| Metric | SPY | LOTIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 6.48% | 0.22% |
| CAGR﹪ | 13.27% | 0.44% |
| Sharpe | 0.78 | -0.22 |
| Prob. Sharpe Ratio | 70.87% | 43.82% |
| Smart Sharpe | 0.75 | -0.2 |
| Sortino | 1.14 | -0.3 |
| Smart Sortino | 1.09 | -0.27 |
| Sortino/√2 | 0.8 | -0.21 |
| Smart Sortino/√2 | 0.77 | -0.19 |
| Omega | 1.19 | 1.02 |
| Max Drawdown | -4.49% | -7.49% |
| Max DD Date | 2026-06-10 | 2026-11-04 |
| Max DD Period Start | 2026-06-03 | 2026-09-25 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 86 |
| Volatility (ann.) | 12.4% | 11.32% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 2.95 | 0.06 |
| Skew | -0.15 | -0.3 |
| Kurtosis | 0.59 | 0.52 |
| Ulcer Performance Index | 3.89 | 0.08 |
| Risk-Adjusted Return | 13.27% | 0.44% |
| Risk-Return Ratio | 0.07 | 0.01 |
| Avg. Return | 0.06% | 0.0% |
| Avg. Win | 0.67% | 0.55% |
| Avg. Loss | -0.65% | -0.66% |
| Win/Loss Ratio | 1.03 | 0.84 |
| Profit Ratio | 1.15 | 0.76 |
| Expected Daily | 0.05% | 0.0% |
| Expected Monthly | 0.9% | 0.03% |
| Expected Yearly | 6.48% | 0.22% |
| Kelly Criterion | 2.11% | -3.64% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -1.17% |
| Expected Shortfall (cVaR) | -1.63% | -1.67% |
| Max Consecutive Wins | 4 | 6 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.19 | 0.02 |
| Gain/Pain (1M) | 3.26 | 0.08 |
| Payoff Ratio | 1.03 | 0.84 |
| Profit Factor | 1.19 | 1.02 |
| Common Sense Ratio | 1.47 | 0.98 |
| CPC Index | 0.62 | 0.45 |
| Tail Ratio | 1.23 | 0.97 |
| Outlier Win Ratio | 2.66 | 2.71 |
| Outlier Loss Ratio | 3.07 | 3.23 |
| MTD | 1.47% | -1.74% |
| 3M | 1.46% | -0.88% |
| 6M | 6.48% | 0.22% |
| YTD | 6.48% | 0.22% |
| 1Y | 6.48% | 0.22% |
| 3Y (ann.) | 13.27% | 0.44% |
| 5Y (ann.) | 13.27% | 0.44% |
| 10Y (ann.) | 13.27% | 0.44% |
| All-time (ann.) | 13.27% | 0.44% |
| Best Day | 1.8% | 1.99% |
| Worst Day | -2.58% | -2.16% |
| Best Month | 4.52% | 2.54% |
| Worst Month | -1.03% | -4.36% |
| Best Year | 6.48% | 0.22% |
| Worst Year | 6.48% | 0.22% |
| Avg. Drawdown | -1.57% | -1.84% |
| Avg. Drawdown Days | 17 | 17 |
| Recovery Factor | 1.48 | 0.07 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.91 | 0.02 |
| Avg. Up Month | 2.41% | 1.68% |
| Avg. Down Month | -0.97% | -2.69% |
| Win Days | 50.39% | 52.8% |
| Win Month | 57.14% | 57.14% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.28 |
| Alpha | - | -0.03 |
| Correlation | - | 31.1% |
| Treynor Ratio | - | 0.78% |
| Year | SPY | LOTIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 0.22 | 0.03 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-25 | 2026-11-04 | -7.49 | 41 |
| 2026-05-14 | 2026-08-07 | -4.85 | 86 |
| 2026-08-18 | 2026-09-04 | -2.26 | 18 |
| 2026-05-06 | 2026-05-07 | -0.74 | 2 |
| 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 |
| 2026-08-11 | 2026-08-11 | -0.14 | 1 |
| 2026-08-13 | 2026-08-13 | -0.07 | 1 |