| Metric | SPY | LFMIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 81.0% |
| Cumulative Return | 18.6% | 3.12% |
| CAGR﹪ | 40.67% | 6.33% |
| Sharpe | 2.32 | 0.52 |
| Prob. Sharpe Ratio | 95.04% | 64.12% |
| Smart Sharpe | 2.3 | 0.5 |
| Sortino | 3.78 | 0.71 |
| Smart Sortino | 3.75 | 0.69 |
| Sortino/√2 | 2.67 | 0.5 |
| Smart Sortino/√2 | 2.65 | 0.49 |
| Omega | 1.54 | 1.23 |
| Max Drawdown | -4.49% | -3.48% |
| Max DD Date | 2026-06-10 | 2026-07-30 |
| Max DD Period Start | 2026-06-03 | 2026-05-14 |
| Max DD Period End | 2026-07-31 | 2026-09-11 |
| Longest DD Days | 59 | 121 |
| Volatility (ann.) | 13.55% | 5.15% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 9.05 | 1.82 |
| Skew | 0.1 | -0.29 |
| Kurtosis | 1.12 | 1.45 |
| Ulcer Performance Index | 11.86 | 1.9 |
| Risk-Adjusted Return | 40.67% | 7.82% |
| Risk-Return Ratio | 0.16 | 0.08 |
| Avg. Return | 0.19% | 0.03% |
| Avg. Win | 0.67% | 0.24% |
| Avg. Loss | -0.75% | -0.3% |
| Win/Loss Ratio | 0.9 | 0.82 |
| Profit Ratio | 1.12 | 0.27 |
| Expected Daily | 0.14% | 0.02% |
| Expected Monthly | 2.47% | 0.44% |
| Expected Yearly | 18.6% | 3.12% |
| Kelly Criterion | 3.05% | 12.78% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.51% |
| Expected Shortfall (cVaR) | -1.77% | -0.68% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.54 | 0.23 |
| Gain/Pain (1M) | 10.92 | 1.42 |
| Payoff Ratio | 0.9 | 0.82 |
| Profit Factor | 1.54 | 1.23 |
| Common Sense Ratio | 2.01 | 0.92 |
| CPC Index | 0.75 | 0.61 |
| Tail Ratio | 1.3 | 0.75 |
| Outlier Win Ratio | 3.21 | 3.7 |
| Outlier Loss Ratio | 3.16 | 2.09 |
| MTD | 1.08% | 1.78% |
| 3M | 3.82% | 1.18% |
| 6M | 18.6% | 3.12% |
| YTD | 18.6% | 3.12% |
| 1Y | 18.6% | 3.12% |
| 3Y (ann.) | 40.67% | 6.33% |
| 5Y (ann.) | 40.67% | 6.33% |
| 10Y (ann.) | 40.67% | 6.33% |
| All-time (ann.) | 40.67% | 6.33% |
| Best Day | 2.91% | 1.17% |
| Worst Day | -2.58% | -1.06% |
| Best Month | 10.51% | 1.78% |
| Worst Month | -1.03% | -1.53% |
| Best Year | 18.6% | 3.12% |
| Worst Year | 18.6% | 3.12% |
| Avg. Drawdown | -1.13% | -1.08% |
| Avg. Drawdown Days | 9 | 25 |
| Recovery Factor | 3.9 | 0.9 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 2.75 | 0.19 |
| Avg. Up Month | 4.75% | 1.3% |
| Avg. Down Month | -1.03% | -0.47% |
| Win Days | 53.97% | 60.78% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.06 |
| Alpha | - | 0.08 |
| Correlation | - | -15.77% |
| Treynor Ratio | - | -52.01% |
| Year | SPY | LFMIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 3.12 | 0.17 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-14 | 2026-09-11 | -3.48 | 121 |
| 2026-04-08 | 2026-04-22 | -1.06 | 15 |
| 2026-05-05 | 2026-05-08 | -0.81 | 4 |
| 2026-09-17 | 2026-09-22 | -0.69 | 6 |
| 2026-04-30 | 2026-05-01 | -0.35 | 2 |
| 2026-05-12 | 2026-05-12 | -0.12 | 1 |