| Metric | SPY | NLSAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 206.09% | 64.58% |
| CAGR﹪ | 16.33% | 6.97% |
| Sharpe | 0.73 | 0.53 |
| Prob. Sharpe Ratio | 97.49% | 92.29% |
| Smart Sharpe | 0.63 | 0.46 |
| Sortino | 1.02 | 0.73 |
| Smart Sortino | 0.88 | 0.64 |
| Sortino/√2 | 0.72 | 0.52 |
| Smart Sortino/√2 | 0.63 | 0.45 |
| Omega | 1.18 | 1.18 |
| Max Drawdown | -33.72% | -14.76% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-02-18 |
| Max DD Period End | 2020-08-07 | 2020-07-02 |
| Longest DD Days | 708 | 640 |
| Volatility (ann.) | 19.46% | 7.81% |
| R^2 | 0.8 | 0.8 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.48 | 0.47 |
| Skew | -0.29 | -1.08 |
| Kurtosis | 13.92 | 15.8 |
| Ulcer Performance Index | 26.04 | 19.73 |
| Risk-Adjusted Return | 16.33% | 7.49% |
| Risk-Return Ratio | 0.06 | 0.06 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.92% | 0.39% |
| Avg. Loss | -1.02% | -0.42% |
| Win/Loss Ratio | 0.91 | 0.93 |
| Profit Ratio | 0.78 | 0.59 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.25% | 0.56% |
| Expected Yearly | 15.01% | 6.43% |
| Kelly Criterion | 5.83% | 6.81% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.78% |
| Expected Shortfall (cVaR) | -3.2% | -1.26% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.18 |
| Gain/Pain (1M) | 1.16 | 1.12 |
| Payoff Ratio | 0.91 | 0.93 |
| Profit Factor | 1.18 | 1.18 |
| Common Sense Ratio | 1.13 | 1.19 |
| CPC Index | 0.59 | 0.61 |
| Tail Ratio | 0.96 | 1.01 |
| Outlier Win Ratio | 3.69 | 4.05 |
| Outlier Loss Ratio | 4.11 | 3.55 |
| 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.) | 16.33% | 6.97% |
| All-time (ann.) | 16.33% | 6.97% |
| Best Day | 10.5% | 3.08% |
| Worst Day | -10.94% | -5.62% |
| Best Month | 12.7% | 5.0% |
| Worst Month | -12.49% | -5.41% |
| Best Year | 28.73% | 14.79% |
| Worst Year | -18.18% | -7.27% |
| Avg. Drawdown | -1.79% | -0.94% |
| Avg. Drawdown Days | 16 | 17 |
| Recovery Factor | 3.74 | 3.53 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 1.03 | 0.96 |
| Avg. Up Month | 4.37% | 1.79% |
| Avg. Down Month | -4.27% | -1.77% |
| Win Days | 55.21% | 55.19% |
| Win Month | 65.56% | 64.44% |
| Win Quarter | 77.42% | 77.42% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.36 |
| Alpha | - | 0.01 |
| Correlation | - | 89.6% |
| Treynor Ratio | - | 179.66% |
| Year | SPY | NLSAX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 6.85 | 0.42 | - |
| 2020 | 18.33 | 14.79 | 0.81 | - |
| 2021 | 28.73 | 8.65 | 0.30 | - |
| 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 |
|---|---|---|---|
| 2020-02-18 | 2020-07-02 | -14.76 | 136 |
| 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 |
| 2021-02-19 | 2021-03-25 | -3.42 | 35 |
| 2026-05-29 | 2026-09-02 | -3.26 | 97 |
| 2020-09-03 | 2020-10-09 | -3.12 | 37 |
| 2020-10-26 | 2020-11-04 | -2.93 | 10 |
| 2023-09-15 | 2023-11-13 | -2.84 | 60 |
| 2021-09-07 | 2021-10-18 | -2.68 | 42 |