| Metric | SPY | NLSI |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 13.69% | 18.75% |
| CAGR﹪ | 18.04% | 24.87% |
| Sharpe | 1.05 | 1.1 |
| Prob. Sharpe Ratio | 82.27% | 83.14% |
| Smart Sharpe | 1.03 | 1.06 |
| Sortino | 1.58 | 1.58 |
| Smart Sortino | 1.55 | 1.52 |
| Sortino/√2 | 1.11 | 1.12 |
| Smart Sortino/√2 | 1.09 | 1.07 |
| Omega | 1.25 | 1.24 |
| Max Drawdown | -8.88% | -13.82% |
| Max DD Date | 2026-03-30 | 2026-04-10 |
| Max DD Period Start | 2026-01-28 | 2026-01-08 |
| Max DD Period End | 2026-04-13 | 2026-05-18 |
| Longest DD Days | 76 | 131 |
| Volatility (ann.) | 13.08% | 18.31% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 2.03 | 1.8 |
| Skew | 0.03 | -0.31 |
| Kurtosis | 0.92 | 0.5 |
| Ulcer Performance Index | 6.02 | 3.03 |
| Risk-Adjusted Return | 18.04% | 24.87% |
| Risk-Return Ratio | 0.08 | 0.08 |
| Avg. Return | 0.07% | 0.09% |
| Avg. Win | 0.71% | 0.96% |
| Avg. Loss | -0.67% | -1.07% |
| Win/Loss Ratio | 1.06 | 0.9 |
| Profit Ratio | 1.12 | 0.77 |
| Expected Daily | 0.07% | 0.09% |
| Expected Monthly | 1.29% | 1.73% |
| Expected Yearly | 6.63% | 8.97% |
| Kelly Criterion | 5.38% | 6.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.29% | -1.8% |
| Expected Shortfall (cVaR) | -1.66% | -2.52% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.25 | 0.24 |
| Gain/Pain (1M) | 1.89 | 1.56 |
| Payoff Ratio | 1.06 | 0.9 |
| Profit Factor | 1.25 | 1.24 |
| Common Sense Ratio | 1.24 | 1.1 |
| CPC Index | 0.68 | 0.62 |
| Tail Ratio | 1.0 | 0.89 |
| Outlier Win Ratio | 2.86 | 2.74 |
| Outlier Loss Ratio | 3.12 | 3.2 |
| MTD | 1.08% | 0.52% |
| 3M | 3.82% | 15.04% |
| 6M | 19.85% | 24.08% |
| YTD | 14.3% | 16.54% |
| 1Y | 13.69% | 18.75% |
| 3Y (ann.) | 18.04% | 24.87% |
| 5Y (ann.) | 18.04% | 24.87% |
| 10Y (ann.) | 18.04% | 24.87% |
| All-time (ann.) | 18.04% | 24.87% |
| Best Day | 2.91% | 3.69% |
| Worst Day | -2.58% | -3.15% |
| Best Month | 10.51% | 10.61% |
| Worst Month | -4.94% | -4.47% |
| Best Year | 14.3% | 16.54% |
| Worst Year | -0.53% | 1.9% |
| Avg. Drawdown | -1.67% | -2.51% |
| Avg. Drawdown Days | 14 | 18 |
| Recovery Factor | 1.52 | 1.34 |
| Ulcer Index | 0.02 | 0.06 |
| Serenity Index | 0.83 | 0.28 |
| Avg. Up Month | 3.91% | 5.8% |
| Avg. Down Month | -2.28% | -2.64% |
| Win Days | 51.28% | 55.9% |
| Win Month | 60.0% | 60.0% |
| Win Quarter | 50.0% | 75.0% |
| Win Year | 50.0% | 100.0% |
| Beta | - | 0.48 |
| Alpha | - | 0.15 |
| Correlation | - | 34.55% |
| Treynor Ratio | - | 38.77% |
| Year | SPY | NLSI | Multiplier | Won |
|---|---|---|---|---|
| 2025 | -0.53 | 1.90 | -3.59 | + |
| 2026 | 14.30 | 16.54 | 1.16 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-08 | 2026-05-18 | -13.82 | 131 |
| 2026-06-02 | 2026-07-29 | -8.08 | 58 |
| 2026-08-18 | 2026-08-28 | -2.46 | 11 |
| 2026-09-08 | 2026-09-22 | -1.99 | 15 |
| 2025-12-29 | 2026-01-05 | -1.68 | 8 |
| 2026-07-31 | 2026-08-03 | -1.45 | 4 |
| 2026-05-27 | 2026-05-28 | -0.94 | 2 |
| 2026-05-20 | 2026-05-21 | -0.64 | 2 |
| 2025-12-16 | 2025-12-17 | -0.53 | 2 |
| 2026-08-05 | 2026-08-07 | -0.51 | 3 |