| Metric | SPY | LFMIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 88.0% |
| Cumulative Return | 70.69% | 26.69% |
| CAGR﹪ | 11.36% | 4.88% |
| Sharpe | 0.49 | 0.16 |
| Prob. Sharpe Ratio | 86.25% | 63.95% |
| Smart Sharpe | 0.47 | 0.16 |
| Sortino | 0.7 | 0.22 |
| Smart Sortino | 0.68 | 0.21 |
| Sortino/√2 | 0.5 | 0.15 |
| Smart Sortino/√2 | 0.48 | 0.15 |
| Omega | 1.14 | 1.13 |
| Max Drawdown | -26.35% | -12.31% |
| Max DD Date | 2022-10-12 | 2024-01-04 |
| Max DD Period Start | 2022-01-04 | 2022-10-21 |
| Max DD Period End | 2023-12-18 | 2026-01-27 |
| Longest DD Days | 714 | 1195 |
| Volatility (ann.) | 17.16% | 7.18% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.43 | 0.4 |
| Skew | 0.33 | -0.74 |
| Kurtosis | 9.05 | 3.88 |
| Ulcer Performance Index | 7.55 | 4.64 |
| Risk-Adjusted Return | 11.36% | 5.54% |
| Risk-Return Ratio | 0.04 | 0.04 |
| Avg. Return | 0.03% | 0.02% |
| Avg. Win | 0.65% | 0.34% |
| Avg. Loss | -0.75% | -0.42% |
| Win/Loss Ratio | 0.86 | 0.81 |
| Profit Ratio | 0.86 | 0.44 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.88% | 0.39% |
| Expected Yearly | 9.32% | 4.02% |
| Kelly Criterion | -0.53% | 1.47% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.72% |
| Expected Shortfall (cVaR) | -2.58% | -1.08% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.14 | 0.13 |
| Gain/Pain (1M) | 0.74 | 0.62 |
| Payoff Ratio | 0.86 | 0.81 |
| Profit Factor | 1.14 | 1.13 |
| Common Sense Ratio | 1.13 | 1.15 |
| CPC Index | 0.52 | 0.51 |
| Tail Ratio | 1.0 | 1.02 |
| Outlier Win Ratio | 3.42 | 3.66 |
| Outlier Loss Ratio | 3.8 | 2.94 |
| MTD | 1.47% | -1.85% |
| 3M | 1.46% | 1.8% |
| 6M | 6.94% | -1.05% |
| YTD | 13.33% | 9.0% |
| 1Y | 13.43% | 9.49% |
| 3Y (ann.) | 20.78% | 5.39% |
| 5Y (ann.) | 12.3% | 5.22% |
| 10Y (ann.) | 11.36% | 4.88% |
| All-time (ann.) | 11.36% | 4.88% |
| Best Day | 10.5% | 1.77% |
| Worst Day | -5.85% | -2.9% |
| Best Month | 10.51% | 5.53% |
| Worst Month | -10.5% | -5.39% |
| Best Year | 26.18% | 15.76% |
| Worst Year | -20.18% | -6.58% |
| Avg. Drawdown | -1.98% | -1.59% |
| Avg. Drawdown Days | 21 | 53 |
| Recovery Factor | 2.31 | 2.03 |
| Ulcer Index | 0.09 | 0.06 |
| Serenity Index | 0.34 | 0.18 |
| Avg. Up Month | 3.41% | 1.35% |
| Avg. Down Month | -1.41% | -1.11% |
| Win Days | 53.44% | 55.99% |
| Win Month | 62.3% | 60.66% |
| Win Quarter | 71.43% | 66.67% |
| Win Year | 83.33% | 66.67% |
| Beta | - | -0.03 |
| Alpha | - | 0.05 |
| Correlation | - | -7.67% |
| Treynor Ratio | - | -831.44% |
| Year | SPY | LFMIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -2.17 | -1.26 | - |
| 2022 | -20.18 | 15.76 | -0.78 | + |
| 2023 | 26.18 | -6.58 | -0.25 | - |
| 2024 | 24.89 | 6.77 | 0.27 | - |
| 2025 | 17.72 | 2.90 | 0.16 | - |
| 2026 | 13.33 | 9.00 | 0.68 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-10-21 | 2026-01-27 | -12.31 | 1195 |
| 2022-06-14 | 2022-09-21 | -5.95 | 100 |
| 2021-11-26 | 2022-02-23 | -4.19 | 90 |
| 2026-05-14 | 2026-09-11 | -3.48 | 121 |
| 2026-10-13 | 2026-11-04 | -3.20 | 23 |
| 2022-09-28 | 2022-10-06 | -2.40 | 9 |
| 2022-05-17 | 2022-06-08 | -2.09 | 23 |
| 2022-02-25 | 2022-03-01 | -1.98 | 5 |
| 2022-03-28 | 2022-04-05 | -1.45 | 9 |
| 2026-02-10 | 2026-02-24 | -1.35 | 15 |