| Metric | SPY | FSLTX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 67.0% |
| Cumulative Return | 18.01% | 3.64% |
| CAGR﹪ | 43.75% | 8.14% |
| Sharpe | 2.47 | 2.03 |
| Prob. Sharpe Ratio | 95.44% | 87.58% |
| Smart Sharpe | 2.28 | 1.83 |
| Sortino | 4.15 | 2.7 |
| Smart Sortino | 3.82 | 2.42 |
| Sortino/√2 | 2.93 | 1.91 |
| Smart Sortino/√2 | 2.7 | 1.71 |
| Omega | 1.58 | 2.06 |
| Max Drawdown | -4.49% | -0.86% |
| Max DD Date | 2026-06-10 | 2026-07-10 |
| Max DD Period Start | 2026-06-03 | 2026-07-10 |
| Max DD Period End | 2026-07-31 | 2026-08-11 |
| Longest DD Days | 59 | 33 |
| Volatility (ann.) | 13.62% | 2.11% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.14 | -0.14 |
| Calmar | 9.73 | 9.44 |
| Skew | 0.19 | -2.59 |
| Kurtosis | 1.17 | 16.9 |
| Ulcer Performance Index | 11.63 | 13.69 |
| Risk-Adjusted Return | 43.75% | 12.15% |
| Risk-Return Ratio | 0.17 | 0.23 |
| Avg. Return | 0.15% | 0.05% |
| Avg. Win | 0.81% | 0.14% |
| Avg. Loss | -0.76% | -0.1% |
| Win/Loss Ratio | 1.06 | 1.36 |
| Profit Ratio | 1.24 | 0.14 |
| Expected Daily | 0.14% | 0.03% |
| Expected Monthly | 2.39% | 0.51% |
| Expected Yearly | 18.01% | 3.64% |
| Kelly Criterion | 8.84% | 45.24% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.19% |
| Expected Shortfall (cVaR) | -1.79% | -0.36% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.58 | 1.06 |
| Gain/Pain (1M) | 18.73 | - |
| Payoff Ratio | 1.06 | 1.36 |
| Profit Factor | 1.58 | 2.06 |
| Common Sense Ratio | 2.12 | 4.11 |
| CPC Index | 0.89 | 1.92 |
| Tail Ratio | 1.34 | 1.99 |
| Outlier Win Ratio | 3.23 | 3.62 |
| Outlier Loss Ratio | 3.26 | 1.37 |
| MTD | 1.08% | 0.96% |
| 3M | 3.82% | 1.63% |
| 6M | 18.01% | 3.64% |
| YTD | 18.01% | 3.64% |
| 1Y | 18.01% | 3.64% |
| 3Y (ann.) | 43.75% | 8.14% |
| 5Y (ann.) | 43.75% | 8.14% |
| 10Y (ann.) | 43.75% | 8.14% |
| All-time (ann.) | 43.75% | 8.14% |
| Best Day | 2.91% | 0.29% |
| Worst Day | -2.58% | -0.86% |
| Best Month | 9.47% | 0.96% |
| Worst Month | -1.03% | 0.1% |
| Best Year | 18.01% | 3.64% |
| Worst Year | 18.01% | 3.64% |
| Avg. Drawdown | -1.05% | -0.2% |
| Avg. Drawdown Days | 10 | 6 |
| Recovery Factor | 3.78 | 4.15 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 2.79 | 2.4 |
| Avg. Up Month | 3.02% | 0.57% |
| Avg. Down Month | - | - |
| Win Days | 53.04% | 68.42% |
| Win Month | 85.71% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.02 |
| Alpha | - | 0.07 |
| Correlation | - | 12.1% |
| Treynor Ratio | - | 194.07% |
| Year | SPY | FSLTX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.01 | 3.64 | 0.20 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-10 | 2026-08-11 | -0.86 | 33 |
| 2026-06-23 | 2026-07-02 | -0.38 | 10 |
| 2026-06-05 | 2026-06-16 | -0.29 | 12 |
| 2026-08-19 | 2026-08-21 | -0.19 | 3 |
| 2026-04-08 | 2026-04-10 | -0.10 | 3 |
| 2026-04-14 | 2026-04-14 | -0.10 | 1 |
| 2026-04-20 | 2026-04-21 | -0.10 | 2 |
| 2026-05-07 | 2026-05-12 | -0.10 | 6 |
| 2026-05-19 | 2026-05-27 | -0.10 | 9 |
| 2026-06-18 | 2026-06-18 | -0.10 | 1 |