| Metric | SPY | LALT |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 14.39% | 11.63% |
| CAGR﹪ | 14.51% | 11.73% |
| Sharpe | 0.83 | 1.15 |
| Prob. Sharpe Ratio | 79.61% | 86.82% |
| Smart Sharpe | 0.82 | 1.04 |
| Sortino | 1.22 | 1.61 |
| Smart Sortino | 1.2 | 1.46 |
| Sortino/√2 | 0.86 | 1.14 |
| Smart Sortino/√2 | 0.85 | 1.03 |
| Omega | 1.2 | 1.33 |
| 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.) | 12.86% | 6.68% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 1.63 | 3.15 |
| Skew | -0.02 | -0.52 |
| Kurtosis | 0.78 | 2.07 |
| Ulcer Performance Index | 6.68 | 7.8 |
| Risk-Adjusted Return | 14.51% | 11.97% |
| Risk-Return Ratio | 0.07 | 0.11 |
| Avg. Return | 0.05% | 0.05% |
| Avg. Win | 0.63% | 0.33% |
| Avg. Loss | -0.73% | -0.4% |
| Win/Loss Ratio | 0.86 | 0.82 |
| Profit Ratio | 1.02 | 0.57 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.04% | 0.85% |
| Expected Yearly | 6.95% | 5.66% |
| Kelly Criterion | -3.5% | 9.86% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.65% |
| Expected Shortfall (cVaR) | -1.66% | -0.95% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.2 | 0.33 |
| Gain/Pain (1M) | 1.83 | 2.76 |
| Payoff Ratio | 0.86 | 0.82 |
| Profit Factor | 1.2 | 1.33 |
| Common Sense Ratio | 1.19 | 1.28 |
| CPC Index | 0.54 | 0.65 |
| Tail Ratio | 0.99 | 0.96 |
| Outlier Win Ratio | 2.84 | 3.41 |
| Outlier Loss Ratio | 3.01 | 3.4 |
| MTD | 1.47% | -1.17% |
| 3M | 1.46% | 2.25% |
| 6M | 6.94% | -0.36% |
| YTD | 13.33% | 10.42% |
| 1Y | 14.39% | 11.63% |
| 3Y (ann.) | 14.51% | 11.73% |
| 5Y (ann.) | 14.51% | 11.73% |
| 10Y (ann.) | 14.51% | 11.73% |
| All-time (ann.) | 14.51% | 11.73% |
| Best Day | 2.91% | 1.43% |
| Worst Day | -2.58% | -1.78% |
| Best Month | 10.51% | 4.21% |
| Worst Month | -4.94% | -2.65% |
| Best Year | 13.33% | 10.42% |
| Worst Year | 0.94% | 1.1% |
| Avg. Drawdown | -1.74% | -0.99% |
| Avg. Drawdown Days | 14 | 16 |
| Recovery Factor | 1.61 | 3.02 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 1.01 |
| Avg. Up Month | 3.11% | 1.82% |
| Avg. Down Month | -1.03% | -2.65% |
| Win Days | 52.0% | 59.26% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.14 |
| Alpha | - | 0.09 |
| Correlation | - | 26.37% |
| Treynor Ratio | - | 84.92% |
| Year | SPY | LALT | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.10 | 1.17 | + |
| 2026 | 13.33 | 10.42 | 0.78 | - |
| 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 |
| 2026-10-14 | 2026-11-04 | -2.24 | 22 |
| 2025-11-12 | 2026-01-02 | -1.59 | 52 |
| 2026-09-25 | 2026-10-06 | -0.85 | 12 |
| 2026-03-03 | 2026-03-03 | -0.80 | 1 |
| 2026-03-09 | 2026-03-10 | -0.74 | 2 |
| 2026-05-01 | 2026-05-08 | -0.54 | 8 |
| 2026-01-16 | 2026-01-20 | -0.43 | 5 |