| Metric | SPY | FTLS |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 74.99% | 57.06% |
| CAGR﹪ | 11.91% | 9.5% |
| Sharpe | 0.52 | 0.55 |
| Prob. Sharpe Ratio | 87.6% | 89.01% |
| Smart Sharpe | 0.5 | 0.5 |
| Sortino | 0.74 | 0.79 |
| Smart Sortino | 0.72 | 0.72 |
| Sortino/√2 | 0.53 | 0.56 |
| Smart Sortino/√2 | 0.51 | 0.51 |
| Omega | 1.14 | 1.17 |
| 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.) | 17.19% | 10.46% |
| R^2 | 0.65 | 0.65 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.49 | 0.81 |
| Skew | 0.33 | -0.09 |
| Kurtosis | 8.98 | 2.7 |
| Ulcer Performance Index | 8.86 | 17.6 |
| Risk-Adjusted Return | 11.91% | 9.6% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.05% | 0.04% |
| Avg. Win | 0.86% | 0.56% |
| Avg. Loss | -0.91% | -0.58% |
| Win/Loss Ratio | 0.94 | 0.97 |
| Profit Ratio | 0.86 | 0.79 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.92% | 0.74% |
| Expected Yearly | 9.77% | 7.81% |
| Kelly Criterion | 4.09% | 6.73% |
| 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 | 0.14 | 0.17 |
| Gain/Pain (1M) | 0.79 | 1.19 |
| Payoff Ratio | 0.94 | 0.97 |
| Profit Factor | 1.14 | 1.17 |
| Common Sense Ratio | 1.15 | 1.15 |
| CPC Index | 0.57 | 0.61 |
| Tail Ratio | 1.0 | 0.99 |
| Outlier Win Ratio | 3.4 | 3.1 |
| Outlier Loss Ratio | 3.8 | 3.3 |
| MTD | 1.47% | -0.24% |
| 3M | 1.46% | 1.8% |
| 6M | 6.94% | 4.05% |
| YTD | 13.33% | 8.05% |
| 1Y | 13.43% | 8.07% |
| 3Y (ann.) | 20.78% | 13.08% |
| 5Y (ann.) | 12.86% | 10.26% |
| 10Y (ann.) | 11.91% | 9.5% |
| All-time (ann.) | 11.91% | 9.5% |
| 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 | -1.94% | -1.22% |
| Avg. Drawdown Days | 21 | 18 |
| Recovery Factor | 2.58 | 4.1 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 0.43 | 1.26 |
| Avg. Up Month | 4.04% | 2.48% |
| Avg. Down Month | -3.81% | -1.88% |
| Win Days | 53.48% | 54.17% |
| Win Month | 62.3% | 60.66% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.49 |
| Alpha | - | 0.03 |
| Correlation | - | 80.74% |
| Treynor Ratio | - | 116.14% |
| Year | SPY | FTLS | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 1.56 | 0.90 | - |
| 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 | 13.33 | 8.05 | 0.60 | - |
| 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 | 2024-08-26 | -4.44 | 47 |
| 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 |