| Metric | SPY | NLSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 75.63% | 23.05% |
| CAGR﹪ | 12.01% | 4.27% |
| Sharpe | 0.52 | 0.08 |
| Prob. Sharpe Ratio | 87.82% | 57.18% |
| Smart Sharpe | 0.51 | 0.08 |
| Sortino | 0.75 | 0.11 |
| Smart Sortino | 0.73 | 0.11 |
| Sortino/√2 | 0.53 | 0.08 |
| Smart Sortino/√2 | 0.52 | 0.08 |
| Omega | 1.14 | 1.12 |
| 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.) | 17.2% | 6.73% |
| R^2 | 0.77 | 0.77 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.49 | 0.38 |
| Skew | 0.33 | -0.05 |
| Kurtosis | 8.96 | 4.37 |
| Ulcer Performance Index | 8.93 | 6.52 |
| Risk-Adjusted Return | 12.01% | 4.59% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.9% | 0.36% |
| Avg. Loss | -0.94% | -0.38% |
| Win/Loss Ratio | 0.96 | 0.94 |
| Profit Ratio | 0.85 | 0.63 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 0.93% | 0.34% |
| Expected Yearly | 9.84% | 3.52% |
| Kelly Criterion | 5.11% | 4.82% |
| 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 | 0.14 | 0.12 |
| Gain/Pain (1M) | 0.8 | 0.68 |
| Payoff Ratio | 0.96 | 0.94 |
| Profit Factor | 1.14 | 1.12 |
| Common Sense Ratio | 1.15 | 1.1 |
| CPC Index | 0.59 | 0.57 |
| Tail Ratio | 1.01 | 0.98 |
| Outlier Win Ratio | 3.4 | 3.72 |
| Outlier Loss Ratio | 3.79 | 3.32 |
| MTD | 1.47% | 0.69% |
| 3M | 1.46% | 1.34% |
| 6M | 6.94% | 1.85% |
| YTD | 13.33% | 3.5% |
| 1Y | 13.84% | 2.51% |
| 3Y (ann.) | 21.0% | 6.36% |
| 5Y (ann.) | 12.96% | 4.99% |
| 10Y (ann.) | 12.01% | 4.27% |
| All-time (ann.) | 12.01% | 4.27% |
| 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 | -1.93% | -0.93% |
| Avg. Drawdown Days | 21 | 24 |
| Recovery Factor | 2.6 | 1.97 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.43 | 0.32 |
| Avg. Up Month | 4.19% | 1.54% |
| Avg. Down Month | -4.01% | -1.61% |
| Win Days | 53.56% | 53.91% |
| Win Month | 62.3% | 60.66% |
| Win Quarter | 71.43% | 66.67% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.34 |
| Alpha | - | -0.0 |
| Correlation | - | 87.88% |
| Treynor Ratio | - | 67.05% |
| Year | SPY | NLSAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -0.36 | -0.21 | - |
| 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 | 13.33 | 3.50 | 0.26 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-10 | 2023-08-11 | -11.09 | 640 |
| 2025-02-18 | 2025-05-14 | -6.90 | 86 |
| 2025-11-04 | 2026-04-16 | -4.62 | 164 |
| 2026-05-29 | 2026-09-18 | -3.26 | 113 |
| 2023-09-15 | 2023-11-13 | -2.84 | 60 |
| 2024-07-08 | 2024-08-14 | -2.30 | 38 |
| 2026-10-13 | 2026-11-04 | -2.09 | 23 |
| 2024-02-05 | 2024-05-09 | -1.93 | 95 |
| 2024-12-17 | 2025-01-17 | -1.55 | 32 |
| 2024-05-20 | 2024-06-20 | -1.52 | 32 |