| Metric | SPY | FTLS |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 18.6% | 11.09% |
| CAGR﹪ | 40.67% | 23.4% |
| Sharpe | 2.32 | 2.37 |
| Prob. Sharpe Ratio | 95.04% | 95.68% |
| Smart Sharpe | 2.3 | 2.25 |
| Sortino | 3.78 | 4.03 |
| Smart Sortino | 3.75 | 3.83 |
| Sortino/√2 | 2.67 | 2.85 |
| Smart Sortino/√2 | 2.65 | 2.71 |
| Omega | 1.54 | 1.62 |
| Max Drawdown | -4.49% | -2.53% |
| Max DD Date | 2026-06-10 | 2026-06-10 |
| Max DD Period Start | 2026-06-03 | 2026-06-05 |
| Max DD Period End | 2026-07-31 | 2026-07-08 |
| Longest DD Days | 59 | 34 |
| Volatility (ann.) | 13.55% | 7.49% |
| R^2 | 0.53 | 0.53 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | 9.05 | 9.25 |
| Skew | 0.1 | 0.34 |
| Kurtosis | 1.12 | 0.6 |
| Ulcer Performance Index | 11.86 | 16.74 |
| Risk-Adjusted Return | 40.67% | 23.64% |
| Risk-Return Ratio | 0.16 | 0.18 |
| Avg. Return | 0.13% | 0.09% |
| Avg. Win | 0.85% | 0.46% |
| Avg. Loss | -0.64% | -0.37% |
| Win/Loss Ratio | 1.32 | 1.25 |
| Profit Ratio | 1.12 | 0.8 |
| Expected Daily | 0.14% | 0.08% |
| Expected Monthly | 2.47% | 1.51% |
| Expected Yearly | 18.6% | 11.09% |
| Kelly Criterion | 19.04% | 24.46% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.69% |
| Expected Shortfall (cVaR) | -1.77% | -0.89% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.54 | 0.62 |
| Gain/Pain (1M) | 10.92 | 22.24 |
| Payoff Ratio | 1.32 | 1.25 |
| Profit Factor | 1.54 | 1.62 |
| Common Sense Ratio | 2.01 | 2.55 |
| CPC Index | 1.1 | 1.17 |
| Tail Ratio | 1.3 | 1.57 |
| Outlier Win Ratio | 3.21 | 3.42 |
| Outlier Loss Ratio | 3.16 | 2.8 |
| MTD | 1.08% | 0.98% |
| 3M | 3.82% | 3.69% |
| 6M | 18.6% | 11.09% |
| YTD | 18.6% | 11.09% |
| 1Y | 18.6% | 11.09% |
| 3Y (ann.) | 40.67% | 23.4% |
| 5Y (ann.) | 40.67% | 23.4% |
| 10Y (ann.) | 40.67% | 23.4% |
| All-time (ann.) | 40.67% | 23.4% |
| Best Day | 2.91% | 1.54% |
| Worst Day | -2.58% | -1.24% |
| Best Month | 10.51% | 4.87% |
| Worst Month | -1.03% | -0.51% |
| Best Year | 18.6% | 11.09% |
| Worst Year | 18.6% | 11.09% |
| Avg. Drawdown | -1.13% | -0.61% |
| Avg. Drawdown Days | 9 | 6 |
| Recovery Factor | 3.9 | 4.21 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 2.75 | 4.61 |
| Avg. Up Month | 3.91% | 2.0% |
| Avg. Down Month | -1.03% | -0.51% |
| Win Days | 53.97% | 58.06% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.4 |
| Alpha | - | 0.07 |
| Correlation | - | 72.87% |
| Treynor Ratio | - | 27.53% |
| Year | SPY | FTLS | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 11.09 | 0.60 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-05 | 2026-07-08 | -2.53 | 34 |
| 2026-09-04 | 2026-09-18 | -1.35 | 15 |
| 2026-07-23 | 2026-08-03 | -1.29 | 12 |
| 2026-03-25 | 2026-03-30 | -1.08 | 6 |
| 2026-08-17 | 2026-08-25 | -0.86 | 9 |
| 2026-05-27 | 2026-06-03 | -0.82 | 8 |
| 2026-05-01 | 2026-05-04 | -0.75 | 4 |
| 2026-08-28 | 2026-09-02 | -0.65 | 6 |
| 2026-05-07 | 2026-05-07 | -0.59 | 1 |
| 2026-04-15 | 2026-04-17 | -0.50 | 3 |