| Metric | SPY | LENDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 84.0% |
| Cumulative Return | 14.39% | 2.87% |
| CAGR﹪ | 14.51% | 2.89% |
| Sharpe | 0.83 | -0.45 |
| Prob. Sharpe Ratio | 79.61% | 31.22% |
| Smart Sharpe | 0.82 | -0.42 |
| Sortino | 1.22 | -0.51 |
| Smart Sortino | 1.2 | -0.48 |
| Sortino/√2 | 0.86 | -0.36 |
| Smart Sortino/√2 | 0.85 | -0.34 |
| Omega | 1.2 | 1.53 |
| 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.) | 12.86% | 1.78% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 1.63 | 1.89 |
| Skew | -0.02 | -6.77 |
| Kurtosis | 0.78 | 80.12 |
| Ulcer Performance Index | 6.68 | 4.96 |
| Risk-Adjusted Return | 14.51% | 3.44% |
| Risk-Return Ratio | 0.07 | 0.1 |
| Avg. Return | 0.09% | 0.01% |
| Avg. Win | 0.68% | 0.06% |
| Avg. Loss | -0.68% | -0.1% |
| Win/Loss Ratio | 1.0 | 0.64 |
| Profit Ratio | 1.02 | 0.28 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.04% | 0.22% |
| Expected Yearly | 6.95% | 1.42% |
| Kelly Criterion | 3.81% | 8.46% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.17% |
| Expected Shortfall (cVaR) | -1.66% | -0.67% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.53 |
| Gain/Pain (1M) | 1.83 | 2.7 |
| Payoff Ratio | 1.0 | 0.64 |
| Profit Factor | 1.2 | 1.53 |
| Common Sense Ratio | 1.19 | 2.3 |
| CPC Index | 0.62 | 0.63 |
| Tail Ratio | 0.99 | 1.5 |
| Outlier Win Ratio | 2.84 | 4.66 |
| Outlier Loss Ratio | 3.01 | 2.69 |
| MTD | 1.47% | 0.08% |
| 3M | 1.46% | 0.3% |
| 6M | 6.94% | 1.63% |
| YTD | 13.33% | 2.32% |
| 1Y | 14.39% | 2.87% |
| 3Y (ann.) | 14.51% | 2.89% |
| 5Y (ann.) | 14.51% | 2.89% |
| 10Y (ann.) | 14.51% | 2.89% |
| All-time (ann.) | 14.51% | 2.89% |
| Best Day | 2.91% | 0.39% |
| Worst Day | -2.58% | -1.31% |
| Best Month | 10.51% | 0.73% |
| Worst Month | -4.94% | -0.56% |
| Best Year | 13.33% | 2.32% |
| Worst Year | 0.94% | 0.54% |
| Avg. Drawdown | -1.74% | -0.18% |
| Avg. Drawdown Days | 14 | 13 |
| Recovery Factor | 1.61 | 1.86 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 0.43 |
| Avg. Up Month | 2.44% | 0.31% |
| Avg. Down Month | -2.92% | -0.49% |
| Win Days | 52.0% | 64.29% |
| Win Month | 61.54% | 76.92% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.02 |
| Alpha | - | 0.03 |
| Correlation | - | 12.11% |
| Treynor Ratio | - | 171.12% |
| Year | SPY | LENDX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 0.54 | 0.57 | - |
| 2026 | 13.33 | 2.32 | 0.17 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-23 | 2026-07-20 | -1.53 | 120 |
| 2026-10-07 | 2026-11-04 | -0.52 | 29 |
| 2026-08-19 | 2026-09-15 | -0.43 | 28 |
| 2026-02-20 | 2026-02-25 | -0.15 | 6 |
| 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 |