| Metric | SPY | LFMIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 88.0% |
| Cumulative Return | 82.0% | 29.94% |
| CAGR﹪ | 12.81% | 5.41% |
| Sharpe | 0.57 | 0.24 |
| Prob. Sharpe Ratio | 89.76% | 70.38% |
| Smart Sharpe | 0.55 | 0.24 |
| Sortino | 0.82 | 0.33 |
| Smart Sortino | 0.79 | 0.32 |
| Sortino/√2 | 0.58 | 0.23 |
| Smart Sortino/√2 | 0.56 | 0.23 |
| Omega | 1.15 | 1.14 |
| 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.) | 17.17% | 7.16% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.44 |
| Skew | 0.32 | -0.73 |
| Kurtosis | 9.02 | 3.95 |
| Ulcer Performance Index | 8.76 | 5.21 |
| Risk-Adjusted Return | 12.81% | 6.15% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.04% | 0.02% |
| Avg. Win | 0.65% | 0.34% |
| Avg. Loss | -0.76% | -0.42% |
| Win/Loss Ratio | 0.85 | 0.82 |
| Profit Ratio | 0.83 | 0.44 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 0.99% | 0.43% |
| Expected Yearly | 10.5% | 4.46% |
| Kelly Criterion | 0.17% | 1.97% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.72% |
| Expected Shortfall (cVaR) | -2.58% | -1.07% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.15 | 0.14 |
| Gain/Pain (1M) | 0.81 | 0.72 |
| Payoff Ratio | 0.85 | 0.82 |
| Profit Factor | 1.15 | 1.14 |
| Common Sense Ratio | 1.16 | 1.18 |
| CPC Index | 0.53 | 0.52 |
| Tail Ratio | 1.0 | 1.03 |
| Outlier Win Ratio | 3.43 | 3.66 |
| Outlier Loss Ratio | 3.77 | 2.97 |
| MTD | 1.08% | 1.78% |
| 3M | 3.82% | 1.18% |
| 6M | 19.85% | 2.5% |
| YTD | 14.3% | 10.54% |
| 1Y | 17.78% | 13.02% |
| 3Y (ann.) | 24.86% | 4.32% |
| 5Y (ann.) | 12.49% | 5.31% |
| 10Y (ann.) | 12.81% | 5.41% |
| All-time (ann.) | 12.81% | 5.41% |
| 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 | -1.94% | -1.61% |
| Avg. Drawdown Days | 21 | 54 |
| Recovery Factor | 2.55 | 2.23 |
| Ulcer Index | 0.09 | 0.06 |
| Serenity Index | 0.37 | 0.2 |
| Avg. Up Month | 3.47% | 1.37% |
| Avg. Down Month | -1.46% | -1.06% |
| Win Days | 54.0% | 55.95% |
| Win Month | 63.93% | 62.3% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 83.33% | 66.67% |
| Beta | - | -0.03 |
| Alpha | - | 0.06 |
| Correlation | - | -6.57% |
| Treynor Ratio | - | -1094.51% |
| Year | SPY | LFMIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -1.06 | -0.14 | - |
| 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 | 14.30 | 10.54 | 0.74 | - |
| 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 |
| 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 |
| 2022-03-09 | 2022-03-21 | -1.35 | 13 |