| Metric | SPY | LBAY |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 9.95% |
| CAGR﹪ | 18.02% | 10.03% |
| Sharpe | 1.04 | 0.41 |
| Prob. Sharpe Ratio | 84.73% | 65.84% |
| Smart Sharpe | 1.01 | 0.35 |
| Sortino | 1.51 | 0.62 |
| Smart Sortino | 1.47 | 0.52 |
| Sortino/√2 | 1.07 | 0.44 |
| Smart Sortino/√2 | 1.04 | 0.37 |
| Omega | 1.25 | 1.11 |
| Max Drawdown | -8.88% | -13.61% |
| Max DD Date | 2026-03-30 | 2026-06-22 |
| Max DD Period Start | 2026-01-28 | 2026-03-02 |
| Max DD Period End | 2026-04-13 | 2026-08-21 |
| Longest DD Days | 76 | 173 |
| Volatility (ann.) | 12.99% | 17.35% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 2.03 | 0.74 |
| Skew | -0.15 | 0.33 |
| Kurtosis | 1.05 | 0.77 |
| Ulcer Performance Index | 8.3 | 1.61 |
| Risk-Adjusted Return | 18.02% | 10.03% |
| Risk-Return Ratio | 0.08 | 0.04 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.58% | 0.71% |
| Avg. Loss | -0.58% | -0.82% |
| Win/Loss Ratio | 0.99 | 0.86 |
| Profit Ratio | 0.94 | 0.89 |
| Expected Daily | 0.07% | 0.04% |
| Expected Monthly | 1.27% | 0.73% |
| Expected Yearly | 8.57% | 4.86% |
| Kelly Criterion | 6.84% | -2.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.75% |
| Expected Shortfall (cVaR) | -1.72% | -2.26% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 9 |
| Gain/Pain Ratio | 0.25 | 0.11 |
| Gain/Pain (1M) | 2.6 | 0.47 |
| Payoff Ratio | 0.99 | 0.86 |
| Profit Factor | 1.25 | 1.11 |
| Common Sense Ratio | 1.24 | 1.38 |
| CPC Index | 0.66 | 0.51 |
| Tail Ratio | 0.99 | 1.24 |
| Outlier Win Ratio | 2.88 | 3.64 |
| Outlier Loss Ratio | 3.19 | 3.03 |
| MTD | 1.08% | -5.32% |
| 3M | 3.82% | 6.26% |
| 6M | 19.85% | 2.51% |
| YTD | 14.3% | 10.29% |
| 1Y | 17.87% | 9.95% |
| 3Y (ann.) | 18.02% | 10.03% |
| 5Y (ann.) | 18.02% | 10.03% |
| 10Y (ann.) | 18.02% | 10.03% |
| All-time (ann.) | 18.02% | 10.03% |
| Best Day | 2.91% | 3.87% |
| Worst Day | -2.7% | -2.86% |
| Best Month | 10.51% | 12.82% |
| Worst Month | -4.94% | -5.32% |
| Best Year | 14.3% | 10.29% |
| Worst Year | 3.13% | -0.31% |
| Avg. Drawdown | -1.71% | -3.24% |
| Avg. Drawdown Days | 13 | 30 |
| Recovery Factor | 1.94 | 0.81 |
| Ulcer Index | 0.02 | 0.06 |
| Serenity Index | 1.16 | 0.16 |
| Avg. Up Month | 0.97% | 4.38% |
| Avg. Down Month | -2.98% | -1.78% |
| Win Days | 53.6% | 52.8% |
| Win Month | 76.92% | 46.15% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | -0.22 |
| Alpha | - | 0.15 |
| Correlation | - | -16.62% |
| Treynor Ratio | - | -44.81% |
| Year | SPY | LBAY | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | -0.31 | -0.10 | - |
| 2026 | 14.30 | 10.29 | 0.72 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-08-21 | -13.61 | 173 |
| 2026-08-26 | 2026-09-22 | -8.12 | 28 |
| 2025-10-08 | 2026-01-13 | -6.24 | 98 |
| 2026-02-24 | 2026-02-26 | -2.80 | 3 |
| 2026-02-12 | 2026-02-19 | -1.48 | 8 |
| 2026-01-23 | 2026-02-02 | -1.38 | 11 |
| 2025-09-29 | 2025-09-29 | -0.54 | 1 |
| 2026-02-06 | 2026-02-09 | -0.52 | 4 |
| 2026-01-15 | 2026-01-16 | -0.41 | 2 |
| 2025-09-25 | 2025-09-25 | -0.37 | 1 |