| Metric | SPY | NLSI |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 12.73% | 17.66% |
| CAGR﹪ | 14.29% | 19.89% |
| Sharpe | 0.83 | 0.9 |
| Prob. Sharpe Ratio | 78.37% | 80.07% |
| Smart Sharpe | 0.83 | 0.89 |
| Sortino | 1.22 | 1.27 |
| Smart Sortino | 1.22 | 1.25 |
| Sortino/√2 | 0.86 | 0.9 |
| Smart Sortino/√2 | 0.86 | 0.89 |
| Omega | 1.2 | 1.2 |
| 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.) | 12.85% | 18.02% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 1.61 | 1.44 |
| Skew | 0.01 | -0.36 |
| Kurtosis | 0.9 | 0.61 |
| Ulcer Performance Index | 5.81 | 3.05 |
| Risk-Adjusted Return | 14.29% | 19.89% |
| Risk-Return Ratio | 0.07 | 0.07 |
| Avg. Return | 0.06% | 0.08% |
| Avg. Win | 0.67% | 0.94% |
| Avg. Loss | -0.67% | -1.0% |
| Win/Loss Ratio | 1.01 | 0.93 |
| Profit Ratio | 1.12 | 0.78 |
| Expected Daily | 0.05% | 0.07% |
| Expected Monthly | 1.0% | 1.36% |
| Expected Yearly | 6.17% | 8.47% |
| Kelly Criterion | 2.4% | 7.48% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.27% | -1.79% |
| Expected Shortfall (cVaR) | -1.67% | -2.52% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.2 | 0.2 |
| Gain/Pain (1M) | 1.54 | 1.12 |
| Payoff Ratio | 1.01 | 0.93 |
| Profit Factor | 1.2 | 1.2 |
| Common Sense Ratio | 1.17 | 1.06 |
| CPC Index | 0.62 | 0.62 |
| Tail Ratio | 0.98 | 0.89 |
| Outlier Win Ratio | 2.83 | 2.78 |
| Outlier Loss Ratio | 3.09 | 3.44 |
| MTD | 1.47% | -3.7% |
| 3M | 1.46% | 7.67% |
| 6M | 6.94% | 21.77% |
| YTD | 13.33% | 15.48% |
| 1Y | 12.73% | 17.66% |
| 3Y (ann.) | 14.29% | 19.89% |
| 5Y (ann.) | 14.29% | 19.89% |
| 10Y (ann.) | 14.29% | 19.89% |
| All-time (ann.) | 14.29% | 19.89% |
| Best Day | 2.91% | 3.69% |
| Worst Day | -2.58% | -3.19% |
| Best Month | 10.51% | 10.61% |
| Worst Month | -4.94% | -4.47% |
| Best Year | 13.33% | 15.48% |
| Worst Year | -0.53% | 1.9% |
| Avg. Drawdown | -1.77% | -2.49% |
| Avg. Drawdown Days | 15 | 17 |
| Recovery Factor | 1.43 | 1.28 |
| Ulcer Index | 0.02 | 0.06 |
| Serenity Index | 0.81 | 0.29 |
| Avg. Up Month | 4.62% | 7.12% |
| Avg. Down Month | -1.79% | -2.07% |
| Win Days | 50.88% | 55.31% |
| Win Month | 50.0% | 50.0% |
| Win Quarter | 60.0% | 60.0% |
| Win Year | 50.0% | 100.0% |
| Beta | - | 0.42 |
| Alpha | - | 0.14 |
| Correlation | - | 30.01% |
| Treynor Ratio | - | 41.97% |
| Year | SPY | NLSI | Multiplier | Won |
|---|---|---|---|---|
| 2025 | -0.53 | 1.90 | -3.59 | + |
| 2026 | 13.33 | 15.48 | 1.16 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-08 | 2026-05-18 | -13.82 | 131 |
| 2026-06-02 | 2026-07-29 | -8.08 | 58 |
| 2026-10-22 | 2026-11-04 | -5.19 | 14 |
| 2026-09-08 | 2026-10-06 | -2.74 | 29 |
| 2026-08-18 | 2026-08-28 | -2.46 | 11 |
| 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 |
| 2026-10-09 | 2026-10-14 | -0.67 | 6 |
| 2026-05-20 | 2026-05-21 | -0.64 | 2 |