| Metric | SPY | FLSP |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 158.84% | 35.19% |
| CAGR﹪ | 15.27% | 4.61% |
| Sharpe | 0.66 | 0.19 |
| Prob. Sharpe Ratio | 95.56% | 68.44% |
| Smart Sharpe | 0.57 | 0.14 |
| Sortino | 0.93 | 0.26 |
| Smart Sortino | 0.8 | 0.19 |
| Sortino/√2 | 0.66 | 0.19 |
| Smart Sortino/√2 | 0.57 | 0.14 |
| Omega | 1.17 | 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.) | 20.06% | 13.36% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.45 | 0.2 |
| Skew | -0.26 | 0.18 |
| Kurtosis | 13.47 | 12.49 |
| Ulcer Performance Index | 19.13 | 4.27 |
| Risk-Adjusted Return | 15.27% | 4.65% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.84% | 0.54% |
| Avg. Loss | -0.91% | -0.61% |
| Win/Loss Ratio | 0.92 | 0.89 |
| Profit Ratio | 0.79 | 0.86 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.17% | 0.37% |
| Expected Yearly | 12.62% | 3.84% |
| Kelly Criterion | 6.06% | -1.54% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.01% | -1.36% |
| Expected Shortfall (cVaR) | -3.34% | -2.4% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.17 | 0.08 |
| Gain/Pain (1M) | 1.02 | 0.64 |
| Payoff Ratio | 0.92 | 0.89 |
| Profit Factor | 1.17 | 1.08 |
| Common Sense Ratio | 1.13 | 1.04 |
| CPC Index | 0.59 | 0.5 |
| Tail Ratio | 0.97 | 0.96 |
| Outlier Win Ratio | 3.74 | 4.2 |
| Outlier Loss Ratio | 4.06 | 4.01 |
| 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.) | 15.27% | 4.61% |
| All-time (ann.) | 15.27% | 4.61% |
| 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 | -1.9% | -1.77% |
| Avg. Drawdown Days | 17 | 42 |
| Recovery Factor | 3.22 | 1.56 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | 0.85 | 0.22 |
| Avg. Up Month | 3.15% | 1.82% |
| Avg. Down Month | -4.7% | -2.14% |
| Win Days | 54.9% | 52.25% |
| Win Month | 65.85% | 62.2% |
| Win Quarter | 75.0% | 67.86% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.09 |
| Alpha | - | 0.04 |
| Correlation | - | 13.69% |
| Treynor Ratio | - | 386.19% |
| 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 | 14.30 | 6.58 | 0.46 | - |
| 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 |