| Metric | SPY | FSAWX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 71.0% |
| Cumulative Return | 4.78% | -0.18% |
| CAGR﹪ | 10.31% | -0.38% |
| Sharpe | 0.57 | -1.67 |
| Prob. Sharpe Ratio | 65.2% | 13.59% |
| Smart Sharpe | 0.55 | -1.64 |
| Sortino | 0.83 | -2.3 |
| Smart Sortino | 0.8 | -2.25 |
| Sortino/√2 | 0.59 | -1.63 |
| Smart Sortino/√2 | 0.56 | -1.59 |
| Omega | 1.15 | 0.97 |
| Max Drawdown | -4.49% | -2.99% |
| Max DD Date | 2026-06-10 | 2026-10-14 |
| Max DD Period Start | 2026-06-03 | 2026-08-04 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 93 |
| Volatility (ann.) | 12.48% | 2.29% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 2.29 | -0.13 |
| Skew | -0.1 | 0.77 |
| Kurtosis | 0.62 | 4.06 |
| Ulcer Performance Index | 2.82 | -0.15 |
| Risk-Adjusted Return | 10.31% | -0.53% |
| Risk-Return Ratio | 0.05 | -0.01 |
| Avg. Return | 0.1% | -0.0% |
| Avg. Win | 0.63% | 0.15% |
| Avg. Loss | -0.53% | -0.17% |
| Win/Loss Ratio | 1.17 | 0.92 |
| Profit Ratio | 1.23 | 0.28 |
| Expected Daily | 0.04% | -0.0% |
| Expected Monthly | 0.67% | -0.03% |
| Expected Yearly | 4.78% | -0.18% |
| Kelly Criterion | 5.86% | -3.32% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.24% |
| Expected Shortfall (cVaR) | -1.78% | -0.31% |
| Max Consecutive Wins | 4 | 3 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.15 | -0.03 |
| Gain/Pain (1M) | 2.46 | -0.09 |
| Payoff Ratio | 1.17 | 0.92 |
| Profit Factor | 1.15 | 0.97 |
| Common Sense Ratio | 1.45 | 0.97 |
| CPC Index | 0.66 | 0.45 |
| Tail Ratio | 1.26 | 1.0 |
| Outlier Win Ratio | 2.64 | 3.44 |
| Outlier Loss Ratio | 3.11 | 2.27 |
| MTD | 1.47% | 0.0% |
| 3M | 1.46% | -2.11% |
| 6M | 4.78% | -0.18% |
| YTD | 4.78% | -0.18% |
| 1Y | 4.78% | -0.18% |
| 3Y (ann.) | 10.31% | -0.38% |
| 5Y (ann.) | 10.31% | -0.38% |
| 10Y (ann.) | 10.31% | -0.38% |
| All-time (ann.) | 10.31% | -0.38% |
| Best Day | 1.8% | 0.71% |
| Worst Day | -2.58% | -0.36% |
| Best Month | 2.85% | 0.71% |
| Worst Month | -1.03% | -1.33% |
| Best Year | 4.78% | -0.18% |
| Worst Year | 4.78% | -0.18% |
| Avg. Drawdown | -1.61% | -0.52% |
| Avg. Drawdown Days | 19 | 13 |
| Recovery Factor | 1.12 | 0.06 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.67 | -0.01 |
| Avg. Up Month | 1.44% | 0.53% |
| Avg. Down Month | -0.62% | -0.71% |
| Win Days | 49.17% | 50.59% |
| Win Month | 57.14% | 50.0% |
| Win Quarter | 100.0% | 33.33% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.04 |
| Alpha | - | -0.01 |
| Correlation | - | 20.19% |
| Treynor Ratio | - | -4.82% |
| Year | SPY | FSAWX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 4.78 | -0.18 | -0.04 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-04 | 2026-11-04 | -2.99 | 93 |
| 2026-06-18 | 2026-06-26 | -0.62 | 9 |
| 2026-07-23 | 2026-07-31 | -0.26 | 9 |
| 2026-05-19 | 2026-05-20 | -0.18 | 2 |
| 2026-06-11 | 2026-06-11 | -0.18 | 1 |
| 2026-06-16 | 2026-06-16 | -0.18 | 1 |
| 2026-06-04 | 2026-06-05 | -0.09 | 2 |
| 2026-07-08 | 2026-07-08 | -0.09 | 1 |
| 2026-07-15 | 2026-07-16 | -0.09 | 2 |