| Metric | SPY | FSLTX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 69.0% |
| Cumulative Return | 4.78% | 3.09% |
| CAGR﹪ | 10.31% | 6.59% |
| Sharpe | 0.57 | 1.68 |
| Prob. Sharpe Ratio | 65.2% | 87.45% |
| Smart Sharpe | 0.55 | 1.58 |
| Sortino | 0.83 | 2.55 |
| Smart Sortino | 0.8 | 2.4 |
| Sortino/√2 | 0.59 | 1.81 |
| Smart Sortino/√2 | 0.56 | 1.7 |
| Omega | 1.15 | 1.86 |
| Max Drawdown | -4.49% | -0.57% |
| Max DD Date | 2026-06-10 | 2026-11-03 |
| Max DD Period Start | 2026-06-03 | 2026-10-29 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 26 |
| Volatility (ann.) | 12.48% | 1.73% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 2.29 | 11.66 |
| Skew | -0.1 | -0.14 |
| Kurtosis | 0.62 | -0.08 |
| Ulcer Performance Index | 2.82 | 16.61 |
| Risk-Adjusted Return | 10.31% | 9.56% |
| Risk-Return Ratio | 0.05 | 0.23 |
| Avg. Return | 0.02% | 0.04% |
| Avg. Win | 0.79% | 0.14% |
| Avg. Loss | -0.75% | -0.12% |
| Win/Loss Ratio | 1.05 | 1.14 |
| Profit Ratio | 1.23 | 0.21 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.67% | 0.44% |
| Expected Yearly | 4.78% | 3.09% |
| Kelly Criterion | 0.85% | 31.23% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -0.15% |
| Expected Shortfall (cVaR) | -1.78% | -0.2% |
| Max Consecutive Wins | 4 | 4 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.15 | 0.86 |
| Gain/Pain (1M) | 2.46 | 32.71 |
| Payoff Ratio | 1.05 | 1.14 |
| Profit Factor | 1.15 | 1.86 |
| Common Sense Ratio | 1.45 | 1.89 |
| CPC Index | 0.59 | 1.34 |
| Tail Ratio | 1.26 | 1.02 |
| Outlier Win Ratio | 2.64 | 3.69 |
| Outlier Loss Ratio | 3.11 | 1.62 |
| MTD | 1.47% | -0.0% |
| 3M | 1.46% | 1.73% |
| 6M | 4.78% | 3.09% |
| YTD | 4.78% | 3.09% |
| 1Y | 4.78% | 3.09% |
| 3Y (ann.) | 10.31% | 6.59% |
| 5Y (ann.) | 10.31% | 6.59% |
| 10Y (ann.) | 10.31% | 6.59% |
| All-time (ann.) | 10.31% | 6.59% |
| Best Day | 1.8% | 0.29% |
| Worst Day | -2.58% | -0.28% |
| Best Month | 2.85% | 0.96% |
| Worst Month | -1.03% | -0.09% |
| Best Year | 4.78% | 3.09% |
| Worst Year | 4.78% | 3.09% |
| Avg. Drawdown | -1.61% | -0.21% |
| Avg. Drawdown Days | 19 | 6 |
| Recovery Factor | 1.12 | 5.39 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 0.67 | 4.17 |
| Avg. Up Month | 1.86% | 0.67% |
| Avg. Down Month | -0.91% | -0.09% |
| Win Days | 49.17% | 63.41% |
| Win Month | 57.14% | 71.43% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.04 |
| Alpha | - | 0.06 |
| Correlation | - | 29.19% |
| Treynor Ratio | - | 76.52% |
| Year | SPY | FSLTX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 4.78 | 3.09 | 0.65 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-10-29 | 2026-11-04 | -0.57 | 7 |
| 2026-07-27 | 2026-08-07 | -0.48 | 12 |
| 2026-06-23 | 2026-07-06 | -0.38 | 14 |
| 2026-09-28 | 2026-10-23 | -0.38 | 26 |
| 2026-06-05 | 2026-06-16 | -0.29 | 12 |
| 2026-08-19 | 2026-08-21 | -0.19 | 3 |
| 2026-05-07 | 2026-05-12 | -0.10 | 6 |
| 2026-05-19 | 2026-05-27 | -0.10 | 9 |
| 2026-07-15 | 2026-07-16 | -0.10 | 2 |
| 2026-06-18 | 2026-06-18 | -0.10 | 1 |