| Metric | SPY | LEQAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 200.03% | 34.75% |
| CAGR﹪ | 16.3% | 4.18% |
| Sharpe | 0.72 | 0.16 |
| Prob. Sharpe Ratio | 97.33% | 66.6% |
| Smart Sharpe | 0.62 | 0.15 |
| Sortino | 1.02 | 0.22 |
| Smart Sortino | 0.88 | 0.21 |
| Sortino/√2 | 0.72 | 0.16 |
| Smart Sortino/√2 | 0.62 | 0.15 |
| 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.) | 19.54% | 12.7% |
| R^2 | 0.6 | 0.6 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.48 | 0.13 |
| Skew | -0.29 | -1.11 |
| Kurtosis | 13.9 | 16.78 |
| Ulcer Performance Index | 23.16 | 4.23 |
| Risk-Adjusted Return | 16.3% | 4.4% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.95% | 0.64% |
| Avg. Loss | -1.02% | -0.67% |
| Win/Loss Ratio | 0.94 | 0.95 |
| Profit Ratio | 0.77 | 0.79 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.26% | 0.34% |
| Expected Yearly | 14.72% | 3.8% |
| Kelly Criterion | 7.47% | -0.16% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -1.3% |
| 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) | 1.12 | 0.39 |
| Payoff Ratio | 0.94 | 0.95 |
| Profit Factor | 1.18 | 1.07 |
| Common Sense Ratio | 1.13 | 1.17 |
| CPC Index | 0.61 | 0.52 |
| Tail Ratio | 0.96 | 1.09 |
| Outlier Win Ratio | 3.7 | 3.95 |
| Outlier Loss Ratio | 4.1 | 3.53 |
| MTD | 1.08% | -1.66% |
| 3M | 3.82% | -2.68% |
| 6M | 19.85% | 5.83% |
| YTD | 14.3% | 4.65% |
| 1Y | 17.78% | 2.95% |
| 3Y (ann.) | 24.86% | 10.28% |
| 5Y (ann.) | 12.49% | 2.34% |
| 10Y (ann.) | 16.3% | 4.18% |
| All-time (ann.) | 16.3% | 4.18% |
| 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 | -1.81% | -2.95% |
| Avg. Drawdown Days | 16 | 60 |
| Recovery Factor | 3.67 | 1.13 |
| Ulcer Index | 0.09 | 0.08 |
| Serenity Index | 0.87 | 0.17 |
| Avg. Up Month | 4.6% | 2.65% |
| Avg. Down Month | -4.54% | -3.57% |
| Win Days | 55.24% | 51.24% |
| Win Month | 67.05% | 60.23% |
| Win Quarter | 76.67% | 60.0% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.5 |
| Alpha | - | -0.04 |
| Correlation | - | 77.17% |
| Treynor Ratio | - | 69.31% |
| 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 | 14.30 | 4.65 | 0.33 | - |
| 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 |
| 2021-06-02 | 2021-11-04 | -5.49 | 156 |
| 2019-07-31 | 2019-11-01 | -4.91 | 94 |
| 2026-02-23 | 2026-04-16 | -4.52 | 53 |
| 2025-09-12 | 2026-01-08 | -4.14 | 119 |
| 2026-07-06 | 2026-09-22 | -3.94 | 79 |
| 2021-03-16 | 2021-04-15 | -3.72 | 31 |
| 2025-07-23 | 2025-08-21 | -3.16 | 30 |