| Metric | SPY | LOTIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 70.69% | 50.03% |
| CAGR﹪ | 11.36% | 8.51% |
| Sharpe | 0.49 | 0.4 |
| Prob. Sharpe Ratio | 86.25% | 80.63% |
| Smart Sharpe | 0.47 | 0.36 |
| Sortino | 0.7 | 0.51 |
| Smart Sortino | 0.68 | 0.47 |
| Sortino/√2 | 0.5 | 0.36 |
| Smart Sortino/√2 | 0.48 | 0.33 |
| Omega | 1.14 | 1.13 |
| Max Drawdown | -26.35% | -21.96% |
| Max DD Date | 2022-10-12 | 2025-05-14 |
| Max DD Period Start | 2022-01-04 | 2022-06-15 |
| Max DD Period End | 2023-12-18 | 2026-03-04 |
| Longest DD Days | 714 | 1359 |
| Volatility (ann.) | 17.16% | 13.03% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.43 | 0.39 |
| Skew | 0.33 | -1.55 |
| Kurtosis | 9.05 | 9.17 |
| Ulcer Performance Index | 7.55 | 4.68 |
| Risk-Adjusted Return | 11.36% | 8.77% |
| Risk-Return Ratio | 0.04 | 0.04 |
| Avg. Return | 0.05% | 0.04% |
| Avg. Win | 0.72% | 0.6% |
| Avg. Loss | -0.78% | -0.74% |
| Win/Loss Ratio | 0.92 | 0.81 |
| Profit Ratio | 0.86 | 0.6 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.88% | 0.67% |
| Expected Yearly | 9.32% | 6.99% |
| Kelly Criterion | 2.99% | 2.09% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.31% |
| Expected Shortfall (cVaR) | -2.58% | -2.17% |
| Max Consecutive Wins | 10 | 12 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.14 | 0.13 |
| Gain/Pain (1M) | 0.74 | 0.58 |
| Payoff Ratio | 0.92 | 0.81 |
| Profit Factor | 1.14 | 1.13 |
| Common Sense Ratio | 1.13 | 1.04 |
| CPC Index | 0.56 | 0.51 |
| Tail Ratio | 1.0 | 0.92 |
| Outlier Win Ratio | 3.42 | 3.18 |
| Outlier Loss Ratio | 3.8 | 3.35 |
| MTD | 1.47% | -1.74% |
| 3M | 1.46% | -0.88% |
| 6M | 6.94% | 1.04% |
| YTD | 13.33% | 22.43% |
| 1Y | 13.43% | 24.81% |
| 3Y (ann.) | 20.78% | 9.0% |
| 5Y (ann.) | 12.3% | 9.68% |
| 10Y (ann.) | 11.36% | 8.51% |
| All-time (ann.) | 11.36% | 8.51% |
| Best Day | 10.5% | 2.51% |
| Worst Day | -5.85% | -6.91% |
| Best Month | 10.51% | 9.44% |
| Worst Month | -10.5% | -9.4% |
| Best Year | 26.18% | 30.34% |
| Worst Year | -20.18% | -10.98% |
| Avg. Drawdown | -1.98% | -2.3% |
| Avg. Drawdown Days | 21 | 56 |
| Recovery Factor | 2.31 | 2.04 |
| Ulcer Index | 0.09 | 0.11 |
| Serenity Index | 0.34 | 0.17 |
| Avg. Up Month | 3.31% | 3.08% |
| Avg. Down Month | -2.36% | -3.25% |
| Win Days | 53.44% | 56.22% |
| Win Month | 62.3% | 63.93% |
| Win Quarter | 71.43% | 52.38% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.09 |
| Alpha | - | 0.08 |
| Correlation | - | 12.5% |
| Treynor Ratio | - | 526.83% |
| Year | SPY | LOTIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -4.03 | -2.33 | - |
| 2022 | -20.18 | 30.34 | -1.50 | + |
| 2023 | 26.18 | -10.98 | -0.42 | - |
| 2024 | 24.89 | 5.73 | 0.23 | - |
| 2025 | 17.72 | 4.08 | 0.23 | - |
| 2026 | 13.33 | 22.43 | 1.68 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-15 | 2026-03-04 | -21.96 | 1359 |
| 2021-11-26 | 2022-02-03 | -8.41 | 70 |
| 2026-09-25 | 2026-11-04 | -7.49 | 41 |
| 2026-05-14 | 2026-08-07 | -4.85 | 86 |
| 2022-03-09 | 2022-03-22 | -3.29 | 14 |
| 2022-05-09 | 2022-06-03 | -3.14 | 26 |
| 2026-03-19 | 2026-04-02 | -2.74 | 15 |
| 2026-08-18 | 2026-09-04 | -2.26 | 18 |
| 2022-02-25 | 2022-02-28 | -2.18 | 4 |
| 2022-03-28 | 2022-04-06 | -2.05 | 10 |