| Metric | SPY | LEQAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 197.48% | 31.93% |
| CAGR﹪ | 15.87% | 3.82% |
| Sharpe | 0.71 | 0.13 |
| Prob. Sharpe Ratio | 97.17% | 64.0% |
| Smart Sharpe | 0.61 | 0.13 |
| Sortino | 1.0 | 0.18 |
| Smart Sortino | 0.86 | 0.18 |
| Sortino/√2 | 0.7 | 0.13 |
| Smart Sortino/√2 | 0.61 | 0.12 |
| Omega | 1.18 | 1.07 |
| Max Drawdown | -33.72% | -31.68% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2019-11-06 |
| Max DD Period End | 2020-08-07 | 2020-12-03 |
| Longest DD Days | 714 | 1094 |
| Volatility (ann.) | 19.43% | 12.61% |
| R^2 | 0.59 | 0.59 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.47 | 0.12 |
| Skew | -0.29 | -1.11 |
| Kurtosis | 13.99 | 17.01 |
| Ulcer Performance Index | 23.05 | 3.9 |
| Risk-Adjusted Return | 15.87% | 4.06% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.95% | 0.64% |
| Avg. Loss | -1.01% | -0.67% |
| Win/Loss Ratio | 0.94 | 0.95 |
| Profit Ratio | 0.78 | 0.77 |
| Expected Daily | 0.06% | 0.01% |
| Expected Monthly | 1.22% | 0.31% |
| Expected Yearly | 14.6% | 3.52% |
| Kelly Criterion | 7.54% | -0.36% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.29% |
| Expected Shortfall (cVaR) | -3.2% | -2.09% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 7 | 10 |
| Gain/Pain Ratio | 0.18 | 0.07 |
| Gain/Pain (1M) | 1.1 | 0.36 |
| Payoff Ratio | 0.94 | 0.95 |
| Profit Factor | 1.18 | 1.07 |
| Common Sense Ratio | 1.13 | 1.16 |
| CPC Index | 0.61 | 0.52 |
| Tail Ratio | 0.96 | 1.09 |
| Outlier Win Ratio | 3.7 | 4.02 |
| Outlier Loss Ratio | 4.12 | 3.52 |
| 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.) | 15.87% | 3.82% |
| All-time (ann.) | 15.87% | 3.82% |
| Best Day | 10.5% | 5.2% |
| Worst Day | -10.94% | -8.92% |
| Best Month | 12.7% | 9.28% |
| Worst Month | -12.49% | -14.81% |
| Best Year | 28.73% | 14.38% |
| Worst Year | -20.18% | -9.43% |
| Avg. Drawdown | -1.82% | -3.0% |
| Avg. Drawdown Days | 16 | 62 |
| Recovery Factor | 3.65 | 1.06 |
| Ulcer Index | 0.09 | 0.08 |
| Serenity Index | 0.87 | 0.16 |
| Avg. Up Month | 4.53% | 2.6% |
| Avg. Down Month | -4.34% | -3.59% |
| Win Days | 55.13% | 51.14% |
| Win Month | 65.56% | 61.11% |
| Win Quarter | 77.42% | 61.29% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.5 |
| Alpha | - | -0.04 |
| Correlation | - | 76.99% |
| Treynor Ratio | - | 63.94% |
| Year | SPY | LEQAX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 2.44 | 0.15 | - |
| 2020 | 18.33 | 3.75 | 0.20 | - |
| 2021 | 28.73 | 14.38 | 0.50 | - |
| 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 |
|---|---|---|---|
| 2019-11-06 | 2020-12-03 | -31.68 | 394 |
| 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 |
| 2021-06-02 | 2021-11-04 | -5.49 | 156 |
| 2019-07-31 | 2019-11-01 | -4.91 | 94 |
| 2026-01-13 | 2026-04-16 | -4.52 | 94 |
| 2025-09-12 | 2026-01-08 | -4.14 | 119 |
| 2021-03-16 | 2021-04-15 | -3.72 | 31 |
| 2025-07-23 | 2025-08-21 | -3.16 | 30 |