index | 12.66 | 70.53 |
| Risk-Adjusted Return | 18.44% | 14.62% |
| Risk-Return Ratio | 0.07 | 0.14 |
| Avg. Return | 0.07% | 0.06% |
| Avg. Win | 0.65% | 0.18% |
| Avg. Loss | -0.78% | -0.21% |
| Win/Loss Ratio | 0.83 | 0.84 |
| Profit Ratio | 0.76 | 0.13 |
| Expected Daily | 0.07% | 0.04% |
| Expected Monthly | 1.16% | 0.61% |
| Expected Yearly | 11.25% | 5.8% |
| Kelly Criterion | 3.37% | 27.34% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.56% | -0.4% |
| Expected Shortfall (cVaR) | -2.34% | -0.93% |
| Max Consecutive Wins | 11 | 7 |
| Max Consecutive Losses | 8 | 3 |
| Gain/Pain Ratio | 0.24 | 0.88 |
| Gain/Pain (1M) | 1.47 | 9.9 |
| Payoff Ratio | 0.83 | 0.84 |
| Profit Factor | 1.24 | 1.88 |
| Common Sense Ratio | 1.14 | 2.85 |
| CPC Index | 0.58 | 1.05 |
| Tail Ratio | 0.91 | 1.52 |
| Outlier Win Ratio | 3.43 | 7.15 |
| Outlier Loss Ratio | 3.75 | 2.88 |
| MTD | 1.08% | -0.53% |
| 3M | 3.82% | -0.27% |
| 6M | 18.52% | 2.75% |
| YTD | 13.12% | 4.16% |
| 1Y | 8.03% | 4.44% |
| 3Y (ann.) | 22.06% | 9.81% |
| 5Y (ann.) | 18.44% | 9.35% |
| 10Y (ann.) | 18.44% | 9.35% |
| All-time (ann.) | 18.44% | 9.35% |
| Best Day | 10.5% | 3.28% |
| Worst Day | -5.85% | -3.08% |
| Best Month | 9.13% | 1.92% |
| Worst Month | -7.26% | -0.86% |
| Best Year | 24.29% | 10.03% |
| Worst Year | 1.45% | 1.31% |
| Avg. Drawdown | -1.94% | -0.37% |
| Avg. Drawdown Days | 19 | 9 |
| Recovery Factor | 2.26 | 7.38 |
| Ulcer Index | 0.04 | 0.0 |
| Serenity Index | 0.95 | 16.87 |
| Avg. Up Month | 3.41% | 0.87% |
| Avg. Down Month | -3.2% | -0.35% |
| Win Days | 56.06% | 66.83% |
| Win Month | 64.86% | 83.33% |
| Win Quarter | 69.23% | 84.62% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.01 |
| Alpha | - | 0.09 |
| Correlation | - | 2.47% |
| Treynor Ratio | - | 3816.61% |
| 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 | 13.12 | 4.16 | 0.32 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-04-01 | 2025-04-04 | -3.08 | 4 |
| 2025-04-09 | 2025-04-22 | -2.14 | 14 |
| 2026-08-06 | 2026-09-22 | -1.32 | 48 |
| 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 |