| Metric | SPY | FSLTX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 65.0% |
| Cumulative Return | 14.63% | 6.87% |
| CAGR﹪ | 18.88% | 8.78% |
| Sharpe | 1.11 | 2.26 |
| Prob. Sharpe Ratio | 83.81% | 95.92% |
| Smart Sharpe | 1.09 | 2.1 |
| Sortino | 1.68 | 3.15 |
| Smart Sortino | 1.65 | 2.93 |
| Sortino/√2 | 1.19 | 2.23 |
| Smart Sortino/√2 | 1.17 | 2.07 |
| Omega | 1.26 | 2.23 |
| Max Drawdown | -8.54% | -0.86% |
| Max DD Date | 2026-03-26 | 2026-07-15 |
| Max DD Period Start | 2026-01-28 | 2026-07-10 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 76 | 33 |
| Volatility (ann.) | 12.85% | 2.02% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 2.21 | 10.17 |
| Skew | 0.09 | -1.84 |
| Kurtosis | 0.89 | 12.15 |
| Ulcer Performance Index | 6.02 | 30.21 |
| Risk-Adjusted Return | 18.88% | 13.5% |
| Risk-Return Ratio | 0.09 | 0.26 |
| Avg. Return | 0.1% | 0.05% |
| Avg. Win | 0.71% | 0.14% |
| Avg. Loss | -0.78% | -0.12% |
| Win/Loss Ratio | 0.91 | 1.16 |
| Profit Ratio | 1.1 | 0.12 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.06% | 0.51% |
| Expected Yearly | 7.07% | 3.38% |
| Kelly Criterion | -1.52% | 45.14% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.18% |
| Expected Shortfall (cVaR) | -1.63% | -0.32% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 8 | 3 |
| Gain/Pain Ratio | 0.26 | 1.23 |
| Gain/Pain (1M) | 2.04 | - |
| Payoff Ratio | 0.91 | 1.16 |
| Profit Factor | 1.26 | 2.23 |
| Common Sense Ratio | 1.37 | 4.4 |
| CPC Index | 0.59 | 1.82 |
| Tail Ratio | 1.08 | 1.98 |
| Outlier Win Ratio | 2.71 | 3.99 |
| Outlier Loss Ratio | 2.91 | 2.1 |
| MTD | 1.08% | 0.96% |
| 3M | 3.82% | 1.63% |
| 6M | 18.01% | 3.64% |
| YTD | 11.76% | 4.99% |
| 1Y | 14.63% | 6.87% |
| 3Y (ann.) | 18.88% | 8.78% |
| 5Y (ann.) | 18.88% | 8.78% |
| 10Y (ann.) | 18.88% | 8.78% |
| All-time (ann.) | 18.88% | 8.78% |
| Best Day | 2.91% | 0.3% |
| Worst Day | -2.58% | -0.86% |
| Best Month | 9.47% | 0.96% |
| Worst Month | -3.14% | 0.1% |
| Best Year | 11.76% | 4.99% |
| Worst Year | 2.57% | 1.79% |
| Avg. Drawdown | -1.56% | -0.2% |
| Avg. Drawdown Days | 14 | 8 |
| Recovery Factor | 1.67 | 7.72 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 0.8 | 5.29 |
| Avg. Up Month | 2.39% | 0.62% |
| Avg. Down Month | - | - |
| Win Days | 51.76% | 70.54% |
| Win Month | 69.23% | 100.0% |
| Win Quarter | 60.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.03 |
| Alpha | - | 0.08 |
| Correlation | - | 19.63% |
| Treynor Ratio | - | 222.88% |
| Year | SPY | FSLTX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 2.57 | 1.79 | 0.70 | - |
| 2026 | 11.76 | 4.99 | 0.42 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-10 | 2026-08-11 | -0.86 | 33 |
| 2026-02-04 | 2026-02-25 | -0.40 | 22 |
| 2026-03-03 | 2026-03-17 | -0.39 | 15 |
| 2026-06-23 | 2026-07-02 | -0.38 | 10 |
| 2025-11-13 | 2025-11-24 | -0.29 | 12 |
| 2026-06-05 | 2026-06-16 | -0.29 | 12 |
| 2025-10-01 | 2025-10-07 | -0.20 | 7 |
| 2026-08-19 | 2026-08-26 | -0.19 | 8 |
| 2026-01-08 | 2026-01-22 | -0.10 | 15 |
| 2026-04-08 | 2026-04-10 | -0.10 | 3 |