| Metric | SPY | NLSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 18.3% | 3.5% |
| CAGR﹪ | 18.62% | 3.55% |
| Sharpe | 1.07 | -0.05 |
| Prob. Sharpe Ratio | 85.46% | 47.95% |
| Smart Sharpe | 1.04 | -0.05 |
| Sortino | 1.56 | -0.07 |
| Smart Sortino | 1.52 | -0.07 |
| Sortino/√2 | 1.1 | -0.05 |
| Smart Sortino/√2 | 1.07 | -0.05 |
| Omega | 1.26 | 1.11 |
| Max Drawdown | -8.88% | -4.62% |
| Max DD Date | 2026-03-30 | 2026-03-27 |
| Max DD Period Start | 2026-01-28 | 2025-12-01 |
| Max DD Period End | 2026-04-13 | 2026-04-16 |
| Longest DD Days | 76 | 137 |
| Volatility (ann.) | 13.04% | 5.77% |
| R^2 | 0.71 | 0.71 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 2.1 | 0.77 |
| Skew | -0.16 | 0.22 |
| Kurtosis | 1.03 | 0.89 |
| Ulcer Performance Index | 8.48 | 2.46 |
| Risk-Adjusted Return | 18.62% | 3.78% |
| Risk-Return Ratio | 0.09 | 0.04 |
| Avg. Return | 0.08% | 0.02% |
| Avg. Win | 0.79% | 0.34% |
| Avg. Loss | -0.72% | -0.34% |
| Win/Loss Ratio | 1.09 | 0.99 |
| Profit Ratio | 0.91 | 0.75 |
| Expected Daily | 0.07% | 0.01% |
| Expected Monthly | 1.3% | 0.26% |
| Expected Yearly | 8.77% | 1.73% |
| Kelly Criterion | 12.02% | 3.07% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.58% |
| Expected Shortfall (cVaR) | -1.72% | -0.71% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.26 | 0.11 |
| Gain/Pain (1M) | 2.66 | 0.72 |
| Payoff Ratio | 1.09 | 0.99 |
| Profit Factor | 1.26 | 1.11 |
| Common Sense Ratio | 1.25 | 1.09 |
| CPC Index | 0.74 | 0.57 |
| Tail Ratio | 0.99 | 0.98 |
| Outlier Win Ratio | 2.88 | 3.84 |
| Outlier Loss Ratio | 3.16 | 2.75 |
| MTD | 1.08% | 1.29% |
| 3M | 3.82% | 1.84% |
| 6M | 19.85% | 6.46% |
| YTD | 14.3% | 3.6% |
| 1Y | 18.3% | 3.5% |
| 3Y (ann.) | 18.62% | 3.55% |
| 5Y (ann.) | 18.62% | 3.55% |
| 10Y (ann.) | 18.62% | 3.55% |
| All-time (ann.) | 18.62% | 3.55% |
| Best Day | 2.91% | 1.26% |
| Worst Day | -2.7% | -0.99% |
| Best Month | 10.51% | 4.11% |
| Worst Month | -4.94% | -1.69% |
| Best Year | 14.3% | 3.6% |
| Worst Year | 3.5% | -0.1% |
| Avg. Drawdown | -1.69% | -1.08% |
| Avg. Drawdown Days | 13 | 25 |
| Recovery Factor | 1.99 | 0.78 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.19 | 0.28 |
| Avg. Up Month | 3.68% | 1.44% |
| Avg. Down Month | -2.28% | -1.19% |
| Win Days | 54.03% | 51.72% |
| Win Month | 76.92% | 46.15% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.37 |
| Alpha | - | -0.03 |
| Correlation | - | 84.2% |
| Treynor Ratio | - | 9.38% |
| Year | SPY | NLSAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.50 | -0.10 | -0.03 | - |
| 2026 | 14.30 | 3.60 | 0.25 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-12-01 | 2026-04-16 | -4.62 | 137 |
| 2026-05-29 | 2026-09-18 | -3.26 | 113 |
| 2025-11-13 | 2025-11-26 | -1.61 | 14 |
| 2025-09-29 | 2025-10-17 | -1.01 | 19 |
| 2026-05-15 | 2026-05-27 | -0.74 | 13 |
| 2025-11-04 | 2025-11-10 | -0.70 | 7 |
| 2026-04-20 | 2026-04-23 | -0.65 | 4 |
| 2026-05-07 | 2026-05-12 | -0.65 | 6 |
| 2025-09-24 | 2025-09-25 | -0.25 | 2 |
| 2026-04-27 | 2026-04-29 | -0.25 | 3 |