| Metric | SPY | LALT |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 17.87% | 14.01% |
| CAGR﹪ | 18.02% | 14.13% |
| Sharpe | 1.04 | 1.37 |
| Prob. Sharpe Ratio | 84.73% | 90.94% |
| Smart Sharpe | 1.01 | 1.18 |
| Sortino | 1.51 | 1.95 |
| Smart Sortino | 1.47 | 1.68 |
| Sortino/√2 | 1.07 | 1.38 |
| Smart Sortino/√2 | 1.04 | 1.19 |
| Omega | 1.25 | 1.39 |
| Max Drawdown | -8.88% | -3.72% |
| Max DD Date | 2026-03-30 | 2026-06-26 |
| Max DD Period Start | 2026-01-28 | 2026-05-14 |
| Max DD Period End | 2026-04-13 | 2026-09-14 |
| Longest DD Days | 76 | 124 |
| Volatility (ann.) | 12.99% | 6.92% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 2.03 | 3.8 |
| Skew | -0.15 | -0.46 |
| Kurtosis | 1.05 | 1.82 |
| Ulcer Performance Index | 8.3 | 9.48 |
| Risk-Adjusted Return | 18.02% | 14.41% |
| Risk-Return Ratio | 0.08 | 0.12 |
| Avg. Return | 0.06% | 0.05% |
| Avg. Win | 0.64% | 0.36% |
| Avg. Loss | -0.73% | -0.4% |
| Win/Loss Ratio | 0.88 | 0.88 |
| Profit Ratio | 0.94 | 0.62 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.27% | 1.01% |
| Expected Yearly | 8.57% | 6.77% |
| Kelly Criterion | 1.01% | 12.7% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.66% |
| Expected Shortfall (cVaR) | -1.72% | -0.96% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.25 | 0.39 |
| Gain/Pain (1M) | 2.6 | 4.62 |
| Payoff Ratio | 0.88 | 0.88 |
| Profit Factor | 1.25 | 1.39 |
| Common Sense Ratio | 1.24 | 1.37 |
| CPC Index | 0.59 | 0.73 |
| Tail Ratio | 0.99 | 0.99 |
| Outlier Win Ratio | 2.88 | 3.49 |
| Outlier Loss Ratio | 3.19 | 3.34 |
| MTD | 1.08% | 1.63% |
| 3M | 3.82% | 2.64% |
| 6M | 19.85% | 3.37% |
| YTD | 14.3% | 11.59% |
| 1Y | 17.87% | 14.01% |
| 3Y (ann.) | 18.02% | 14.13% |
| 5Y (ann.) | 18.02% | 14.13% |
| 10Y (ann.) | 18.02% | 14.13% |
| All-time (ann.) | 18.02% | 14.13% |
| Best Day | 2.91% | 1.43% |
| Worst Day | -2.7% | -1.78% |
| Best Month | 10.51% | 4.21% |
| Worst Month | -4.94% | -2.65% |
| Best Year | 14.3% | 11.59% |
| Worst Year | 3.13% | 2.17% |
| Avg. Drawdown | -1.71% | -0.84% |
| Avg. Drawdown Days | 13 | 13 |
| Recovery Factor | 1.94 | 3.59 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 1.25 |
| Avg. Up Month | 2.35% | 1.47% |
| Avg. Down Month | -1.03% | -2.65% |
| Win Days | 53.6% | 59.02% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.16 |
| Alpha | - | 0.11 |
| Correlation | - | 29.52% |
| Treynor Ratio | - | 89.14% |
| Year | SPY | LALT | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 2.17 | 0.69 | - |
| 2026 | 14.30 | 11.59 | 0.81 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-14 | 2026-09-14 | -3.72 | 124 |
| 2026-03-13 | 2026-04-09 | -2.87 | 28 |
| 2026-01-30 | 2026-02-24 | -2.72 | 26 |
| 2025-11-12 | 2026-01-02 | -1.59 | 52 |
| 2025-10-09 | 2025-10-14 | -1.29 | 6 |
| 2025-10-21 | 2025-11-07 | -1.23 | 18 |
| 2026-03-03 | 2026-03-03 | -0.80 | 1 |
| 2026-03-09 | 2026-03-10 | -0.74 | 2 |
| 2025-10-01 | 2025-10-03 | -0.55 | 3 |
| 2026-05-01 | 2026-05-08 | -0.54 | 8 |