| Metric | SPY | FSLTX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 63.0% |
| Cumulative Return | 74.77% | 25.78% |
| CAGR﹪ | 17.73% | 6.93% |
| Sharpe | 0.85 | 0.46 |
| Prob. Sharpe Ratio | 94.56% | 80.8% |
| Smart Sharpe | 0.81 | 0.34 |
| Sortino | 1.26 | 0.71 |
| Smart Sortino | 1.2 | 0.51 |
| Sortino/√2 | 0.89 | 0.5 |
| Smart Sortino/√2 | 0.85 | 0.36 |
| Omega | 1.24 | 1.61 |
| 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.) | 14.96% | 4.58% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.88 | 1.84 |
| Skew | 0.9 | 1.61 |
| Kurtosis | 20.15 | 84.93 |
| Ulcer Performance Index | 19.76 | 27.41 |
| Risk-Adjusted Return | 17.73% | 11.01% |
| Risk-Return Ratio | 0.07 | 0.09 |
| Avg. Return | 0.08% | 0.04% |
| Avg. Win | 0.66% | 0.17% |
| Avg. Loss | -0.89% | -0.2% |
| Win/Loss Ratio | 0.75 | 0.82 |
| Profit Ratio | 0.78 | 0.12 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.22% | 0.5% |
| Expected Yearly | 14.98% | 5.9% |
| Kelly Criterion | -3.87% | 23.76% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.48% | -0.45% |
| Expected Shortfall (cVaR) | -2.13% | -1.11% |
| Max Consecutive Wins | 10 | 5 |
| Max Consecutive Losses | 8 | 4 |
| Gain/Pain Ratio | 0.24 | 0.61 |
| Gain/Pain (1M) | 1.68 | 7.54 |
| Payoff Ratio | 0.75 | 0.82 |
| Profit Factor | 1.24 | 1.61 |
| Common Sense Ratio | 1.22 | 1.62 |
| CPC Index | 0.51 | 0.86 |
| Tail Ratio | 0.98 | 1.01 |
| Outlier Win Ratio | 3.19 | 7.86 |
| Outlier Loss Ratio | 3.4 | 2.91 |
| MTD | 1.47% | -0.0% |
| 3M | 1.46% | 1.73% |
| 6M | 5.24% | 3.29% |
| YTD | 10.81% | 5.77% |
| 1Y | 12.08% | 6.72% |
| 3Y (ann.) | 18.36% | 8.92% |
| 5Y (ann.) | 17.73% | 6.93% |
| 10Y (ann.) | 17.73% | 6.93% |
| All-time (ann.) | 17.73% | 6.93% |
| 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 | -1.97% | -0.4% |
| Avg. Drawdown Days | 18 | 17 |
| Recovery Factor | 2.95 | 6.17 |
| Ulcer Index | 0.04 | 0.01 |
| Serenity Index | 1.4 | 2.51 |
| Avg. Up Month | 2.84% | 0.67% |
| Avg. Down Month | -1.81% | -0.2% |
| Win Days | 55.63% | 65.74% |
| Win Month | 67.39% | 76.09% |
| Win Quarter | 81.25% | 87.5% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.02 |
| Alpha | - | 0.06 |
| Correlation | - | 5.94% |
| Treynor Ratio | - | 1417.34% |
| 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 | 10.81 | 5.77 | 0.53 | - |
| 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 | 2023-12-11 | -0.92 | 69 |
| 2024-10-03 | 2024-10-31 | -0.61 | 29 |
| 2024-11-11 | 2024-12-02 | -0.60 | 22 |
| 2024-12-20 | 2024-12-23 | -0.60 | 4 |
| 2026-10-29 | 2026-11-04 | -0.57 | 7 |