| Metric | SPY | NLSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 87.27% | 24.63% |
| CAGR﹪ | 13.47% | 4.53% |
| Sharpe | 0.6 | 0.13 |
| Prob. Sharpe Ratio | 91.03% | 61.3% |
| Smart Sharpe | 0.58 | 0.13 |
| Sortino | 0.87 | 0.18 |
| Smart Sortino | 0.84 | 0.18 |
| Sortino/√2 | 0.61 | 0.13 |
| Smart Sortino/√2 | 0.59 | 0.13 |
| Omega | 1.16 | 1.13 |
| Max Drawdown | -24.5% | -11.09% |
| Max DD Date | 2022-10-12 | 2022-10-14 |
| Max DD Period Start | 2022-01-04 | 2021-11-10 |
| Max DD Period End | 2023-12-12 | 2023-08-11 |
| Longest DD Days | 708 | 640 |
| Volatility (ann.) | 17.21% | 6.73% |
| R^2 | 0.77 | 0.77 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.55 | 0.41 |
| Skew | 0.32 | -0.06 |
| Kurtosis | 8.93 | 4.38 |
| Ulcer Performance Index | 10.31 | 6.97 |
| Risk-Adjusted Return | 13.47% | 4.88% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.9% | 0.36% |
| Avg. Loss | -0.95% | -0.39% |
| Win/Loss Ratio | 0.95 | 0.93 |
| Profit Ratio | 0.83 | 0.62 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.36% |
| Expected Yearly | 11.02% | 3.74% |
| Kelly Criterion | 5.99% | 4.91% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.68% |
| Expected Shortfall (cVaR) | -2.58% | -0.99% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.16 | 0.13 |
| Gain/Pain (1M) | 0.88 | 0.69 |
| Payoff Ratio | 0.95 | 0.93 |
| Profit Factor | 1.16 | 1.13 |
| Common Sense Ratio | 1.17 | 1.09 |
| CPC Index | 0.6 | 0.57 |
| Tail Ratio | 1.01 | 0.97 |
| Outlier Win Ratio | 3.42 | 3.73 |
| Outlier Loss Ratio | 3.76 | 3.32 |
| MTD | 1.08% | 1.29% |
| 3M | 3.82% | 1.84% |
| 6M | 19.85% | 6.46% |
| YTD | 14.3% | 3.6% |
| 1Y | 18.22% | 3.34% |
| 3Y (ann.) | 25.09% | 7.73% |
| 5Y (ann.) | 13.16% | 4.36% |
| 10Y (ann.) | 13.47% | 4.53% |
| All-time (ann.) | 13.47% | 4.53% |
| Best Day | 10.5% | 2.98% |
| Worst Day | -5.85% | -2.55% |
| Best Month | 10.51% | 4.11% |
| Worst Month | -9.24% | -4.26% |
| Best Year | 26.18% | 12.67% |
| Worst Year | -18.18% | -7.27% |
| Avg. Drawdown | -1.89% | -0.91% |
| Avg. Drawdown Days | 20 | 22 |
| Recovery Factor | 2.86 | 2.09 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.47 | 0.34 |
| Avg. Up Month | 4.26% | 1.59% |
| Avg. Down Month | -4.03% | -1.68% |
| Win Days | 54.12% | 54.09% |
| Win Month | 63.93% | 60.66% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.34 |
| Alpha | - | -0.0 |
| Correlation | - | 87.8% |
| Treynor Ratio | - | 71.75% |
| Year | SPY | NLSAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 0.82 | 0.11 | - |
| 2022 | -18.18 | -7.27 | 0.40 | + |
| 2023 | 26.18 | 12.67 | 0.48 | - |
| 2024 | 24.89 | 7.08 | 0.28 | - |
| 2025 | 18.15 | 6.66 | 0.37 | - |
| 2026 | 14.30 | 3.60 | 0.25 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-10 | 2023-08-11 | -11.09 | 640 |
| 2025-02-18 | 2025-05-14 | -6.90 | 86 |
| 2025-12-01 | 2026-04-16 | -4.62 | 137 |
| 2026-05-29 | 2026-09-02 | -3.26 | 97 |
| 2023-09-15 | 2023-11-13 | -2.84 | 60 |
| 2024-07-08 | 2024-08-14 | -2.30 | 38 |
| 2024-02-05 | 2024-05-08 | -1.93 | 94 |
| 2021-09-27 | 2021-10-13 | -1.80 | 17 |
| 2025-11-04 | 2025-11-26 | -1.61 | 23 |
| 2024-12-17 | 2025-01-17 | -1.55 | 32 |