| Metric | SPY | FLSP |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 14.39% | 11.55% |
| CAGR﹪ | 14.51% | 11.65% |
| Sharpe | 0.83 | 0.85 |
| Prob. Sharpe Ratio | 79.61% | 79.99% |
| Smart Sharpe | 0.82 | 0.64 |
| Sortino | 1.22 | 1.23 |
| Smart Sortino | 1.2 | 0.93 |
| Sortino/√2 | 0.86 | 0.87 |
| Smart Sortino/√2 | 0.85 | 0.66 |
| Omega | 1.2 | 1.22 |
| Max Drawdown | -8.88% | -4.03% |
| Max DD Date | 2026-03-30 | 2026-03-23 |
| Max DD Period Start | 2026-01-28 | 2026-03-04 |
| Max DD Period End | 2026-04-13 | 2026-07-22 |
| Longest DD Days | 76 | 141 |
| Volatility (ann.) | 12.86% | 9.16% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 1.63 | 2.89 |
| Skew | -0.02 | -0.13 |
| Kurtosis | 0.78 | 0.12 |
| Ulcer Performance Index | 6.68 | 8.41 |
| Risk-Adjusted Return | 14.51% | 12.01% |
| Risk-Return Ratio | 0.07 | 0.08 |
| Avg. Return | 0.04% | 0.05% |
| Avg. Win | 0.62% | 0.52% |
| Avg. Loss | -0.54% | -0.51% |
| Win/Loss Ratio | 1.16 | 1.01 |
| Profit Ratio | 1.02 | 0.88 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.04% | 0.84% |
| Expected Yearly | 6.95% | 5.62% |
| Kelly Criterion | 10.5% | 5.53% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.9% |
| Expected Shortfall (cVaR) | -1.66% | -1.2% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.2 | 0.22 |
| Gain/Pain (1M) | 1.83 | 5.9 |
| Payoff Ratio | 1.16 | 1.01 |
| Profit Factor | 1.2 | 1.22 |
| Common Sense Ratio | 1.19 | 1.25 |
| CPC Index | 0.72 | 0.65 |
| Tail Ratio | 0.99 | 1.03 |
| Outlier Win Ratio | 2.84 | 3.15 |
| Outlier Loss Ratio | 3.01 | 3.07 |
| MTD | 1.47% | 0.14% |
| 3M | 1.46% | 3.78% |
| 6M | 6.94% | 7.3% |
| YTD | 13.33% | 8.18% |
| 1Y | 14.39% | 11.55% |
| 3Y (ann.) | 14.51% | 11.65% |
| 5Y (ann.) | 14.51% | 11.65% |
| 10Y (ann.) | 14.51% | 11.65% |
| All-time (ann.) | 14.51% | 11.65% |
| Best Day | 2.91% | 1.64% |
| Worst Day | -2.58% | -1.65% |
| Best Month | 10.51% | 2.37% |
| Worst Month | -4.94% | -1.63% |
| Best Year | 13.33% | 8.18% |
| Worst Year | 0.94% | 3.12% |
| Avg. Drawdown | -1.74% | -1.07% |
| Avg. Drawdown Days | 14 | 13 |
| Recovery Factor | 1.61 | 2.82 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 1.57 |
| Avg. Up Month | 1.53% | 1.06% |
| Avg. Down Month | -4.94% | -1.63% |
| Win Days | 52.0% | 52.48% |
| Win Month | 61.54% | 76.92% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.01 |
| Alpha | - | 0.11 |
| Correlation | - | 1.52% |
| Treynor Ratio | - | 1066.11% |
| Year | SPY | FLSP | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 3.12 | 3.33 | + |
| 2026 | 13.33 | 8.18 | 0.61 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-04 | 2026-07-22 | -4.03 | 141 |
| 2026-09-04 | 2026-09-15 | -1.98 | 12 |
| 2026-01-30 | 2026-02-10 | -1.94 | 12 |
| 2025-11-20 | 2025-12-10 | -1.68 | 21 |
| 2026-02-12 | 2026-02-18 | -1.50 | 7 |
| 2026-01-15 | 2026-01-26 | -1.47 | 12 |
| 2026-09-17 | 2026-10-12 | -1.45 | 26 |
| 2025-12-29 | 2026-01-12 | -1.44 | 15 |
| 2026-08-03 | 2026-08-07 | -1.38 | 5 |
| 2026-08-19 | 2026-09-01 | -1.37 | 14 |