| Metric | SPY | LEQAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 70.69% | 8.13% |
| CAGR﹪ | 11.36% | 1.59% |
| Sharpe | 0.49 | -0.18 |
| Prob. Sharpe Ratio | 86.25% | 34.17% |
| Smart Sharpe | 0.47 | -0.17 |
| Sortino | 0.7 | -0.26 |
| Smart Sortino | 0.68 | -0.25 |
| Sortino/√2 | 0.5 | -0.18 |
| Smart Sortino/√2 | 0.48 | -0.17 |
| Omega | 1.14 | 1.04 |
| Max Drawdown | -26.35% | -18.46% |
| Max DD Date | 2022-10-12 | 2023-10-27 |
| Max DD Period Start | 2022-01-04 | 2021-11-08 |
| Max DD Period End | 2023-12-18 | 2024-11-05 |
| Longest DD Days | 714 | 1094 |
| Volatility (ann.) | 17.16% | 9.86% |
| R^2 | 0.51 | 0.51 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.43 | 0.09 |
| Skew | 0.33 | 0.05 |
| Kurtosis | 9.05 | 1.59 |
| Ulcer Performance Index | 7.55 | 1.07 |
| Risk-Adjusted Return | 11.36% | 1.69% |
| Risk-Return Ratio | 0.04 | 0.01 |
| Avg. Return | 0.05% | 0.01% |
| Avg. Win | 0.92% | 0.56% |
| Avg. Loss | -0.93% | -0.56% |
| Win/Loss Ratio | 0.99 | 0.99 |
| Profit Ratio | 0.86 | 0.8 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.88% | 0.13% |
| Expected Yearly | 9.32% | 1.31% |
| Kelly Criterion | 6.28% | -0.41% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.01% |
| Expected Shortfall (cVaR) | -2.58% | -1.41% |
| Max Consecutive Wins | 10 | 6 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.14 | 0.04 |
| Gain/Pain (1M) | 0.74 | 0.17 |
| Payoff Ratio | 0.99 | 0.99 |
| Profit Factor | 1.14 | 1.04 |
| Common Sense Ratio | 1.13 | 1.1 |
| CPC Index | 0.6 | 0.51 |
| Tail Ratio | 1.0 | 1.06 |
| Outlier Win Ratio | 3.42 | 3.77 |
| Outlier Loss Ratio | 3.8 | 3.2 |
| MTD | 1.47% | 0.09% |
| 3M | 1.46% | -3.72% |
| 6M | 6.94% | -0.68% |
| YTD | 13.33% | 2.46% |
| 1Y | 13.43% | 3.15% |
| 3Y (ann.) | 20.78% | 7.08% |
| 5Y (ann.) | 12.3% | 2.42% |
| 10Y (ann.) | 11.36% | 1.59% |
| All-time (ann.) | 11.36% | 1.59% |
| Best Day | 10.5% | 2.67% |
| Worst Day | -5.85% | -2.59% |
| Best Month | 10.51% | 6.14% |
| Worst Month | -10.5% | -4.97% |
| Best Year | 26.18% | 11.34% |
| Worst Year | -20.18% | -9.43% |
| Avg. Drawdown | -1.98% | -3.82% |
| Avg. Drawdown Days | 21 | 110 |
| Recovery Factor | 2.31 | 0.55 |
| Ulcer Index | 0.09 | 0.08 |
| Serenity Index | 0.34 | 0.06 |
| Avg. Up Month | 4.46% | 2.33% |
| Avg. Down Month | -4.19% | -3.09% |
| Win Days | 53.44% | 49.96% |
| Win Month | 62.3% | 57.38% |
| Win Quarter | 71.43% | 52.38% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.41 |
| Alpha | - | -0.03 |
| Correlation | - | 71.43% |
| Treynor Ratio | - | 19.8% |
| Year | SPY | LEQAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -0.37 | -0.21 | - |
| 2022 | -20.18 | -9.43 | 0.47 | + |
| 2023 | 26.18 | 2.24 | 0.09 | - |
| 2024 | 24.89 | 11.34 | 0.46 | - |
| 2025 | 17.72 | 2.74 | 0.15 | - |
| 2026 | 13.33 | 2.46 | 0.18 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-08 | 2024-11-05 | -18.46 | 1094 |
| 2024-12-03 | 2025-07-21 | -12.83 | 231 |
| 2026-07-06 | 2026-11-04 | -5.91 | 122 |
| 2026-02-23 | 2026-04-16 | -4.52 | 53 |
| 2025-09-12 | 2026-01-08 | -4.14 | 119 |
| 2025-07-23 | 2025-08-21 | -3.16 | 30 |
| 2026-01-13 | 2026-02-19 | -2.90 | 38 |
| 2026-05-11 | 2026-05-22 | -1.97 | 12 |
| 2026-05-29 | 2026-06-12 | -1.91 | 15 |
| 2026-04-21 | 2026-05-07 | -1.44 | 17 |