| Metric | SPY | LFMIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 85.0% |
| Cumulative Return | 14.39% | 9.77% |
| CAGR﹪ | 14.51% | 9.85% |
| Sharpe | 0.83 | 0.97 |
| Prob. Sharpe Ratio | 79.61% | 83.2% |
| Smart Sharpe | 0.82 | 0.91 |
| Sortino | 1.22 | 1.39 |
| Smart Sortino | 1.2 | 1.3 |
| Sortino/√2 | 0.86 | 0.98 |
| Smart Sortino/√2 | 0.85 | 0.92 |
| Omega | 1.2 | 1.3 |
| Max Drawdown | -8.88% | -3.48% |
| Max DD Date | 2026-03-30 | 2026-07-30 |
| Max DD Period Start | 2026-01-28 | 2026-05-14 |
| Max DD Period End | 2026-04-13 | 2026-09-11 |
| Longest DD Days | 76 | 121 |
| Volatility (ann.) | 12.86% | 6.08% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 1.63 | 2.83 |
| Skew | -0.02 | -0.14 |
| Kurtosis | 0.78 | 0.98 |
| Ulcer Performance Index | 6.68 | 7.45 |
| Risk-Adjusted Return | 14.51% | 11.59% |
| Risk-Return Ratio | 0.07 | 0.1 |
| Avg. Return | 0.08% | 0.04% |
| Avg. Win | 0.61% | 0.31% |
| Avg. Loss | -0.65% | -0.38% |
| Win/Loss Ratio | 0.93 | 0.83 |
| Profit Ratio | 1.02 | 0.34 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.04% | 0.72% |
| Expected Yearly | 6.95% | 4.77% |
| Kelly Criterion | 0.64% | 11.49% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.59% |
| Expected Shortfall (cVaR) | -1.66% | -0.77% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.3 |
| Gain/Pain (1M) | 1.83 | 2.01 |
| Payoff Ratio | 0.93 | 0.83 |
| Profit Factor | 1.2 | 1.3 |
| Common Sense Ratio | 1.19 | 1.34 |
| CPC Index | 0.58 | 0.64 |
| Tail Ratio | 0.99 | 1.03 |
| Outlier Win Ratio | 2.84 | 3.43 |
| Outlier Loss Ratio | 3.01 | 2.55 |
| MTD | 1.47% | -1.85% |
| 3M | 1.46% | 1.8% |
| 6M | 6.94% | -1.05% |
| YTD | 13.33% | 9.0% |
| 1Y | 14.39% | 9.77% |
| 3Y (ann.) | 14.51% | 9.85% |
| 5Y (ann.) | 14.51% | 9.85% |
| 10Y (ann.) | 14.51% | 9.85% |
| All-time (ann.) | 14.51% | 9.85% |
| Best Day | 2.91% | 1.5% |
| Worst Day | -2.58% | -1.14% |
| Best Month | 10.51% | 3.34% |
| Worst Month | -4.94% | -1.85% |
| Best Year | 13.33% | 9.0% |
| Worst Year | 0.94% | 0.71% |
| Avg. Drawdown | -1.74% | -0.89% |
| Avg. Drawdown Days | 14 | 12 |
| Recovery Factor | 1.61 | 2.73 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 0.97 |
| Avg. Up Month | 3.68% | 1.55% |
| Avg. Down Month | -0.97% | -0.58% |
| Win Days | 52.0% | 59.91% |
| Win Month | 61.54% | 53.85% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.01 |
| Alpha | - | 0.1 |
| Correlation | - | -2.64% |
| Treynor Ratio | - | -783.34% |
| Year | SPY | LFMIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 0.71 | 0.75 | - |
| 2026 | 13.33 | 9.00 | 0.68 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-14 | 2026-09-11 | -3.48 | 121 |
| 2026-10-13 | 2026-11-04 | -3.20 | 23 |
| 2025-11-13 | 2025-12-22 | -1.87 | 40 |
| 2026-02-10 | 2026-02-24 | -1.35 | 15 |
| 2026-01-30 | 2026-02-03 | -1.11 | 5 |
| 2026-04-08 | 2026-04-22 | -1.06 | 15 |
| 2026-01-15 | 2026-01-23 | -1.00 | 9 |
| 2026-02-05 | 2026-02-06 | -0.87 | 2 |
| 2026-05-05 | 2026-05-08 | -0.81 | 4 |
| 2026-09-17 | 2026-09-22 | -0.69 | 6 |