| Metric | SPY | NLSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 6.48% | 1.9% |
| CAGR﹪ | 13.27% | 3.8% |
| Sharpe | 0.78 | 0.06 |
| Prob. Sharpe Ratio | 70.87% | 51.64% |
| Smart Sharpe | 0.75 | 0.06 |
| Sortino | 1.14 | 0.08 |
| Smart Sortino | 1.09 | 0.08 |
| Sortino/√2 | 0.8 | 0.06 |
| Smart Sortino/√2 | 0.77 | 0.06 |
| Omega | 1.19 | 1.1 |
| 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 | 2026-09-02 |
| Longest DD Days | 59 | 97 |
| Volatility (ann.) | 12.4% | 6.51% |
| R^2 | 0.67 | 0.67 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 2.95 | 1.17 |
| Skew | -0.15 | -0.01 |
| Kurtosis | 0.59 | 0.05 |
| Ulcer Performance Index | 3.89 | 1.63 |
| Risk-Adjusted Return | 13.27% | 3.96% |
| Risk-Return Ratio | 0.07 | 0.04 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.82% | 0.42% |
| Avg. Loss | -0.7% | -0.38% |
| Win/Loss Ratio | 1.16 | 1.12 |
| Profit Ratio | 1.15 | 0.94 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 0.9% | 0.27% |
| Expected Yearly | 6.48% | 1.9% |
| Kelly Criterion | 7.77% | 4.62% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.66% |
| Expected Shortfall (cVaR) | -1.63% | -0.84% |
| Max Consecutive Wins | 4 | 5 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.19 | 0.1 |
| Gain/Pain (1M) | 3.26 | 1.27 |
| Payoff Ratio | 1.16 | 1.12 |
| Profit Factor | 1.19 | 1.1 |
| Common Sense Ratio | 1.47 | 1.12 |
| CPC Index | 0.7 | 0.61 |
| Tail Ratio | 1.23 | 1.01 |
| Outlier Win Ratio | 2.66 | 2.73 |
| Outlier Loss Ratio | 3.07 | 2.98 |
| MTD | 1.47% | 0.69% |
| 3M | 1.46% | 1.34% |
| 6M | 6.48% | 1.9% |
| YTD | 6.48% | 1.9% |
| 1Y | 6.48% | 1.9% |
| 3Y (ann.) | 13.27% | 3.8% |
| 5Y (ann.) | 13.27% | 3.8% |
| 10Y (ann.) | 13.27% | 3.8% |
| All-time (ann.) | 13.27% | 3.8% |
| Best Day | 1.8% | 1.11% |
| Worst Day | -2.58% | -1.12% |
| Best Month | 4.52% | 1.05% |
| Worst Month | -1.03% | -1.28% |
| Best Year | 6.48% | 1.9% |
| Worst Year | 6.48% | 1.9% |
| Avg. Drawdown | -1.57% | -1.3% |
| Avg. Drawdown Days | 17 | 23 |
| Recovery Factor | 1.48 | 0.61 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.91 | 0.28 |
| Avg. Up Month | 2.89% | 0.91% |
| Avg. Down Month | -0.97% | -0.79% |
| Win Days | 50.39% | 49.59% |
| Win Month | 57.14% | 57.14% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.43 |
| Alpha | - | -0.02 |
| Correlation | - | 81.68% |
| Treynor Ratio | - | 4.42% |
| Year | SPY | NLSAX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 1.90 | 0.29 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-29 | 2026-09-02 | -3.26 | 97 |
| 2026-10-13 | 2026-11-04 | -2.09 | 23 |
| 2026-09-08 | 2026-09-18 | -1.23 | 11 |
| 2026-05-15 | 2026-05-27 | -0.74 | 13 |
| 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 |