| Metric | SPY | FTLS |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 86.58% | 64.53% |
| CAGR﹪ | 13.36% | 10.53% |
| Sharpe | 0.59 | 0.65 |
| Prob. Sharpe Ratio | 90.85% | 92.44% |
| Smart Sharpe | 0.58 | 0.59 |
| Sortino | 0.86 | 0.92 |
| Smart Sortino | 0.83 | 0.84 |
| Sortino/√2 | 0.61 | 0.65 |
| Smart Sortino/√2 | 0.59 | 0.59 |
| Omega | 1.16 | 1.18 |
| Max Drawdown | -24.5% | -11.69% |
| Max DD Date | 2022-10-12 | 2025-04-08 |
| Max DD Period Start | 2022-01-04 | 2025-01-24 |
| Max DD Period End | 2023-12-12 | 2025-08-26 |
| Longest DD Days | 708 | 519 |
| Volatility (ann.) | 17.2% | 10.49% |
| R^2 | 0.65 | 0.65 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.55 | 0.9 |
| Skew | 0.32 | -0.09 |
| Kurtosis | 8.95 | 2.67 |
| Ulcer Performance Index | 10.24 | 19.91 |
| Risk-Adjusted Return | 13.36% | 10.64% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.05% | 0.04% |
| Avg. Win | 0.85% | 0.56% |
| Avg. Loss | -0.91% | -0.59% |
| Win/Loss Ratio | 0.94 | 0.96 |
| Profit Ratio | 0.83 | 0.79 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.03% | 0.82% |
| Expected Yearly | 10.95% | 8.65% |
| Kelly Criterion | 4.94% | 7.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.05% |
| Expected Shortfall (cVaR) | -2.58% | -1.46% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.18 |
| Gain/Pain (1M) | 0.87 | 1.32 |
| Payoff Ratio | 0.94 | 0.96 |
| Profit Factor | 1.16 | 1.18 |
| Common Sense Ratio | 1.17 | 1.17 |
| CPC Index | 0.58 | 0.62 |
| Tail Ratio | 1.01 | 0.99 |
| Outlier Win Ratio | 3.41 | 3.12 |
| Outlier Loss Ratio | 3.77 | 3.29 |
| MTD | 1.08% | 0.98% |
| 3M | 3.82% | 3.69% |
| 6M | 19.85% | 11.44% |
| YTD | 14.3% | 8.91% |
| 1Y | 17.78% | 11.91% |
| 3Y (ann.) | 24.86% | 15.53% |
| 5Y (ann.) | 13.06% | 10.26% |
| 10Y (ann.) | 13.36% | 10.53% |
| All-time (ann.) | 13.36% | 10.53% |
| Best Day | 10.5% | 4.4% |
| Worst Day | -5.85% | -3.16% |
| Best Month | 10.51% | 4.87% |
| Worst Month | -9.24% | -4.74% |
| Best Year | 26.18% | 18.8% |
| Worst Year | -18.18% | -5.56% |
| Avg. Drawdown | -1.89% | -1.2% |
| Avg. Drawdown Days | 20 | 17 |
| Recovery Factor | 2.85 | 4.49 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 0.47 | 1.39 |
| Avg. Up Month | 4.04% | 2.48% |
| Avg. Down Month | -3.83% | -1.88% |
| Win Days | 54.04% | 54.45% |
| Win Month | 63.93% | 62.3% |
| Win Quarter | 66.67% | 71.43% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.49 |
| Alpha | - | 0.04 |
| Correlation | - | 80.89% |
| Treynor Ratio | - | 130.79% |
| Year | SPY | FTLS | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 5.55 | 0.74 | - |
| 2022 | -18.18 | -5.56 | 0.31 | + |
| 2023 | 26.18 | 16.94 | 0.65 | - |
| 2024 | 24.89 | 18.80 | 0.76 | - |
| 2025 | 17.72 | 9.09 | 0.51 | - |
| 2026 | 14.30 | 8.91 | 0.62 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-01-24 | 2025-08-26 | -11.69 | 215 |
| 2021-12-30 | 2023-06-01 | -10.35 | 519 |
| 2024-07-11 | 2024-08-20 | -4.44 | 41 |
| 2024-04-01 | 2024-06-05 | -4.22 | 66 |
| 2023-09-12 | 2023-11-09 | -3.95 | 59 |
| 2026-02-03 | 2026-04-08 | -3.79 | 65 |
| 2025-11-13 | 2025-12-23 | -3.46 | 41 |
| 2025-10-03 | 2025-10-24 | -3.40 | 22 |
| 2021-11-17 | 2021-12-23 | -3.33 | 37 |
| 2024-08-28 | 2024-10-03 | -3.21 | 37 |