| Metric | SPY | FLSP |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 86.58% | 51.14% |
| CAGR﹪ | 13.36% | 8.66% |
| Sharpe | 0.59 | 0.4 |
| Prob. Sharpe Ratio | 90.85% | 81.69% |
| Smart Sharpe | 0.58 | 0.29 |
| Sortino | 0.86 | 0.59 |
| Smart Sortino | 0.83 | 0.42 |
| Sortino/√2 | 0.61 | 0.42 |
| Smart Sortino/√2 | 0.59 | 0.3 |
| Omega | 1.16 | 1.14 |
| Max Drawdown | -24.5% | -9.52% |
| Max DD Date | 2022-10-12 | 2022-11-30 |
| Max DD Period Start | 2022-01-04 | 2022-05-31 |
| Max DD Period End | 2023-12-12 | 2023-08-11 |
| Longest DD Days | 708 | 438 |
| Volatility (ann.) | 17.2% | 13.37% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.55 | 0.91 |
| Skew | 0.32 | 0.28 |
| Kurtosis | 8.95 | 10.67 |
| Ulcer Performance Index | 10.24 | 17.15 |
| Risk-Adjusted Return | 13.36% | 8.75% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.05% | 0.04% |
| Avg. Win | 0.77% | 0.55% |
| Avg. Loss | -0.85% | -0.61% |
| Win/Loss Ratio | 0.91 | 0.92 |
| Profit Ratio | 0.83 | 0.89 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.03% | 0.68% |
| Expected Yearly | 10.95% | 7.13% |
| Kelly Criterion | 3.28% | 0.56% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.35% |
| Expected Shortfall (cVaR) | -2.58% | -2.25% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.14 |
| Gain/Pain (1M) | 0.87 | 1.42 |
| Payoff Ratio | 0.91 | 0.92 |
| Profit Factor | 1.16 | 1.14 |
| Common Sense Ratio | 1.17 | 1.14 |
| CPC Index | 0.57 | 0.55 |
| Tail Ratio | 1.01 | 1.0 |
| Outlier Win Ratio | 3.41 | 4.08 |
| Outlier Loss Ratio | 3.77 | 3.95 |
| MTD | 1.08% | 1.34% |
| 3M | 3.82% | 3.54% |
| 6M | 19.85% | 6.74% |
| YTD | 14.3% | 6.58% |
| 1Y | 17.78% | 12.98% |
| 3Y (ann.) | 24.86% | 10.51% |
| 5Y (ann.) | 13.06% | 8.41% |
| 10Y (ann.) | 13.36% | 8.66% |
| All-time (ann.) | 13.36% | 8.66% |
| Best Day | 10.5% | 5.94% |
| Worst Day | -5.85% | -5.15% |
| Best Month | 10.51% | 5.65% |
| Worst Month | -9.24% | -5.2% |
| Best Year | 26.18% | 15.54% |
| Worst Year | -18.18% | 0.32% |
| Avg. Drawdown | -1.89% | -1.59% |
| Avg. Drawdown Days | 20 | 24 |
| Recovery Factor | 2.85 | 4.81 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 0.47 | 2.06 |
| Avg. Up Month | 3.22% | 1.97% |
| Avg. Down Month | -3.76% | -1.69% |
| Win Days | 54.04% | 52.47% |
| Win Month | 63.93% | 65.57% |
| Win Quarter | 66.67% | 71.43% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.06 |
| Alpha | - | 0.08 |
| Correlation | - | 7.29% |
| Treynor Ratio | - | 902.56% |
| Year | SPY | FLSP | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 6.15 | 0.81 | - |
| 2022 | -18.18 | 0.32 | -0.02 | + |
| 2023 | 26.18 | 3.14 | 0.12 | - |
| 2024 | 24.89 | 11.75 | 0.47 | - |
| 2025 | 17.72 | 15.54 | 0.88 | - |
| 2026 | 14.30 | 6.58 | 0.46 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-05-31 | 2023-08-11 | -9.52 | 438 |
| 2022-02-03 | 2022-03-03 | -7.35 | 29 |
| 2023-10-24 | 2023-10-27 | -6.69 | 4 |
| 2025-04-02 | 2025-05-29 | -6.66 | 58 |
| 2022-03-11 | 2022-05-26 | -6.48 | 77 |
| 2023-10-31 | 2024-02-01 | -6.08 | 94 |
| 2024-06-03 | 2025-02-26 | -4.65 | 269 |
| 2024-03-26 | 2024-05-30 | -4.19 | 66 |
| 2026-03-04 | 2026-07-22 | -4.03 | 141 |
| 2023-09-18 | 2023-10-20 | -3.26 | 33 |