| Metric | SPY | NLSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 18.6% | 5.96% |
| CAGR﹪ | 40.67% | 12.29% |
| Sharpe | 2.32 | 1.22 |
| Prob. Sharpe Ratio | 95.04% | 80.79% |
| Smart Sharpe | 2.3 | 1.11 |
| Sortino | 3.78 | 1.93 |
| Smart Sortino | 3.75 | 1.76 |
| Sortino/√2 | 2.67 | 1.37 |
| Smart Sortino/√2 | 2.65 | 1.24 |
| Omega | 1.54 | 1.34 |
| Max Drawdown | -4.49% | -3.26% |
| Max DD Date | 2026-06-10 | 2026-07-29 |
| Max DD Period Start | 2026-06-03 | 2026-05-29 |
| Max DD Period End | 2026-07-31 | 2026-09-18 |
| Longest DD Days | 59 | 113 |
| Volatility (ann.) | 13.55% | 6.73% |
| R^2 | 0.72 | 0.72 |
| Information Ratio | -0.17 | -0.17 |
| Calmar | 9.05 | 3.77 |
| Skew | 0.1 | 0.3 |
| Kurtosis | 1.12 | 0.39 |
| Ulcer Performance Index | 11.86 | 5.46 |
| Risk-Adjusted Return | 40.67% | 13.07% |
| Risk-Return Ratio | 0.16 | 0.11 |
| Avg. Return | 0.15% | 0.05% |
| Avg. Win | 0.94% | 0.45% |
| Avg. Loss | -0.72% | -0.38% |
| Win/Loss Ratio | 1.31 | 1.21 |
| Profit Ratio | 1.12 | 0.91 |
| Expected Daily | 0.14% | 0.05% |
| Expected Monthly | 2.47% | 0.83% |
| Expected Yearly | 18.6% | 5.96% |
| Kelly Criterion | 18.71% | 11.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.65% |
| Expected Shortfall (cVaR) | -1.77% | -0.77% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.54 | 0.34 |
| Gain/Pain (1M) | 10.92 | 3.84 |
| Payoff Ratio | 1.31 | 1.21 |
| Profit Factor | 1.54 | 1.34 |
| Common Sense Ratio | 2.01 | 1.49 |
| CPC Index | 1.09 | 0.84 |
| Tail Ratio | 1.3 | 1.11 |
| Outlier Win Ratio | 3.21 | 3.59 |
| Outlier Loss Ratio | 3.16 | 2.61 |
| MTD | 1.08% | 1.29% |
| 3M | 3.82% | 1.84% |
| 6M | 18.6% | 5.96% |
| YTD | 18.6% | 5.96% |
| 1Y | 18.6% | 5.96% |
| 3Y (ann.) | 40.67% | 12.29% |
| 5Y (ann.) | 40.67% | 12.29% |
| 10Y (ann.) | 40.67% | 12.29% |
| All-time (ann.) | 40.67% | 12.29% |
| Best Day | 2.91% | 1.26% |
| Worst Day | -2.58% | -0.99% |
| Best Month | 10.51% | 4.11% |
| Worst Month | -1.03% | -1.28% |
| Best Year | 18.6% | 5.96% |
| Worst Year | 18.6% | 5.96% |
| Avg. Drawdown | -1.13% | -0.9% |
| Avg. Drawdown Days | 9 | 19 |
| Recovery Factor | 3.9 | 1.81 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 2.75 | 0.93 |
| Avg. Up Month | 4.88% | 1.87% |
| Avg. Down Month | -0.9% | -0.77% |
| Win Days | 53.97% | 51.69% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.42 |
| Alpha | - | -0.03 |
| Correlation | - | 85.02% |
| Treynor Ratio | - | 14.12% |
| Year | SPY | NLSAX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 5.96 | 0.32 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-29 | 2026-09-18 | -3.26 | 113 |
| 2026-03-24 | 2026-03-31 | -1.50 | 8 |
| 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 |
| 2026-04-27 | 2026-04-29 | -0.25 | 3 |
| 2026-04-16 | 2026-04-16 | -0.10 | 1 |
| 2026-05-04 | 2026-05-05 | -0.05 | 2 |