| Metric | SPY | LFMIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 88.0% |
| Cumulative Return | 197.48% | 46.64% |
| CAGR﹪ | 15.87% | 5.31% |
| Sharpe | 0.71 | 0.36 |
| Prob. Sharpe Ratio | 97.17% | 83.06% |
| Smart Sharpe | 0.61 | 0.35 |
| Sortino | 1.0 | 0.47 |
| Smart Sortino | 0.86 | 0.46 |
| Sortino/√2 | 0.7 | 0.34 |
| Smart Sortino/√2 | 0.61 | 0.33 |
| Omega | 1.18 | 1.14 |
| Max Drawdown | -33.72% | -12.31% |
| Max DD Date | 2020-03-23 | 2024-01-04 |
| Max DD Period Start | 2020-02-20 | 2022-10-21 |
| Max DD Period End | 2020-08-07 | 2026-01-27 |
| Longest DD Days | 714 | 1195 |
| Volatility (ann.) | 19.43% | 7.19% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.47 | 0.43 |
| Skew | -0.29 | -0.95 |
| Kurtosis | 13.99 | 5.31 |
| Ulcer Performance Index | 23.05 | 9.12 |
| Risk-Adjusted Return | 15.87% | 6.03% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.76% | 0.35% |
| Avg. Loss | -0.89% | -0.44% |
| Win/Loss Ratio | 0.85 | 0.8 |
| Profit Ratio | 0.78 | 0.43 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.22% | 0.43% |
| Expected Yearly | 14.6% | 4.9% |
| Kelly Criterion | 2.25% | 1.58% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.72% |
| Expected Shortfall (cVaR) | -3.2% | -1.1% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.18 | 0.14 |
| Gain/Pain (1M) | 1.1 | 0.71 |
| Payoff Ratio | 0.85 | 0.8 |
| Profit Factor | 1.18 | 1.14 |
| Common Sense Ratio | 1.13 | 1.12 |
| CPC Index | 0.55 | 0.51 |
| Tail Ratio | 0.96 | 0.98 |
| Outlier Win Ratio | 3.7 | 3.61 |
| Outlier Loss Ratio | 4.12 | 3.05 |
| 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.) | 15.87% | 5.31% |
| All-time (ann.) | 15.87% | 5.31% |
| Best Day | 10.5% | 1.77% |
| Worst Day | -10.94% | -3.77% |
| Best Month | 12.7% | 5.53% |
| Worst Month | -12.49% | -5.39% |
| Best Year | 28.73% | 15.76% |
| Worst Year | -20.18% | -6.58% |
| Avg. Drawdown | -1.82% | -1.56% |
| Avg. Drawdown Days | 16 | 47 |
| Recovery Factor | 3.65 | 3.27 |
| Ulcer Index | 0.09 | 0.05 |
| Serenity Index | 0.87 | 0.35 |
| Avg. Up Month | 4.2% | 1.54% |
| Avg. Down Month | -3.1% | -1.28% |
| Win Days | 55.13% | 56.33% |
| Win Month | 65.56% | 58.89% |
| Win Quarter | 77.42% | 70.97% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.04 |
| Alpha | - | 0.05 |
| Correlation | - | 10.09% |
| Treynor Ratio | - | 1249.04% |
| Year | SPY | LFMIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 8.17 | 0.50 | - |
| 2020 | 18.33 | 4.60 | 0.25 | - |
| 2021 | 28.73 | 0.08 | 0.00 | - |
| 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 |
| 2020-02-21 | 2020-12-31 | -9.23 | 315 |
| 2021-05-10 | 2022-03-07 | -7.39 | 302 |
| 2022-06-14 | 2022-09-21 | -5.95 | 100 |
| 2019-09-04 | 2019-11-25 | -4.43 | 83 |
| 2026-05-14 | 2026-09-09 | -3.48 | 119 |
| 2026-10-13 | 2026-11-04 | -3.20 | 23 |
| 2019-11-29 | 2020-01-28 | -2.89 | 61 |
| 2021-01-15 | 2021-02-08 | -2.73 | 25 |
| 2021-03-18 | 2021-04-14 | -2.54 | 28 |