| Metric | SPY | NLSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 14.81% | 2.72% |
| CAGR﹪ | 15.07% | 2.76% |
| Sharpe | 0.87 | -0.12 |
| Prob. Sharpe Ratio | 80.5% | 45.15% |
| Smart Sharpe | 0.86 | -0.12 |
| Sortino | 1.27 | -0.17 |
| Smart Sortino | 1.26 | -0.16 |
| Sortino/√2 | 0.9 | -0.12 |
| Smart Sortino/√2 | 0.89 | -0.12 |
| Omega | 1.21 | 1.08 |
| 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.) | 12.91% | 6.05% |
| R^2 | 0.72 | 0.72 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | 1.7 | 0.6 |
| Skew | -0.03 | 0.11 |
| Kurtosis | 0.75 | 0.65 |
| Ulcer Performance Index | 6.86 | 1.87 |
| Risk-Adjusted Return | 15.07% | 2.94% |
| Risk-Return Ratio | 0.07 | 0.03 |
| Avg. Return | 0.07% | 0.01% |
| Avg. Win | 0.78% | 0.35% |
| Avg. Loss | -0.71% | -0.36% |
| Win/Loss Ratio | 1.11 | 0.99 |
| Profit Ratio | 0.99 | 0.76 |
| Expected Daily | 0.06% | 0.01% |
| Expected Monthly | 1.07% | 0.21% |
| Expected Yearly | 7.15% | 1.35% |
| Kelly Criterion | 9.37% | 2.49% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.62% |
| Expected Shortfall (cVaR) | -1.66% | -0.77% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.21 | 0.08 |
| Gain/Pain (1M) | 1.88 | 0.57 |
| Payoff Ratio | 1.11 | 0.99 |
| Profit Factor | 1.21 | 1.08 |
| Common Sense Ratio | 1.2 | 1.08 |
| CPC Index | 0.7 | 0.55 |
| Tail Ratio | 0.99 | 1.0 |
| Outlier Win Ratio | 2.84 | 3.63 |
| Outlier Loss Ratio | 2.98 | 2.8 |
| MTD | 1.47% | 0.69% |
| 3M | 1.46% | 1.34% |
| 6M | 6.94% | 1.85% |
| YTD | 13.33% | 3.5% |
| 1Y | 14.81% | 2.72% |
| 3Y (ann.) | 15.07% | 2.76% |
| 5Y (ann.) | 15.07% | 2.76% |
| 10Y (ann.) | 15.07% | 2.76% |
| All-time (ann.) | 15.07% | 2.76% |
| Best Day | 2.91% | 1.26% |
| Worst Day | -2.58% | -1.12% |
| Best Month | 10.51% | 4.11% |
| Worst Month | -4.94% | -1.69% |
| Best Year | 13.33% | 3.5% |
| Worst Year | 1.31% | -0.76% |
| Avg. Drawdown | -1.72% | -1.29% |
| Avg. Drawdown Days | 13 | 27 |
| Recovery Factor | 1.65 | 0.62 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.96 | 0.23 |
| Avg. Up Month | 4.15% | 1.42% |
| Avg. Down Month | -1.93% | -0.97% |
| Win Days | 52.42% | 51.5% |
| Win Month | 61.54% | 46.15% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.4 |
| Alpha | - | -0.03 |
| Correlation | - | 84.85% |
| Treynor Ratio | - | 6.83% |
| Year | SPY | NLSAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.31 | -0.76 | -0.58 | - |
| 2026 | 13.33 | 3.50 | 0.26 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-12-01 | 2026-04-16 | -4.62 | 137 |
| 2026-05-29 | 2026-09-18 | -3.26 | 113 |
| 2026-10-13 | 2026-11-04 | -2.09 | 23 |
| 2025-11-13 | 2025-11-26 | -1.61 | 14 |
| 2026-05-15 | 2026-05-27 | -0.74 | 13 |
| 2026-04-20 | 2026-04-23 | -0.65 | 4 |
| 2026-05-07 | 2026-05-12 | -0.65 | 6 |
| 2026-10-07 | 2026-10-09 | -0.58 | 3 |
| 2026-09-23 | 2026-10-01 | -0.54 | 9 |
| 2025-11-06 | 2025-11-07 | -0.50 | 2 |