| Metric | SPY | FLSP |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 156.64% | 37.22% |
| CAGR﹪ | 14.83% | 4.75% |
| Sharpe | 0.65 | 0.2 |
| Prob. Sharpe Ratio | 95.32% | 69.61% |
| Smart Sharpe | 0.56 | 0.14 |
| Sortino | 0.91 | 0.28 |
| Smart Sortino | 0.79 | 0.21 |
| Sortino/√2 | 0.64 | 0.2 |
| Smart Sortino/√2 | 0.56 | 0.15 |
| Omega | 1.16 | 1.08 |
| Max Drawdown | -33.72% | -23.08% |
| Max DD Date | 2020-03-23 | 2021-03-24 |
| Max DD Period Start | 2020-02-20 | 2020-02-19 |
| Max DD Period End | 2020-08-21 | 2023-10-20 |
| Longest DD Days | 708 | 1340 |
| Volatility (ann.) | 19.94% | 13.28% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.44 | 0.21 |
| Skew | -0.26 | 0.17 |
| Kurtosis | 13.59 | 12.58 |
| Ulcer Performance Index | 19.04 | 4.55 |
| Risk-Adjusted Return | 14.83% | 4.8% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.84% | 0.54% |
| Avg. Loss | -0.9% | -0.6% |
| Win/Loss Ratio | 0.93 | 0.89 |
| Profit Ratio | 0.79 | 0.86 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.13% | 0.38% |
| Expected Yearly | 12.5% | 4.03% |
| Kelly Criterion | 6.14% | -1.31% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.0% | -1.35% |
| Expected Shortfall (cVaR) | -3.3% | -2.38% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.16 | 0.08 |
| Gain/Pain (1M) | 1.0 | 0.66 |
| Payoff Ratio | 0.93 | 0.89 |
| Profit Factor | 1.16 | 1.08 |
| Common Sense Ratio | 1.12 | 1.04 |
| CPC Index | 0.59 | 0.51 |
| Tail Ratio | 0.96 | 0.96 |
| Outlier Win Ratio | 3.74 | 4.12 |
| Outlier Loss Ratio | 4.07 | 4.01 |
| 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.) | 14.83% | 4.75% |
| All-time (ann.) | 14.83% | 4.75% |
| Best Day | 10.5% | 6.07% |
| Worst Day | -10.94% | -5.29% |
| Best Month | 12.7% | 5.65% |
| Worst Month | -12.49% | -5.28% |
| Best Year | 28.73% | 15.54% |
| Worst Year | -18.18% | -15.56% |
| Avg. Drawdown | -1.91% | -1.74% |
| Avg. Drawdown Days | 17 | 41 |
| Recovery Factor | 3.2 | 1.63 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | 0.85 | 0.23 |
| Avg. Up Month | 3.16% | 1.79% |
| Avg. Down Month | -4.7% | -2.14% |
| Win Days | 54.78% | 52.18% |
| Win Month | 64.29% | 63.1% |
| Win Quarter | 75.86% | 68.97% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.09 |
| Alpha | - | 0.04 |
| Correlation | - | 13.56% |
| Treynor Ratio | - | 412.03% |
| Year | SPY | FLSP | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 0.20 | 0.90 | 4.52 | + |
| 2020 | 15.67 | -15.56 | -0.99 | - |
| 2021 | 28.73 | 11.44 | 0.40 | - |
| 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 |
|---|---|---|---|
| 2020-02-19 | 2023-10-20 | -23.08 | 1340 |
| 2023-10-24 | 2023-10-27 | -6.69 | 4 |
| 2025-04-02 | 2025-05-29 | -6.66 | 58 |
| 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 |
| 2025-06-02 | 2025-07-31 | -3.24 | 60 |
| 2025-03-03 | 2025-03-25 | -2.16 | 23 |
| 2026-09-04 | 2026-09-15 | -1.98 | 12 |