| Metric | SPY | LOTIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 36.37% |
| CAGR﹪ | 18.02% | 36.71% |
| Sharpe | 1.04 | 2.31 |
| Prob. Sharpe Ratio | 84.73% | 98.77% |
| Smart Sharpe | 1.01 | 2.28 |
| Sortino | 1.51 | 3.49 |
| Smart Sortino | 1.47 | 3.46 |
| Sortino/√2 | 1.07 | 2.47 |
| Smart Sortino/√2 | 1.04 | 2.45 |
| Omega | 1.25 | 1.52 |
| Max Drawdown | -8.88% | -4.85% |
| Max DD Date | 2026-03-30 | 2026-06-10 |
| Max DD Period Start | 2026-01-28 | 2026-05-14 |
| Max DD Period End | 2026-04-13 | 2026-08-07 |
| Longest DD Days | 76 | 86 |
| Volatility (ann.) | 12.99% | 12.17% |
| R^2 | 0.17 | 0.17 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | 2.03 | 7.57 |
| Skew | -0.15 | -0.28 |
| Kurtosis | 1.05 | 0.82 |
| Ulcer Performance Index | 8.3 | 20.81 |
| Risk-Adjusted Return | 18.02% | 36.71% |
| Risk-Return Ratio | 0.08 | 0.17 |
| Avg. Return | 0.07% | 0.13% |
| Avg. Win | 0.67% | 0.69% |
| Avg. Loss | -0.68% | -0.73% |
| Win/Loss Ratio | 0.98 | 0.95 |
| Profit Ratio | 0.94 | 0.68 |
| Expected Daily | 0.07% | 0.12% |
| Expected Monthly | 1.27% | 2.41% |
| Expected Yearly | 8.57% | 16.78% |
| Kelly Criterion | 6.16% | 17.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.13% |
| Expected Shortfall (cVaR) | -1.72% | -1.65% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.25 | 0.52 |
| Gain/Pain (1M) | 2.6 | 33.76 |
| Payoff Ratio | 0.98 | 0.95 |
| Profit Factor | 1.25 | 1.52 |
| Common Sense Ratio | 1.24 | 1.83 |
| CPC Index | 0.65 | 0.86 |
| Tail Ratio | 0.99 | 1.2 |
| Outlier Win Ratio | 2.88 | 2.99 |
| Outlier Loss Ratio | 3.19 | 3.22 |
| MTD | 1.08% | 2.69% |
| 3M | 3.82% | 6.0% |
| 6M | 19.85% | 15.55% |
| YTD | 14.3% | 30.54% |
| 1Y | 17.87% | 36.37% |
| 3Y (ann.) | 18.02% | 36.71% |
| 5Y (ann.) | 18.02% | 36.71% |
| 10Y (ann.) | 18.02% | 36.71% |
| All-time (ann.) | 18.02% | 36.71% |
| Best Day | 2.91% | 2.51% |
| Worst Day | -2.7% | -2.58% |
| Best Month | 10.51% | 7.24% |
| Worst Month | -4.94% | -1.02% |
| Best Year | 14.3% | 30.54% |
| Worst Year | 3.13% | 4.46% |
| Avg. Drawdown | -1.71% | -1.34% |
| Avg. Drawdown Days | 13 | 10 |
| Recovery Factor | 1.94 | 6.55 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | 3.71 |
| Avg. Up Month | 2.41% | 2.66% |
| Avg. Down Month | -1.03% | -1.02% |
| Win Days | 53.6% | 59.68% |
| Win Month | 76.92% | 92.31% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.39 |
| Alpha | - | 0.25 |
| Correlation | - | 41.52% |
| Treynor Ratio | - | 93.52% |
| Year | SPY | LOTIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 4.46 | 1.43 | + |
| 2026 | 14.30 | 30.54 | 2.14 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-14 | 2026-08-07 | -4.85 | 86 |
| 2025-10-28 | 2025-12-23 | -4.04 | 57 |
| 2025-10-09 | 2025-10-23 | -3.35 | 15 |
| 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 | 2026-02-23 | -2.24 | 14 |
| 2026-01-07 | 2026-01-09 | -1.66 | 3 |
| 2025-12-29 | 2026-01-02 | -0.98 | 5 |