| Metric | SPY | LFMIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 86.0% |
| Cumulative Return | 17.87% | 12.31% |
| CAGR﹪ | 18.02% | 12.41% |
| Sharpe | 1.04 | 1.36 |
| Prob. Sharpe Ratio | 84.73% | 91.2% |
| Smart Sharpe | 1.01 | 1.31 |
| Sortino | 1.51 | 2.02 |
| Smart Sortino | 1.47 | 1.95 |
| Sortino/√2 | 1.07 | 1.43 |
| Smart Sortino/√2 | 1.04 | 1.38 |
| Omega | 1.25 | 1.4 |
| 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.) | 12.99% | 5.8% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 2.03 | 3.57 |
| Skew | -0.15 | -0.0 |
| Kurtosis | 1.05 | 0.94 |
| Ulcer Performance Index | 8.3 | 9.11 |
| Risk-Adjusted Return | 18.02% | 14.43% |
| Risk-Return Ratio | 0.08 | 0.13 |
| Avg. Return | 0.09% | 0.06% |
| Avg. Win | 0.63% | 0.32% |
| Avg. Loss | -0.71% | -0.35% |
| Win/Loss Ratio | 0.89 | 0.93 |
| Profit Ratio | 0.94 | 0.41 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.27% | 0.9% |
| Expected Yearly | 8.57% | 5.97% |
| Kelly Criterion | 1.45% | 14.34% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.55% |
| Expected Shortfall (cVaR) | -1.72% | -0.7% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.4 |
| Gain/Pain (1M) | 2.6 | 4.57 |
| Payoff Ratio | 0.89 | 0.93 |
| Profit Factor | 1.25 | 1.4 |
| Common Sense Ratio | 1.24 | 1.46 |
| CPC Index | 0.6 | 0.77 |
| Tail Ratio | 0.99 | 1.04 |
| Outlier Win Ratio | 2.88 | 3.38 |
| Outlier Loss Ratio | 3.19 | 2.42 |
| MTD | 1.08% | 1.78% |
| 3M | 3.82% | 1.18% |
| 6M | 19.85% | 2.5% |
| YTD | 14.3% | 10.54% |
| 1Y | 17.87% | 12.31% |
| 3Y (ann.) | 18.02% | 12.41% |
| 5Y (ann.) | 18.02% | 12.41% |
| 10Y (ann.) | 18.02% | 12.41% |
| All-time (ann.) | 18.02% | 12.41% |
| Best Day | 2.91% | 1.5% |
| Worst Day | -2.7% | -1.06% |
| Best Month | 10.51% | 3.34% |
| Worst Month | -4.94% | -1.53% |
| Best Year | 14.3% | 10.54% |
| Worst Year | 3.13% | 1.6% |
| Avg. Drawdown | -1.71% | -0.92% |
| Avg. Drawdown Days | 13 | 14 |
| Recovery Factor | 1.94 | 3.38 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 1.13 |
| Avg. Up Month | 2.66% | 1.32% |
| Avg. Down Month | -1.03% | -0.47% |
| Win Days | 53.6% | 58.69% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.03 |
| Alpha | - | 0.11 |
| Correlation | - | 6.95% |
| Treynor Ratio | - | 396.77% |
| Year | SPY | LFMIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 1.60 | 0.51 | - |
| 2026 | 14.30 | 10.54 | 0.74 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-14 | 2026-09-11 | -3.48 | 121 |
| 2025-10-22 | 2026-01-02 | -2.60 | 73 |
| 2026-02-10 | 2026-02-24 | -1.35 | 15 |
| 2026-01-30 | 2026-02-03 | -1.11 | 5 |
| 2026-04-08 | 2026-04-23 | -1.06 | 16 |
| 2026-01-15 | 2026-01-23 | -1.00 | 9 |
| 2025-10-09 | 2025-10-15 | -0.99 | 7 |
| 2026-02-05 | 2026-02-06 | -0.87 | 2 |
| 2026-05-05 | 2026-05-12 | -0.81 | 8 |
| 2026-09-17 | 2026-09-22 | -0.69 | 6 |