| Metric | SPY | FSLTX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 65.0% |
| Cumulative Return | 13.03% | 6.72% |
| CAGR﹪ | 16.09% | 8.24% |
| Sharpe | 0.94 | 2.42 |
| Prob. Sharpe Ratio | 80.27% | 98.45% |
| Smart Sharpe | 0.94 | 2.38 |
| Sortino | 1.4 | 3.82 |
| Smart Sortino | 1.4 | 3.75 |
| Sortino/√2 | 0.99 | 2.7 |
| Smart Sortino/√2 | 0.99 | 2.65 |
| Omega | 1.22 | 2.18 |
| Max Drawdown | -8.54% | -0.57% |
| Max DD Date | 2026-03-26 | 2026-11-03 |
| Max DD Period Start | 2026-01-28 | 2026-10-29 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 30 |
| Volatility (ann.) | 12.98% | 1.8% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 1.88 | 14.57 |
| Skew | 0.07 | -0.2 |
| Kurtosis | 0.79 | 0.89 |
| Ulcer Performance Index | 5.39 | 38.67 |
| Risk-Adjusted Return | 16.09% | 12.68% |
| Risk-Return Ratio | 0.08 | 0.28 |
| Avg. Return | 0.08% | 0.05% |
| Avg. Win | 0.75% | 0.14% |
| Avg. Loss | -0.74% | -0.13% |
| Win/Loss Ratio | 1.01 | 1.12 |
| Profit Ratio | 1.15 | 0.16 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 0.95% | 0.5% |
| Expected Yearly | 6.32% | 3.31% |
| Kelly Criterion | 2.08% | 37.8% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.16% |
| Expected Shortfall (cVaR) | -1.64% | -0.23% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 8 | 3 |
| Gain/Pain Ratio | 0.22 | 1.18 |
| Gain/Pain (1M) | 1.67 | 69.96 |
| Payoff Ratio | 1.01 | 1.12 |
| Profit Factor | 1.22 | 2.18 |
| Common Sense Ratio | 1.3 | 4.26 |
| CPC Index | 0.63 | 1.64 |
| Tail Ratio | 1.06 | 1.96 |
| Outlier Win Ratio | 2.63 | 4.05 |
| Outlier Loss Ratio | 3.05 | 2.21 |
| MTD | 1.47% | -0.0% |
| 3M | 1.46% | 1.73% |
| 6M | 5.24% | 3.29% |
| YTD | 10.81% | 5.77% |
| 1Y | 13.03% | 6.72% |
| 3Y (ann.) | 16.09% | 8.24% |
| 5Y (ann.) | 16.09% | 8.24% |
| 10Y (ann.) | 16.09% | 8.24% |
| All-time (ann.) | 16.09% | 8.24% |
| Best Day | 2.91% | 0.3% |
| Worst Day | -2.58% | -0.39% |
| Best Month | 9.47% | 0.96% |
| Worst Month | -3.14% | -0.09% |
| Best Year | 10.81% | 5.77% |
| Worst Year | 2.01% | 0.9% |
| Avg. Drawdown | -1.82% | -0.2% |
| Avg. Drawdown Days | 17 | 8 |
| Recovery Factor | 1.52 | 11.53 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 0.74 | 10.2 |
| Avg. Up Month | 2.78% | 0.68% |
| Avg. Down Month | -0.91% | -0.09% |
| Win Days | 50.72% | 67.16% |
| Win Month | 61.54% | 84.62% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.04 |
| Alpha | - | 0.07 |
| Correlation | - | 28.03% |
| Treynor Ratio | - | 172.86% |
| Year | SPY | FSLTX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 2.01 | 0.90 | 0.45 | - |
| 2026 | 10.81 | 5.77 | 0.53 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-10-29 | 2026-11-04 | -0.57 | 7 |
| 2026-07-27 | 2026-08-07 | -0.48 | 12 |
| 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 |
| 2026-09-28 | 2026-10-27 | -0.38 | 30 |
| 2025-11-13 | 2025-11-24 | -0.29 | 12 |
| 2026-06-05 | 2026-06-15 | -0.29 | 11 |
| 2026-08-19 | 2026-08-26 | -0.19 | 8 |
| 2026-01-08 | 2026-01-22 | -0.10 | 15 |