| Metric | SPY | LOTIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.39% | 25.93% |
| CAGR﹪ | 14.51% | 26.17% |
| Sharpe | 0.83 | 1.71 |
| Prob. Sharpe Ratio | 79.61% | 95.33% |
| Smart Sharpe | 0.82 | 1.56 |
| Sortino | 1.22 | 2.51 |
| Smart Sortino | 1.2 | 2.28 |
| Sortino/√2 | 0.86 | 1.77 |
| Smart Sortino/√2 | 0.85 | 1.61 |
| Omega | 1.2 | 1.38 |
| Max Drawdown | -8.88% | -7.49% |
| Max DD Date | 2026-03-30 | 2026-11-04 |
| Max DD Period Start | 2026-01-28 | 2026-09-25 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 86 |
| Volatility (ann.) | 12.86% | 11.84% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 1.63 | 3.49 |
| Skew | -0.02 | -0.3 |
| Kurtosis | 0.78 | 0.53 |
| Ulcer Performance Index | 6.68 | 11.75 |
| Risk-Adjusted Return | 14.51% | 26.17% |
| Risk-Return Ratio | 0.07 | 0.13 |
| Avg. Return | 0.06% | 0.1% |
| Avg. Win | 0.65% | 0.65% |
| Avg. Loss | -0.67% | -0.72% |
| Win/Loss Ratio | 0.98 | 0.9 |
| Profit Ratio | 1.02 | 0.63 |
| Expected Daily | 0.05% | 0.09% |
| Expected Monthly | 1.04% | 1.79% |
| Expected Yearly | 6.95% | 12.22% |
| Kelly Criterion | 2.98% | 14.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.13% |
| Expected Shortfall (cVaR) | -1.66% | -1.65% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.2 | 0.38 |
| Gain/Pain (1M) | 1.83 | 3.36 |
| Payoff Ratio | 0.98 | 0.9 |
| Profit Factor | 1.2 | 1.38 |
| Common Sense Ratio | 1.19 | 1.56 |
| CPC Index | 0.61 | 0.73 |
| Tail Ratio | 0.99 | 1.13 |
| Outlier Win Ratio | 2.84 | 2.84 |
| Outlier Loss Ratio | 3.01 | 3.03 |
| MTD | 1.47% | -1.74% |
| 3M | 1.46% | -0.88% |
| 6M | 6.94% | 1.04% |
| YTD | 13.33% | 22.43% |
| 1Y | 14.39% | 25.93% |
| 3Y (ann.) | 14.51% | 26.17% |
| 5Y (ann.) | 14.51% | 26.17% |
| 10Y (ann.) | 14.51% | 26.17% |
| All-time (ann.) | 14.51% | 26.17% |
| Best Day | 2.91% | 2.51% |
| Worst Day | -2.58% | -2.28% |
| Best Month | 10.51% | 7.24% |
| Worst Month | -4.94% | -4.36% |
| Best Year | 13.33% | 22.43% |
| Worst Year | 0.94% | 2.86% |
| Avg. Drawdown | -1.74% | -1.58% |
| Avg. Drawdown Days | 14 | 11 |
| Recovery Factor | 1.61 | 3.17 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 1.52 |
| Avg. Up Month | 2.98% | 3.2% |
| Avg. Down Month | -0.97% | -2.69% |
| Win Days | 52.0% | 59.27% |
| Win Month | 61.54% | 76.92% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.32 |
| Alpha | - | 0.19 |
| Correlation | - | 34.97% |
| Treynor Ratio | - | 80.54% |
| Year | SPY | LOTIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 2.86 | 3.05 | + |
| 2026 | 13.33 | 22.43 | 1.68 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-25 | 2026-11-04 | -7.49 | 41 |
| 2026-05-14 | 2026-08-07 | -4.85 | 86 |
| 2025-11-13 | 2025-12-22 | -3.95 | 40 |
| 2026-01-30 | 2026-02-06 | -3.26 | 8 |
| 2026-03-19 | 2026-04-02 | -2.74 | 15 |
| 2026-01-16 | 2026-01-23 | -2.64 | 8 |
| 2026-08-18 | 2026-09-04 | -2.26 | 18 |
| 2026-02-10 | 2026-02-24 | -2.24 | 15 |
| 2026-01-07 | 2026-01-09 | -1.66 | 3 |
| 2025-12-29 | 2026-01-02 | -0.98 | 5 |