| Metric | SPY | LALT |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 95.7% | 34.25% |
| CAGR﹪ | 19.65% | 8.19% |
| Sharpe | 0.97 | 0.59 |
| Prob. Sharpe Ratio | 97.16% | 87.09% |
| Smart Sharpe | 0.92 | 0.55 |
| Sortino | 1.43 | 0.83 |
| Smart Sortino | 1.35 | 0.78 |
| Sortino/√2 | 1.01 | 0.59 |
| Smart Sortino/√2 | 0.96 | 0.55 |
| Omega | 1.26 | 1.28 |
| Max Drawdown | -18.76% | -6.97% |
| Max DD Date | 2025-04-08 | 2025-04-08 |
| Max DD Period Start | 2025-02-20 | 2025-02-14 |
| Max DD Period End | 2025-06-25 | 2025-07-18 |
| Longest DD Days | 126 | 155 |
| Volatility (ann.) | 14.82% | 5.72% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.05 | 1.18 |
| Skew | 0.8 | -0.18 |
| Kurtosis | 19.19 | 4.64 |
| Ulcer Performance Index | 28.89 | 23.04 |
| Risk-Adjusted Return | 19.65% | 8.27% |
| Risk-Return Ratio | 0.08 | 0.09 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.71% | 0.3% |
| Avg. Loss | -0.79% | -0.31% |
| Win/Loss Ratio | 0.9 | 0.97 |
| Profit Ratio | 0.78 | 0.82 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.47% | 0.64% |
| Expected Yearly | 18.28% | 7.64% |
| Kelly Criterion | 6.75% | 8.18% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.46% | -0.56% |
| Expected Shortfall (cVaR) | -2.1% | -0.84% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.26 | 0.28 |
| Gain/Pain (1M) | 2.11 | 2.75 |
| Payoff Ratio | 0.9 | 0.97 |
| Profit Factor | 1.26 | 1.28 |
| Common Sense Ratio | 1.27 | 1.3 |
| CPC Index | 0.63 | 0.68 |
| Tail Ratio | 1.0 | 1.02 |
| Outlier Win Ratio | 3.19 | 3.41 |
| Outlier Loss Ratio | 3.45 | 3.83 |
| MTD | 1.47% | -1.17% |
| 3M | 1.46% | 2.25% |
| 6M | 6.94% | -0.36% |
| YTD | 13.33% | 10.42% |
| 1Y | 13.43% | 11.31% |
| 3Y (ann.) | 20.78% | 10.36% |
| 5Y (ann.) | 19.65% | 8.19% |
| 10Y (ann.) | 19.65% | 8.19% |
| All-time (ann.) | 19.65% | 8.19% |
| Best Day | 10.5% | 2.44% |
| Worst Day | -5.85% | -2.09% |
| Best Month | 10.51% | 4.21% |
| Worst Month | -5.57% | -2.65% |
| Best Year | 24.89% | 10.8% |
| Worst Year | 13.33% | 0.88% |
| Avg. Drawdown | -1.73% | -0.81% |
| Avg. Drawdown Days | 14 | 16 |
| Recovery Factor | 3.8 | 4.32 |
| Ulcer Index | 0.03 | 0.01 |
| Serenity Index | 2.16 | 2.16 |
| Avg. Up Month | 3.69% | 1.49% |
| Avg. Down Month | -2.33% | -1.01% |
| Win Days | 55.94% | 54.79% |
| Win Month | 67.39% | 63.04% |
| Win Quarter | 81.25% | 75.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.18 |
| Alpha | - | 0.05 |
| Correlation | - | 45.41% |
| Treynor Ratio | - | 195.27% |
| Year | SPY | LALT | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 17.46 | 0.88 | 0.05 | - |
| 2024 | 24.89 | 8.77 | 0.35 | - |
| 2025 | 17.72 | 10.80 | 0.61 | - |
| 2026 | 13.33 | 10.42 | 0.78 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-14 | 2025-07-18 | -6.97 | 155 |
| 2023-09-15 | 2024-02-06 | -3.81 | 145 |
| 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 |
| 2024-04-04 | 2024-07-02 | -2.42 | 90 |
| 2026-10-14 | 2026-11-04 | -2.24 | 22 |
| 2024-07-17 | 2024-09-18 | -1.95 | 64 |
| 2023-04-14 | 2023-07-17 | -1.83 | 95 |
| 2024-12-12 | 2025-01-14 | -1.65 | 34 |