| Metric | SPY | FLSP |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 18.6% | 7.54% |
| CAGR﹪ | 40.67% | 15.64% |
| Sharpe | 2.32 | 1.37 |
| Prob. Sharpe Ratio | 95.04% | 83.32% |
| Smart Sharpe | 2.3 | 1.05 |
| Sortino | 3.78 | 2.12 |
| Smart Sortino | 3.75 | 1.63 |
| Sortino/√2 | 2.67 | 1.5 |
| Smart Sortino/√2 | 2.65 | 1.15 |
| Omega | 1.54 | 1.35 |
| Max Drawdown | -4.49% | -2.35% |
| Max DD Date | 2026-06-10 | 2026-05-06 |
| Max DD Period Start | 2026-06-03 | 2026-04-10 |
| Max DD Period End | 2026-07-31 | 2026-06-04 |
| Longest DD Days | 59 | 56 |
| Volatility (ann.) | 13.55% | 8.23% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 9.05 | 6.67 |
| Skew | 0.1 | 0.08 |
| Kurtosis | 1.12 | 0.46 |
| Ulcer Performance Index | 11.86 | 8.37 |
| Risk-Adjusted Return | 40.67% | 16.12% |
| Risk-Return Ratio | 0.16 | 0.11 |
| Avg. Return | 0.11% | 0.06% |
| Avg. Win | 0.67% | 0.43% |
| Avg. Loss | -0.32% | -0.43% |
| Win/Loss Ratio | 2.11 | 1.0 |
| Profit Ratio | 1.12 | 0.92 |
| Expected Daily | 0.14% | 0.06% |
| Expected Monthly | 2.47% | 1.04% |
| Expected Yearly | 18.6% | 7.54% |
| Kelly Criterion | 32.14% | 5.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.79% |
| Expected Shortfall (cVaR) | -1.77% | -1.06% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.54 | 0.35 |
| Gain/Pain (1M) | 10.92 | 21.66 |
| Payoff Ratio | 2.11 | 1.0 |
| Profit Factor | 1.54 | 1.35 |
| Common Sense Ratio | 2.01 | 1.58 |
| CPC Index | 1.75 | 0.71 |
| Tail Ratio | 1.3 | 1.18 |
| Outlier Win Ratio | 3.21 | 3.31 |
| Outlier Loss Ratio | 3.16 | 3.32 |
| MTD | 1.08% | 1.34% |
| 3M | 3.82% | 3.54% |
| 6M | 18.6% | 7.54% |
| YTD | 18.6% | 7.54% |
| 1Y | 18.6% | 7.54% |
| 3Y (ann.) | 40.67% | 15.64% |
| 5Y (ann.) | 40.67% | 15.64% |
| 10Y (ann.) | 40.67% | 15.64% |
| All-time (ann.) | 40.67% | 15.64% |
| Best Day | 2.91% | 1.51% |
| Worst Day | -2.58% | -1.4% |
| Best Month | 10.51% | 2.24% |
| Worst Month | -1.03% | -0.36% |
| Best Year | 18.6% | 7.54% |
| Worst Year | 18.6% | 7.54% |
| Avg. Drawdown | -1.13% | -0.9% |
| Avg. Drawdown Days | 9 | 9 |
| Recovery Factor | 3.9 | 3.17 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 2.75 | 2.15 |
| Avg. Up Month | 2.12% | 1.37% |
| Avg. Down Month | - | - |
| Win Days | 53.97% | 52.89% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.09 |
| Alpha | - | 0.18 |
| Correlation | - | -15.21% |
| Treynor Ratio | - | -81.59% |
| Year | SPY | FLSP | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 7.54 | 0.41 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-04-10 | 2026-06-04 | -2.35 | 56 |
| 2026-06-18 | 2026-07-10 | -2.09 | 23 |
| 2026-09-04 | 2026-09-15 | -1.98 | 12 |
| 2026-08-03 | 2026-08-07 | -1.38 | 5 |
| 2026-08-19 | 2026-09-01 | -1.37 | 14 |
| 2026-09-17 | 2026-09-22 | -0.83 | 6 |
| 2026-07-30 | 2026-07-30 | -0.82 | 1 |
| 2026-07-14 | 2026-07-16 | -0.61 | 3 |
| 2026-03-30 | 2026-03-30 | -0.44 | 1 |
| 2026-04-02 | 2026-04-07 | -0.44 | 6 |