| Metric | SPY | FLSP |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 17.87% | 12.25% |
| CAGR﹪ | 18.02% | 12.35% |
| Sharpe | 1.04 | 0.89 |
| Prob. Sharpe Ratio | 84.73% | 81.0% |
| Smart Sharpe | 1.01 | 0.67 |
| Sortino | 1.51 | 1.29 |
| Smart Sortino | 1.47 | 0.98 |
| Sortino/√2 | 1.07 | 0.91 |
| Smart Sortino/√2 | 1.04 | 0.69 |
| Omega | 1.25 | 1.24 |
| 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.) | 12.99% | 9.14% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 2.03 | 3.07 |
| Skew | -0.15 | -0.12 |
| Kurtosis | 1.05 | 0.2 |
| Ulcer Performance Index | 8.3 | 8.94 |
| Risk-Adjusted Return | 18.02% | 12.73% |
| Risk-Return Ratio | 0.08 | 0.08 |
| Avg. Return | 0.05% | 0.05% |
| Avg. Win | 0.59% | 0.5% |
| Avg. Loss | -0.6% | -0.52% |
| Win/Loss Ratio | 0.99 | 0.96 |
| Profit Ratio | 0.94 | 0.84 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.27% | 0.89% |
| Expected Yearly | 8.57% | 5.95% |
| Kelly Criterion | 6.81% | 4.37% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.9% |
| Expected Shortfall (cVaR) | -1.72% | -1.22% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.25 | 0.24 |
| Gain/Pain (1M) | 2.6 | 6.23 |
| Payoff Ratio | 0.99 | 0.96 |
| Profit Factor | 1.25 | 1.24 |
| Common Sense Ratio | 1.24 | 1.36 |
| CPC Index | 0.66 | 0.63 |
| Tail Ratio | 0.99 | 1.1 |
| Outlier Win Ratio | 2.88 | 3.21 |
| Outlier Loss Ratio | 3.19 | 3.07 |
| MTD | 1.08% | 1.34% |
| 3M | 3.82% | 3.54% |
| 6M | 19.85% | 6.74% |
| YTD | 14.3% | 6.58% |
| 1Y | 17.87% | 12.25% |
| 3Y (ann.) | 18.02% | 12.35% |
| 5Y (ann.) | 18.02% | 12.35% |
| 10Y (ann.) | 18.02% | 12.35% |
| All-time (ann.) | 18.02% | 12.35% |
| Best Day | 2.91% | 1.64% |
| Worst Day | -2.7% | -1.65% |
| Best Month | 10.51% | 2.37% |
| Worst Month | -4.94% | -1.63% |
| Best Year | 14.3% | 6.58% |
| Worst Year | 3.13% | 5.32% |
| Avg. Drawdown | -1.71% | -1.06% |
| Avg. Drawdown Days | 13 | 13 |
| Recovery Factor | 1.94 | 2.97 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 1.66 |
| Avg. Up Month | 1.37% | 1.21% |
| Avg. Down Month | -4.94% | -1.63% |
| Win Days | 53.6% | 53.11% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.03 |
| Alpha | - | 0.12 |
| Correlation | - | 4.51% |
| Treynor Ratio | - | 386.18% |
| Year | SPY | FLSP | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 5.32 | 1.70 | + |
| 2026 | 14.30 | 6.58 | 0.46 | - |
| 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 |
| 2025-10-01 | 2025-10-29 | -1.46 | 29 |
| 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 |