| Metric | SPY | FSLTX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 63.0% |
| Cumulative Return | 76.27% | 24.84% |
| CAGR﹪ | 18.75% | 6.96% |
| Sharpe | 0.9 | 0.44 |
| Prob. Sharpe Ratio | 95.18% | 79.31% |
| Smart Sharpe | 0.85 | 0.32 |
| Sortino | 1.33 | 0.67 |
| Smart Sortino | 1.26 | 0.49 |
| Sortino/√2 | 0.94 | 0.47 |
| Smart Sortino/√2 | 0.89 | 0.35 |
| Omega | 1.25 | 1.59 |
| Max Drawdown | -20.21% | -3.78% |
| Max DD Date | 2025-04-08 | 2024-01-04 |
| Max DD Period Start | 2025-02-20 | 2023-12-29 |
| Max DD Period End | 2025-09-18 | 2024-07-12 |
| Longest DD Days | 211 | 197 |
| Volatility (ann.) | 15.08% | 4.67% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.93 | 1.84 |
| Skew | 0.91 | 1.53 |
| Kurtosis | 20.21 | 80.99 |
| Ulcer Performance Index | 19.85 | 25.87 |
| Risk-Adjusted Return | 18.75% | 11.05% |
| Risk-Return Ratio | 0.08 | 0.09 |
| Avg. Return | 0.09% | 0.04% |
| Avg. Win | 0.66% | 0.17% |
| Avg. Loss | -0.9% | -0.21% |
| Win/Loss Ratio | 0.73 | 0.81 |
| Profit Ratio | 0.77 | 0.12 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.3% | 0.51% |
| Expected Yearly | 15.22% | 5.7% |
| Kelly Criterion | -4.46% | 24.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.49% | -0.46% |
| Expected Shortfall (cVaR) | -2.14% | -1.09% |
| Max Consecutive Wins | 10 | 5 |
| Max Consecutive Losses | 8 | 4 |
| Gain/Pain Ratio | 0.25 | 0.59 |
| Gain/Pain (1M) | 1.75 | 7.53 |
| Payoff Ratio | 0.73 | 0.81 |
| Profit Factor | 1.25 | 1.59 |
| Common Sense Ratio | 1.24 | 1.6 |
| CPC Index | 0.51 | 0.85 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 3.18 | 7.77 |
| Outlier Loss Ratio | 3.4 | 3.48 |
| MTD | 1.08% | 0.96% |
| 3M | 3.82% | 1.63% |
| 6M | 18.01% | 3.64% |
| YTD | 11.76% | 4.99% |
| 1Y | 14.55% | 7.08% |
| 3Y (ann.) | 22.85% | 8.59% |
| 5Y (ann.) | 18.75% | 6.96% |
| 10Y (ann.) | 18.75% | 6.96% |
| All-time (ann.) | 18.75% | 6.96% |
| Best Day | 10.5% | 3.66% |
| Worst Day | -5.85% | -3.57% |
| Best Month | 9.47% | 4.39% |
| Worst Month | -7.26% | -1.34% |
| Best Year | 24.89% | 9.8% |
| Worst Year | 7.51% | 1.56% |
| Avg. Drawdown | -1.95% | -0.44% |
| Avg. Drawdown Days | 17 | 19 |
| Recovery Factor | 2.99 | 5.97 |
| Ulcer Index | 0.04 | 0.01 |
| Serenity Index | 1.41 | 2.43 |
| Avg. Up Month | 2.78% | 0.65% |
| Avg. Down Month | -1.81% | -0.19% |
| Win Days | 55.9% | 66.15% |
| Win Month | 70.45% | 79.07% |
| Win Quarter | 80.0% | 93.33% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.02 |
| Alpha | - | 0.07 |
| Correlation | - | 5.29% |
| Treynor Ratio | - | 1514.85% |
| Year | SPY | FSLTX | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 17.46 | 1.56 | 0.09 | - |
| 2024 | 24.89 | 9.80 | 0.39 | - |
| 2025 | 7.51 | 6.63 | 0.88 | - |
| 2026 | 11.76 | 4.99 | 0.42 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-12-29 | 2024-07-12 | -3.78 | 197 |
| 2025-02-18 | 2025-04-24 | -2.83 | 66 |
| 2023-03-09 | 2023-09-11 | -1.96 | 187 |
| 2024-08-01 | 2024-09-13 | -1.12 | 44 |
| 2025-04-28 | 2025-05-21 | -1.01 | 24 |
| 2023-10-04 | 2023-12-12 | -0.92 | 70 |
| 2026-07-10 | 2026-08-11 | -0.86 | 33 |
| 2024-10-03 | 2024-11-04 | -0.61 | 33 |
| 2024-11-11 | 2024-12-02 | -0.60 | 22 |
| 2024-12-20 | 2024-12-20 | -0.60 | 1 |