| Metric | SPY | FLSP |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 74.99% | 51.51% |
| CAGR﹪ | 11.91% | 8.72% |
| Sharpe | 0.52 | 0.4 |
| Prob. Sharpe Ratio | 87.6% | 81.64% |
| Smart Sharpe | 0.5 | 0.29 |
| Sortino | 0.74 | 0.59 |
| Smart Sortino | 0.72 | 0.42 |
| Sortino/√2 | 0.53 | 0.42 |
| Smart Sortino/√2 | 0.51 | 0.3 |
| Omega | 1.14 | 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.) | 17.19% | 13.36% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.49 | 0.92 |
| Skew | 0.33 | 0.28 |
| Kurtosis | 8.98 | 10.68 |
| Ulcer Performance Index | 8.86 | 17.27 |
| Risk-Adjusted Return | 11.91% | 8.8% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.05% | 0.04% |
| Avg. Win | 0.77% | 0.56% |
| Avg. Loss | -0.84% | -0.6% |
| Win/Loss Ratio | 0.92 | 0.94 |
| Profit Ratio | 0.86 | 0.9 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.92% | 0.68% |
| Expected Yearly | 9.77% | 7.17% |
| Kelly Criterion | 2.86% | 1.73% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.35% |
| Expected Shortfall (cVaR) | -2.58% | -2.28% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.14 | 0.14 |
| Gain/Pain (1M) | 0.79 | 1.43 |
| Payoff Ratio | 0.92 | 0.94 |
| Profit Factor | 1.14 | 1.14 |
| Common Sense Ratio | 1.15 | 1.14 |
| CPC Index | 0.56 | 0.56 |
| Tail Ratio | 1.0 | 1.0 |
| Outlier Win Ratio | 3.4 | 4.06 |
| Outlier Loss Ratio | 3.8 | 3.95 |
| MTD | 1.47% | 0.14% |
| 3M | 1.46% | 3.78% |
| 6M | 6.94% | 7.3% |
| YTD | 13.33% | 8.18% |
| 1Y | 13.43% | 11.34% |
| 3Y (ann.) | 20.78% | 11.25% |
| 5Y (ann.) | 12.86% | 8.17% |
| 10Y (ann.) | 11.91% | 8.72% |
| All-time (ann.) | 11.91% | 8.72% |
| 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 | -1.94% | -1.61% |
| Avg. Drawdown Days | 21 | 25 |
| Recovery Factor | 2.58 | 4.83 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 0.43 | 2.07 |
| Avg. Up Month | 3.1% | 1.94% |
| Avg. Down Month | -3.83% | -1.88% |
| Win Days | 53.48% | 52.31% |
| Win Month | 62.3% | 67.21% |
| Win Quarter | 71.43% | 76.19% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.06 |
| Alpha | - | 0.09 |
| Correlation | - | 7.3% |
| Treynor Ratio | - | 908.2% |
| Year | SPY | FLSP | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 4.84 | 2.80 | + |
| 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 | 13.33 | 8.18 | 0.61 | - |
| 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 |