| Metric | SPY | FTLS |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 6.48% | 3.73% |
| CAGR﹪ | 13.27% | 7.54% |
| Sharpe | 0.78 | 0.54 |
| Prob. Sharpe Ratio | 70.87% | 64.91% |
| Smart Sharpe | 0.75 | 0.49 |
| Sortino | 1.14 | 0.77 |
| Smart Sortino | 1.09 | 0.7 |
| Sortino/√2 | 0.8 | 0.54 |
| Smart Sortino/√2 | 0.77 | 0.49 |
| Omega | 1.19 | 1.19 |
| Max Drawdown | -4.49% | -3.11% |
| Max DD Date | 2026-06-10 | 2026-11-02 |
| Max DD Period Start | 2026-06-03 | 2026-10-14 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 34 |
| Volatility (ann.) | 12.4% | 7.31% |
| R^2 | 0.53 | 0.53 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 2.95 | 2.42 |
| Skew | -0.15 | -0.26 |
| Kurtosis | 0.59 | 0.67 |
| Ulcer Performance Index | 3.89 | 4.24 |
| Risk-Adjusted Return | 13.27% | 7.62% |
| Risk-Return Ratio | 0.07 | 0.06 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.74% | 0.41% |
| Avg. Loss | -0.64% | -0.41% |
| Win/Loss Ratio | 1.15 | 1.0 |
| Profit Ratio | 1.15 | 0.65 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 0.9% | 0.52% |
| Expected Yearly | 6.48% | 3.73% |
| Kelly Criterion | 7.28% | 13.8% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.73% |
| Expected Shortfall (cVaR) | -1.63% | -1.0% |
| Max Consecutive Wins | 4 | 5 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.19 | 0.19 |
| Gain/Pain (1M) | 3.26 | 3.68 |
| Payoff Ratio | 1.15 | 1.0 |
| Profit Factor | 1.19 | 1.19 |
| Common Sense Ratio | 1.47 | 1.25 |
| CPC Index | 0.69 | 0.68 |
| Tail Ratio | 1.23 | 1.05 |
| Outlier Win Ratio | 2.66 | 3.02 |
| Outlier Loss Ratio | 3.07 | 3.14 |
| MTD | 1.47% | -0.24% |
| 3M | 1.46% | 1.8% |
| 6M | 6.48% | 3.73% |
| YTD | 6.48% | 3.73% |
| 1Y | 6.48% | 3.73% |
| 3Y (ann.) | 13.27% | 7.54% |
| 5Y (ann.) | 13.27% | 7.54% |
| 10Y (ann.) | 13.27% | 7.54% |
| All-time (ann.) | 13.27% | 7.54% |
| Best Day | 1.8% | 1.18% |
| Worst Day | -2.58% | -1.48% |
| Best Month | 4.52% | 1.72% |
| Worst Month | -1.03% | -0.51% |
| Best Year | 6.48% | 3.73% |
| Worst Year | 6.48% | 3.73% |
| Avg. Drawdown | -1.57% | -0.81% |
| Avg. Drawdown Days | 17 | 8 |
| Recovery Factor | 1.48 | 1.22 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.91 | 0.89 |
| Avg. Up Month | 2.41% | 1.34% |
| Avg. Down Month | -0.97% | -0.43% |
| Win Days | 50.39% | 56.8% |
| Win Month | 57.14% | 57.14% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.43 |
| Alpha | - | 0.02 |
| Correlation | - | 72.89% |
| Treynor Ratio | - | 8.68% |
| Year | SPY | FTLS | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 3.73 | 0.58 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-10-14 | 2026-11-04 | -3.11 | 22 |
| 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 |
| 2026-08-17 | 2026-08-25 | -0.86 | 9 |
| 2026-05-27 | 2026-06-03 | -0.82 | 8 |
| 2026-08-28 | 2026-09-02 | -0.65 | 6 |
| 2026-05-07 | 2026-05-07 | -0.59 | 1 |
| 2026-08-10 | 2026-08-11 | -0.45 | 2 |
| 2026-09-28 | 2026-10-01 | -0.43 | 4 |