| Metric | SPY | LOTIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 18.6% | 16.76% |
| CAGR﹪ | 40.67% | 36.33% |
| Sharpe | 2.32 | 2.68 |
| Prob. Sharpe Ratio | 95.04% | 96.64% |
| Smart Sharpe | 2.3 | 2.42 |
| Sortino | 3.78 | 4.08 |
| Smart Sortino | 3.75 | 3.68 |
| Sortino/√2 | 2.67 | 2.88 |
| Smart Sortino/√2 | 2.65 | 2.6 |
| Omega | 1.54 | 1.62 |
| Max Drawdown | -4.49% | -4.85% |
| Max DD Date | 2026-06-10 | 2026-06-10 |
| Max DD Period Start | 2026-06-03 | 2026-05-14 |
| Max DD Period End | 2026-07-31 | 2026-08-07 |
| Longest DD Days | 59 | 86 |
| Volatility (ann.) | 13.55% | 10.41% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 9.05 | 7.5 |
| Skew | 0.1 | -0.4 |
| Kurtosis | 1.12 | 0.89 |
| Ulcer Performance Index | 11.86 | 8.54 |
| Risk-Adjusted Return | 40.67% | 36.33% |
| Risk-Return Ratio | 0.16 | 0.19 |
| Avg. Return | 0.14% | 0.13% |
| Avg. Win | 0.72% | 0.56% |
| Avg. Loss | -0.66% | -0.64% |
| Win/Loss Ratio | 1.1 | 0.87 |
| Profit Ratio | 1.12 | 0.57 |
| Expected Daily | 0.14% | 0.12% |
| Expected Monthly | 2.47% | 2.24% |
| Expected Yearly | 18.6% | 16.76% |
| Kelly Criterion | 12.15% | 19.16% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.95% |
| Expected Shortfall (cVaR) | -1.77% | -1.48% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.54 | 0.62 |
| Gain/Pain (1M) | 10.92 | 16.77 |
| Payoff Ratio | 1.1 | 0.87 |
| Profit Factor | 1.54 | 1.62 |
| Common Sense Ratio | 2.01 | 1.86 |
| CPC Index | 0.91 | 0.88 |
| Tail Ratio | 1.3 | 1.14 |
| Outlier Win Ratio | 3.21 | 2.75 |
| Outlier Loss Ratio | 3.16 | 2.96 |
| MTD | 1.08% | 2.69% |
| 3M | 3.82% | 6.0% |
| 6M | 18.6% | 16.76% |
| YTD | 18.6% | 16.76% |
| 1Y | 18.6% | 16.76% |
| 3Y (ann.) | 40.67% | 36.33% |
| 5Y (ann.) | 40.67% | 36.33% |
| 10Y (ann.) | 40.67% | 36.33% |
| All-time (ann.) | 40.67% | 36.33% |
| Best Day | 2.91% | 1.99% |
| Worst Day | -2.58% | -2.16% |
| Best Month | 10.51% | 7.24% |
| Worst Month | -1.03% | -1.02% |
| Best Year | 18.6% | 16.76% |
| Worst Year | 18.6% | 16.76% |
| Avg. Drawdown | -1.13% | -0.85% |
| Avg. Drawdown Days | 9 | 10 |
| Recovery Factor | 3.9 | 3.25 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 2.75 | 1.27 |
| Avg. Up Month | 3.91% | 3.12% |
| Avg. Down Month | -1.03% | -1.02% |
| Win Days | 53.97% | 62.4% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.18 |
| Alpha | - | 0.25 |
| Correlation | - | 23.99% |
| Treynor Ratio | - | 90.87% |
| Year | SPY | LOTIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 16.76 | 0.90 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-14 | 2026-08-07 | -4.85 | 86 |
| 2026-08-18 | 2026-09-04 | -2.26 | 18 |
| 2026-04-17 | 2026-04-21 | -0.92 | 5 |
| 2026-05-06 | 2026-05-07 | -0.74 | 2 |
| 2026-04-08 | 2026-04-08 | -0.62 | 1 |
| 2026-09-16 | 2026-09-16 | -0.41 | 1 |
| 2026-09-18 | 2026-09-22 | -0.34 | 5 |
| 2026-09-14 | 2026-09-14 | -0.28 | 1 |
| 2026-05-01 | 2026-05-01 | -0.22 | 1 |
| 2026-08-11 | 2026-08-11 | -0.14 | 1 |