| Metric | SPY | LBAY |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 130.55% | 75.38% |
| CAGR﹪ | 15.1% | 9.92% |
| Sharpe | 0.74 | 0.51 |
| Prob. Sharpe Ratio | 96.49% | 89.21% |
| Smart Sharpe | 0.72 | 0.48 |
| Sortino | 1.07 | 0.75 |
| Smart Sortino | 1.04 | 0.71 |
| Sortino/√2 | 0.76 | 0.53 |
| Smart Sortino/√2 | 0.73 | 0.5 |
| Omega | 1.18 | 1.13 |
| 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.) | 16.48% | 14.28% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.62 | 0.62 |
| Skew | 0.28 | 0.1 |
| Kurtosis | 9.04 | 1.56 |
| Ulcer Performance Index | 16.83 | 9.39 |
| Risk-Adjusted Return | 15.1% | 9.92% |
| Risk-Return Ratio | 0.06 | 0.05 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.84% | 0.7% |
| Avg. Loss | -0.84% | -0.75% |
| Win/Loss Ratio | 1.0 | 0.94 |
| Profit Ratio | 0.84 | 0.94 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.15% | 0.77% |
| Expected Yearly | 12.67% | 8.36% |
| Kelly Criterion | 8.47% | 1.33% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.65% | -1.44% |
| Expected Shortfall (cVaR) | -2.42% | -1.92% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.18 | 0.13 |
| Gain/Pain (1M) | 1.1 | 0.6 |
| Payoff Ratio | 1.0 | 0.94 |
| Profit Factor | 1.18 | 1.13 |
| Common Sense Ratio | 1.2 | 1.32 |
| CPC Index | 0.64 | 0.55 |
| Tail Ratio | 1.01 | 1.17 |
| Outlier Win Ratio | 3.46 | 3.51 |
| Outlier Loss Ratio | 3.91 | 3.22 |
| 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.) | 15.1% | 9.92% |
| All-time (ann.) | 15.1% | 9.92% |
| 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 | 28.73% | 22.41% |
| Worst Year | -18.18% | -8.54% |
| Avg. Drawdown | -1.66% | -2.92% |
| Avg. Drawdown Days | 16 | 49 |
| Recovery Factor | 3.74 | 3.89 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | 0.67 | 0.48 |
| Avg. Up Month | 3.85% | 3.79% |
| Avg. Down Month | -3.3% | -3.66% |
| Win Days | 54.25% | 52.18% |
| Win Month | 65.75% | 56.16% |
| Win Quarter | 76.0% | 64.0% |
| Win Year | 85.71% | 71.43% |
| Beta | - | 0.29 |
| Alpha | - | 0.06 |
| Correlation | - | 32.94% |
| Treynor Ratio | - | 264.08% |
| 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 | 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 |
| 2021-05-18 | 2022-01-03 | -10.45 | 231 |
| 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 |