| Metric | SPY | LENDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 81.0% |
| Cumulative Return | 74.99% | 10.27% |
| CAGR﹪ | 11.91% | 1.99% |
| Sharpe | 0.52 | -1.13 |
| Prob. Sharpe Ratio | 87.6% | 0.22% |
| Smart Sharpe | 0.5 | -1.05 |
| Sortino | 0.74 | -1.32 |
| Smart Sortino | 0.72 | -1.23 |
| Sortino/√2 | 0.53 | -0.93 |
| Smart Sortino/√2 | 0.51 | -0.87 |
| Omega | 1.14 | 1.37 |
| Max Drawdown | -24.5% | -3.6% |
| Max DD Date | 2022-10-12 | 2024-03-28 |
| Max DD Period Start | 2022-01-04 | 2022-06-23 |
| Max DD Period End | 2023-12-12 | 2025-05-19 |
| Longest DD Days | 708 | 1062 |
| Volatility (ann.) | 17.19% | 1.66% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.55 |
| Skew | 0.33 | -4.17 |
| Kurtosis | 8.98 | 55.78 |
| Ulcer Performance Index | 8.86 | 6.6 |
| Risk-Adjusted Return | 11.91% | 2.45% |
| Risk-Return Ratio | 0.05 | 0.08 |
| Avg. Return | 0.06% | 0.01% |
| Avg. Win | 0.81% | 0.06% |
| Avg. Loss | -0.74% | -0.07% |
| Win/Loss Ratio | 1.1 | 0.75 |
| Profit Ratio | 0.86 | 0.22 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.92% | 0.16% |
| Expected Yearly | 9.77% | 1.64% |
| Kelly Criterion | 11.28% | 17.18% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.16% |
| Expected Shortfall (cVaR) | -2.58% | -0.47% |
| Max Consecutive Wins | 10 | 13 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.14 | 0.37 |
| Gain/Pain (1M) | 0.79 | 1.42 |
| Payoff Ratio | 1.1 | 0.75 |
| Profit Factor | 1.14 | 1.37 |
| Common Sense Ratio | 1.15 | 1.73 |
| CPC Index | 0.67 | 0.67 |
| Tail Ratio | 1.0 | 1.26 |
| Outlier Win Ratio | 3.4 | 5.29 |
| Outlier Loss Ratio | 3.8 | 4.53 |
| MTD | 1.47% | 0.08% |
| 3M | 1.46% | 0.3% |
| 6M | 6.94% | 1.63% |
| YTD | 13.33% | 2.32% |
| 1Y | 13.43% | 2.89% |
| 3Y (ann.) | 20.78% | 2.58% |
| 5Y (ann.) | 12.86% | 1.85% |
| 10Y (ann.) | 11.91% | 1.99% |
| All-time (ann.) | 11.91% | 1.99% |
| Best Day | 10.5% | 1.0% |
| Worst Day | -5.85% | -1.31% |
| Best Month | 10.51% | 1.07% |
| Worst Month | -9.24% | -0.95% |
| Best Year | 26.18% | 3.48% |
| Worst Year | -18.18% | -2.12% |
| Avg. Drawdown | -1.94% | -0.22% |
| Avg. Drawdown Days | 21 | 34 |
| Recovery Factor | 2.58 | 2.73 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.43 | 0.21 |
| Avg. Up Month | 3.24% | 0.37% |
| Avg. Down Month | -3.53% | -0.31% |
| Win Days | 53.48% | 64.39% |
| Win Month | 62.3% | 65.57% |
| Win Quarter | 71.43% | 66.67% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.0 |
| Alpha | - | 0.02 |
| Correlation | - | 2.5% |
| Treynor Ratio | - | 4255.39% |
| Year | SPY | LENDX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 1.82 | 1.05 | + |
| 2022 | -18.18 | 2.35 | -0.13 | + |
| 2023 | 26.18 | -2.12 | -0.08 | - |
| 2024 | 24.89 | 2.10 | 0.08 | - |
| 2025 | 17.72 | 3.48 | 0.20 | - |
| 2026 | 13.33 | 2.32 | 0.17 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-23 | 2025-05-19 | -3.60 | 1062 |
| 2026-03-23 | 2026-07-20 | -1.53 | 120 |
| 2022-04-28 | 2022-06-08 | -0.63 | 42 |
| 2026-10-07 | 2026-11-04 | -0.52 | 29 |
| 2026-08-19 | 2026-09-15 | -0.43 | 28 |
| 2025-09-05 | 2025-09-29 | -0.37 | 25 |
| 2025-07-17 | 2025-08-04 | -0.28 | 19 |
| 2026-02-20 | 2026-02-25 | -0.15 | 6 |
| 2025-11-20 | 2025-11-28 | -0.15 | 9 |
| 2025-05-30 | 2025-06-16 | -0.15 | 18 |