| Metric | SPY | LENDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 77.0% |
| Cumulative Return | 192.68% | 59.63% |
| CAGR﹪ | 15.68% | 6.55% |
| Sharpe | 0.7 | 0.49 |
| Prob. Sharpe Ratio | 96.98% | 92.37% |
| Smart Sharpe | 0.6 | 0.48 |
| Sortino | 0.98 | 0.86 |
| Smart Sortino | 0.85 | 0.83 |
| Sortino/√2 | 0.69 | 0.6 |
| Smart Sortino/√2 | 0.6 | 0.59 |
| Omega | 1.18 | 1.51 |
| Max Drawdown | -33.72% | -10.99% |
| Max DD Date | 2020-03-23 | 2021-05-13 |
| Max DD Period Start | 2020-02-20 | 2021-03-23 |
| Max DD Period End | 2020-08-20 | 2021-05-20 |
| Longest DD Days | 708 | 1062 |
| Volatility (ann.) | 19.47% | 7.6% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.47 | 0.6 |
| Skew | -0.28 | 5.24 |
| Kurtosis | 13.94 | 161.41 |
| Ulcer Performance Index | 24.28 | 25.21 |
| Risk-Adjusted Return | 15.68% | 8.51% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.08% | 0.03% |
| Avg. Win | 0.79% | 0.17% |
| Avg. Loss | -0.77% | -0.21% |
| Win/Loss Ratio | 1.03 | 0.78 |
| Profit Ratio | 0.78 | 0.18 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.2% | 0.52% |
| Expected Yearly | 14.37% | 6.02% |
| Kelly Criterion | 11.3% | 23.77% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.76% |
| Expected Shortfall (cVaR) | -3.2% | -1.51% |
| Max Consecutive Wins | 11 | 22 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.51 |
| Gain/Pain (1M) | 1.1 | 3.07 |
| Payoff Ratio | 1.03 | 0.78 |
| Profit Factor | 1.18 | 1.51 |
| Common Sense Ratio | 1.12 | 1.79 |
| CPC Index | 0.67 | 0.79 |
| Tail Ratio | 0.96 | 1.18 |
| Outlier Win Ratio | 3.7 | 12.92 |
| Outlier Loss Ratio | 4.12 | 5.49 |
| 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.) | 15.68% | 6.55% |
| All-time (ann.) | 15.68% | 6.55% |
| Best Day | 10.5% | 10.01% |
| Worst Day | -10.94% | -7.22% |
| Best Month | 12.03% | 13.13% |
| Worst Month | -12.49% | -3.78% |
| Best Year | 28.73% | 30.07% |
| Worst Year | -18.18% | -2.12% |
| Avg. Drawdown | -1.83% | -0.76% |
| Avg. Drawdown Days | 16 | 30 |
| Recovery Factor | 3.6 | 4.45 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 1.0 | 1.49 |
| Avg. Up Month | 3.5% | 1.11% |
| Avg. Down Month | -4.52% | -0.32% |
| Win Days | 55.06% | 66.53% |
| Win Month | 65.56% | 72.22% |
| Win Quarter | 77.42% | 74.19% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.01 |
| Alpha | - | 0.06 |
| Correlation | - | 2.03% |
| Treynor Ratio | - | 7532.04% |
| Year | SPY | LENDX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 14.71 | 2.99 | 0.20 | - |
| 2020 | 15.22 | 10.04 | 0.66 | - |
| 2021 | 28.73 | 30.07 | 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 |
|---|---|---|---|
| 2021-03-23 | 2021-05-20 | -10.99 | 59 |
| 2021-02-16 | 2021-03-17 | -8.32 | 30 |
| 2021-06-08 | 2022-02-25 | -7.58 | 263 |
| 2020-02-25 | 2020-09-14 | -3.63 | 203 |
| 2022-06-23 | 2025-05-19 | -3.60 | 1062 |
| 2021-05-28 | 2021-06-02 | -2.97 | 6 |
| 2021-05-24 | 2021-05-26 | -2.90 | 3 |
| 2020-12-23 | 2021-01-05 | -2.14 | 14 |
| 2026-03-23 | 2026-07-20 | -1.53 | 120 |
| 2021-01-26 | 2021-01-29 | -0.94 | 4 |