| Metric | SPY | LBAY |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 74.99% | 43.5% |
| CAGR﹪ | 11.91% | 7.53% |
| Sharpe | 0.52 | 0.31 |
| Prob. Sharpe Ratio | 87.6% | 75.58% |
| Smart Sharpe | 0.5 | 0.29 |
| Sortino | 0.74 | 0.46 |
| Smart Sortino | 0.72 | 0.42 |
| Sortino/√2 | 0.53 | 0.32 |
| Smart Sortino/√2 | 0.51 | 0.3 |
| Omega | 1.14 | 1.1 |
| 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.) | 17.19% | 14.2% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.49 | 0.47 |
| Skew | 0.33 | 0.14 |
| Kurtosis | 8.98 | 1.86 |
| Ulcer Performance Index | 8.86 | 5.1 |
| Risk-Adjusted Return | 11.91% | 7.53% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.87% | 0.67% |
| Avg. Loss | -0.88% | -0.72% |
| Win/Loss Ratio | 0.99 | 0.93 |
| Profit Ratio | 0.86 | 0.93 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.92% | 0.59% |
| Expected Yearly | 9.77% | 6.2% |
| Kelly Criterion | 6.41% | 0.1% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.44% |
| Expected Shortfall (cVaR) | -2.58% | -1.89% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.14 | 0.1 |
| Gain/Pain (1M) | 0.79 | 0.43 |
| Payoff Ratio | 0.99 | 0.93 |
| Profit Factor | 1.14 | 1.1 |
| Common Sense Ratio | 1.15 | 1.27 |
| CPC Index | 0.6 | 0.53 |
| Tail Ratio | 1.0 | 1.15 |
| Outlier Win Ratio | 3.4 | 3.62 |
| Outlier Loss Ratio | 3.8 | 3.24 |
| MTD | 1.47% | 4.78% |
| 3M | 1.46% | 11.0% |
| 6M | 6.94% | 11.39% |
| YTD | 13.33% | 21.96% |
| 1Y | 13.43% | 26.04% |
| 3Y (ann.) | 20.78% | 7.57% |
| 5Y (ann.) | 12.86% | 8.15% |
| 10Y (ann.) | 11.91% | 7.53% |
| All-time (ann.) | 11.91% | 7.53% |
| Best Day | 10.5% | 3.87% |
| Worst Day | -5.85% | -5.07% |
| Best Month | 10.51% | 12.82% |
| Worst Month | -9.24% | -9.51% |
| Best Year | 26.18% | 22.41% |
| Worst Year | -18.18% | -8.54% |
| Avg. Drawdown | -1.94% | -3.04% |
| Avg. Drawdown Days | 21 | 57 |
| Recovery Factor | 2.58 | 2.57 |
| Ulcer Index | 0.08 | 0.09 |
| Serenity Index | 0.43 | 0.29 |
| Avg. Up Month | 3.91% | 3.83% |
| Avg. Down Month | -3.48% | -3.98% |
| Win Days | 53.48% | 51.96% |
| Win Month | 62.3% | 54.1% |
| Win Quarter | 71.43% | 57.14% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.25 |
| Alpha | - | 0.05 |
| Correlation | - | 29.79% |
| Treynor Ratio | - | 176.74% |
| Year | SPY | LBAY | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 4.63 | 2.68 | + |
| 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 | 13.33 | 21.96 | 1.65 | + |
| 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 | 2026-11-03 | -12.66 | 70 |
| 2021-11-12 | 2021-12-15 | -6.48 | 34 |
| 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 |