| Metric | SPY | LBAY |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 86.58% | 32.72% |
| CAGR﹪ | 13.36% | 5.86% |
| Sharpe | 0.59 | 0.21 |
| Prob. Sharpe Ratio | 90.85% | 67.7% |
| Smart Sharpe | 0.58 | 0.19 |
| Sortino | 0.86 | 0.3 |
| Smart Sortino | 0.83 | 0.27 |
| Sortino/√2 | 0.61 | 0.21 |
| Smart Sortino/√2 | 0.59 | 0.19 |
| Omega | 1.16 | 1.08 |
| Max Drawdown | -24.5% | -15.99% |
| Max DD Date | 2022-10-12 | 2023-10-27 |
| Max DD Period Start | 2022-01-04 | 2023-01-09 |
| Max DD Period End | 2023-12-12 | 2026-02-03 |
| Longest DD Days | 708 | 1122 |
| Volatility (ann.) | 17.2% | 13.85% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.55 | 0.37 |
| Skew | 0.32 | 0.04 |
| Kurtosis | 8.95 | 1.81 |
| Ulcer Performance Index | 10.24 | 3.87 |
| Risk-Adjusted Return | 13.36% | 5.86% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.87% | 0.66% |
| Avg. Loss | -0.89% | -0.72% |
| Win/Loss Ratio | 0.98 | 0.92 |
| Profit Ratio | 0.83 | 0.93 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.47% |
| Expected Yearly | 10.95% | 4.83% |
| Kelly Criterion | 7.18% | -0.36% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.41% |
| Expected Shortfall (cVaR) | -2.58% | -1.88% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.16 | 0.08 |
| Gain/Pain (1M) | 0.87 | 0.37 |
| Payoff Ratio | 0.98 | 0.92 |
| Profit Factor | 1.16 | 1.08 |
| Common Sense Ratio | 1.17 | 1.16 |
| CPC Index | 0.61 | 0.52 |
| Tail Ratio | 1.01 | 1.07 |
| Outlier Win Ratio | 3.41 | 3.43 |
| Outlier Loss Ratio | 3.77 | 3.29 |
| MTD | 1.08% | -5.32% |
| 3M | 3.82% | 6.26% |
| 6M | 19.85% | 2.51% |
| YTD | 14.3% | 10.29% |
| 1Y | 17.78% | 10.83% |
| 3Y (ann.) | 24.86% | 5.12% |
| 5Y (ann.) | 13.06% | 5.38% |
| 10Y (ann.) | 13.36% | 5.86% |
| All-time (ann.) | 13.36% | 5.86% |
| Best Day | 10.5% | 3.87% |
| Worst Day | -5.85% | -5.07% |
| Best Month | 10.51% | 12.82% |
| Worst Month | -9.24% | -8.77% |
| Best Year | 26.18% | 22.41% |
| Worst Year | -18.18% | -8.54% |
| Avg. Drawdown | -1.89% | -2.89% |
| Avg. Drawdown Days | 20 | 55 |
| Recovery Factor | 2.85 | 2.07 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | 0.47 | 0.23 |
| Avg. Up Month | 4.12% | 3.66% |
| Avg. Down Month | -3.56% | -3.54% |
| Win Days | 54.04% | 51.8% |
| Win Month | 63.93% | 54.1% |
| Win Quarter | 66.67% | 57.14% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.25 |
| Alpha | - | 0.03 |
| Correlation | - | 31.2% |
| Treynor Ratio | - | 130.19% |
| Year | SPY | LBAY | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 7.01 | 0.93 | - |
| 2022 | -18.18 | 22.41 | -1.23 | + |
| 2023 | 26.18 | -8.54 | -0.33 | - |
| 2024 | 24.89 | -3.49 | -0.14 | - |
| 2025 | 17.72 | 4.08 | 0.23 | - |
| 2026 | 14.30 | 10.29 | 0.72 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-01-09 | 2026-02-03 | -15.99 | 1122 |
| 2026-03-02 | 2026-08-21 | -13.61 | 173 |
| 2022-06-08 | 2022-11-21 | -12.94 | 167 |
| 2026-08-26 | 2026-09-22 | -8.12 | 28 |
| 2021-10-21 | 2021-12-15 | -6.56 | 56 |
| 2022-04-21 | 2022-05-23 | -5.78 | 33 |
| 2026-02-24 | 2026-02-26 | -2.80 | 3 |
| 2021-12-17 | 2021-12-23 | -2.40 | 7 |
| 2022-12-05 | 2022-12-23 | -2.25 | 19 |
| 2022-01-19 | 2022-02-08 | -2.02 | 21 |