| Metric | SPY | LENDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 82.0% |
| Cumulative Return | 17.87% | 3.79% |
| CAGR﹪ | 18.02% | 3.82% |
| Sharpe | 1.04 | -0.11 |
| Prob. Sharpe Ratio | 84.73% | 45.47% |
| Smart Sharpe | 1.01 | -0.1 |
| Sortino | 1.51 | -0.13 |
| Smart Sortino | 1.47 | -0.12 |
| Sortino/√2 | 1.07 | -0.09 |
| Smart Sortino/√2 | 1.04 | -0.08 |
| Omega | 1.25 | 1.79 |
| Max Drawdown | -8.88% | -1.53% |
| Max DD Date | 2026-03-30 | 2026-03-27 |
| Max DD Period Start | 2026-01-28 | 2026-03-23 |
| Max DD Period End | 2026-04-13 | 2026-07-20 |
| Longest DD Days | 76 | 120 |
| Volatility (ann.) | 12.99% | 1.77% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 2.03 | 2.5 |
| Skew | -0.15 | -6.99 |
| Kurtosis | 1.05 | 83.38 |
| Ulcer Performance Index | 8.3 | 6.67 |
| Risk-Adjusted Return | 18.02% | 4.66% |
| Risk-Return Ratio | 0.08 | 0.13 |
| Avg. Return | 0.1% | 0.02% |
| Avg. Win | 0.64% | 0.06% |
| Avg. Loss | -0.61% | -0.11% |
| Win/Loss Ratio | 1.06 | 0.55 |
| Profit Ratio | 0.94 | 0.21 |
| Expected Daily | 0.07% | 0.01% |
| Expected Monthly | 1.27% | 0.29% |
| Expected Yearly | 8.57% | 1.88% |
| Kelly Criterion | 9.72% | 12.07% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.17% |
| Expected Shortfall (cVaR) | -1.72% | -0.67% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.79 |
| Gain/Pain (1M) | 2.6 | 5.83 |
| Payoff Ratio | 1.06 | 0.55 |
| Profit Factor | 1.25 | 1.79 |
| Common Sense Ratio | 1.24 | 3.02 |
| CPC Index | 0.71 | 0.68 |
| Tail Ratio | 0.99 | 1.69 |
| Outlier Win Ratio | 2.88 | 4.76 |
| Outlier Loss Ratio | 3.19 | 2.57 |
| MTD | 1.08% | 0.41% |
| 3M | 3.82% | 1.7% |
| 6M | 19.85% | 0.78% |
| YTD | 14.3% | 2.43% |
| 1Y | 17.87% | 3.79% |
| 3Y (ann.) | 18.02% | 3.82% |
| 5Y (ann.) | 18.02% | 3.82% |
| 10Y (ann.) | 18.02% | 3.82% |
| All-time (ann.) | 18.02% | 3.82% |
| Best Day | 2.91% | 0.39% |
| Worst Day | -2.7% | -1.31% |
| Best Month | 10.51% | 0.73% |
| Worst Month | -4.94% | -0.56% |
| Best Year | 14.3% | 2.43% |
| Worst Year | 3.13% | 1.33% |
| Avg. Drawdown | -1.71% | -0.15% |
| Avg. Drawdown Days | 13 | 11 |
| Recovery Factor | 1.94 | 2.45 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 0.57 |
| Avg. Up Month | 2.1% | 0.36% |
| Avg. Down Month | -4.94% | -0.56% |
| Win Days | 53.6% | 68.63% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.02 |
| Alpha | - | 0.03 |
| Correlation | - | 12.54% |
| Treynor Ratio | - | 222.45% |
| Year | SPY | LENDX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 1.33 | 0.43 | - |
| 2026 | 14.30 | 2.43 | 0.17 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-23 | 2026-07-20 | -1.53 | 120 |
| 2026-08-19 | 2026-09-15 | -0.43 | 28 |
| 2026-02-20 | 2026-02-24 | -0.15 | 5 |
| 2025-11-20 | 2025-11-28 | -0.15 | 9 |
| 2025-12-24 | 2025-12-26 | -0.11 | 3 |
| 2025-12-17 | 2025-12-22 | -0.11 | 6 |
| 2026-08-05 | 2026-08-17 | -0.10 | 13 |
| 2026-01-08 | 2026-01-12 | -0.09 | 5 |
| 2026-01-16 | 2026-01-20 | -0.09 | 5 |
| 2025-12-03 | 2025-12-15 | -0.09 | 13 |