| Metric | SPY | LOTIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 197.48% | 83.24% |
| CAGR﹪ | 15.87% | 8.53% |
| Sharpe | 0.71 | 0.47 |
| Prob. Sharpe Ratio | 97.17% | 89.37% |
| Smart Sharpe | 0.61 | 0.43 |
| Sortino | 1.0 | 0.61 |
| Smart Sortino | 0.86 | 0.56 |
| Sortino/√2 | 0.7 | 0.43 |
| Smart Sortino/√2 | 0.61 | 0.4 |
| Omega | 1.18 | 1.13 |
| Max Drawdown | -33.72% | -21.96% |
| Max DD Date | 2020-03-23 | 2025-05-14 |
| Max DD Period Start | 2020-02-20 | 2022-06-15 |
| Max DD Period End | 2020-08-07 | 2026-03-04 |
| Longest DD Days | 714 | 1359 |
| Volatility (ann.) | 19.43% | 13.23% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.47 | 0.39 |
| Skew | -0.29 | -1.36 |
| Kurtosis | 13.99 | 6.86 |
| Ulcer Performance Index | 23.05 | 8.63 |
| Risk-Adjusted Return | 15.87% | 8.88% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.78% | 0.62% |
| Avg. Loss | -0.88% | -0.78% |
| Win/Loss Ratio | 0.89 | 0.79 |
| Profit Ratio | 0.78 | 0.56 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.22% | 0.68% |
| Expected Yearly | 14.6% | 7.86% |
| Kelly Criterion | 4.57% | 2.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.34% |
| Expected Shortfall (cVaR) | -3.2% | -2.08% |
| Max Consecutive Wins | 11 | 12 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.18 | 0.13 |
| Gain/Pain (1M) | 1.1 | 0.63 |
| Payoff Ratio | 0.89 | 0.79 |
| Profit Factor | 1.18 | 1.13 |
| Common Sense Ratio | 1.13 | 1.0 |
| CPC Index | 0.58 | 0.51 |
| Tail Ratio | 0.96 | 0.89 |
| Outlier Win Ratio | 3.7 | 3.15 |
| Outlier Loss Ratio | 4.12 | 3.3 |
| 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.) | 15.87% | 8.53% |
| All-time (ann.) | 15.87% | 8.53% |
| Best Day | 10.5% | 2.51% |
| Worst Day | -10.94% | -6.91% |
| Best Month | 12.7% | 9.44% |
| Worst Month | -12.49% | -9.4% |
| Best Year | 28.73% | 30.34% |
| Worst Year | -20.18% | -10.98% |
| Avg. Drawdown | -1.82% | -2.48% |
| Avg. Drawdown Days | 16 | 60 |
| Recovery Factor | 3.65 | 3.05 |
| Ulcer Index | 0.09 | 0.1 |
| Serenity Index | 0.87 | 0.3 |
| Avg. Up Month | 4.01% | 3.06% |
| Avg. Down Month | -3.23% | -2.67% |
| Win Days | 55.13% | 56.79% |
| Win Month | 65.56% | 60.0% |
| Win Quarter | 77.42% | 58.06% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.14 |
| Alpha | - | 0.07 |
| Correlation | - | 20.79% |
| Treynor Ratio | - | 588.02% |
| Year | SPY | LOTIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 10.69 | 0.65 | - |
| 2020 | 18.33 | 4.81 | 0.26 | - |
| 2021 | 28.73 | 1.04 | 0.04 | - |
| 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 |
| 2019-09-04 | 2021-01-13 | -17.54 | 498 |
| 2021-05-10 | 2022-02-09 | -9.54 | 276 |
| 2026-09-25 | 2026-11-04 | -7.49 | 41 |
| 2021-02-25 | 2021-04-23 | -4.88 | 58 |
| 2026-05-14 | 2026-08-07 | -4.85 | 86 |
| 2021-01-15 | 2021-02-05 | -3.66 | 22 |
| 2019-07-05 | 2019-07-26 | -3.33 | 22 |
| 2022-03-09 | 2022-03-22 | -3.29 | 14 |
| 2022-05-09 | 2022-06-03 | -3.14 | 26 |