| Metric | SPY | LBAY |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 132.52% | 58.59% |
| CAGR﹪ | 15.61% | 8.25% |
| Sharpe | 0.76 | 0.4 |
| Prob. Sharpe Ratio | 96.76% | 83.49% |
| Smart Sharpe | 0.74 | 0.38 |
| Sortino | 1.1 | 0.59 |
| Smart Sortino | 1.07 | 0.55 |
| Sortino/√2 | 0.78 | 0.42 |
| Smart Sortino/√2 | 0.76 | 0.39 |
| Omega | 1.19 | 1.11 |
| 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.) | 16.57% | 14.03% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.64 | 0.52 |
| Skew | 0.28 | 0.02 |
| Kurtosis | 9.01 | 1.53 |
| Ulcer Performance Index | 16.91 | 7.3 |
| Risk-Adjusted Return | 15.61% | 8.25% |
| Risk-Return Ratio | 0.06 | 0.04 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.84% | 0.7% |
| Avg. Loss | -0.84% | -0.74% |
| Win/Loss Ratio | 0.99 | 0.94 |
| Profit Ratio | 0.83 | 0.93 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.2% | 0.65% |
| Expected Yearly | 12.81% | 6.81% |
| Kelly Criterion | 8.43% | 0.86% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.65% | -1.42% |
| Expected Shortfall (cVaR) | -2.44% | -1.91% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.19 | 0.11 |
| Gain/Pain (1M) | 1.12 | 0.53 |
| Payoff Ratio | 0.99 | 0.94 |
| Profit Factor | 1.19 | 1.11 |
| Common Sense Ratio | 1.2 | 1.27 |
| CPC Index | 0.64 | 0.54 |
| Tail Ratio | 1.01 | 1.14 |
| Outlier Win Ratio | 3.46 | 3.32 |
| Outlier Loss Ratio | 3.89 | 3.27 |
| 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.) | 15.61% | 8.25% |
| All-time (ann.) | 15.61% | 8.25% |
| 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 | 28.73% | 22.41% |
| Worst Year | -18.18% | -8.54% |
| Avg. Drawdown | -1.64% | -2.81% |
| Avg. Drawdown Days | 16 | 48 |
| Recovery Factor | 3.77 | 3.24 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | 0.67 | 0.39 |
| Avg. Up Month | 3.93% | 3.76% |
| Avg. Down Month | -3.47% | -3.32% |
| Win Days | 54.37% | 52.05% |
| Win Month | 67.61% | 54.93% |
| Win Quarter | 75.0% | 62.5% |
| Win Year | 85.71% | 71.43% |
| Beta | - | 0.29 |
| Alpha | - | 0.04 |
| Correlation | - | 34.27% |
| Treynor Ratio | - | 201.95% |
| Year | SPY | LBAY | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 4.12 | 4.58 | 1.11 | + |
| 2021 | 28.73 | 22.27 | 0.78 | - |
| 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 |
| 2021-05-18 | 2022-01-03 | -10.45 | 231 |
| 2026-08-26 | 2026-09-22 | -8.12 | 28 |
| 2022-04-21 | 2022-05-23 | -5.78 | 33 |
| 2021-01-15 | 2021-02-19 | -5.34 | 36 |
| 2021-03-16 | 2021-03-25 | -4.14 | 10 |
| 2021-02-25 | 2021-03-04 | -2.91 | 8 |
| 2026-02-24 | 2026-02-26 | -2.80 | 3 |