| Metric | SPY | LPRE |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 8.06% |
| CAGR﹪ | 18.02% | 8.13% |
| Sharpe | 1.04 | 0.33 |
| Prob. Sharpe Ratio | 84.73% | 62.87% |
| Smart Sharpe | 1.01 | 0.32 |
| Sortino | 1.51 | 0.48 |
| Smart Sortino | 1.47 | 0.47 |
| Sortino/√2 | 1.07 | 0.34 |
| Smart Sortino/√2 | 1.04 | 0.33 |
| Omega | 1.25 | 1.1 |
| Max Drawdown | -8.88% | -10.55% |
| Max DD Date | 2026-03-30 | 2026-09-18 |
| Max DD Period Start | 2026-01-28 | 2026-07-30 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 58 |
| Volatility (ann.) | 12.99% | 15.09% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 2.03 | 0.77 |
| Skew | -0.15 | 0.0 |
| Kurtosis | 1.05 | 0.42 |
| Ulcer Performance Index | 8.3 | 2.33 |
| Risk-Adjusted Return | 18.02% | 8.13% |
| Risk-Return Ratio | 0.08 | 0.04 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.73% | 0.78% |
| Avg. Loss | -0.72% | -0.83% |
| Win/Loss Ratio | 1.02 | 0.95 |
| Profit Ratio | 0.94 | 1.0 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.27% | 0.6% |
| Expected Yearly | 8.57% | 3.95% |
| Kelly Criterion | 8.3% | -0.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.53% |
| Expected Shortfall (cVaR) | -1.72% | -2.01% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.25 | 0.1 |
| Gain/Pain (1M) | 2.6 | 0.49 |
| Payoff Ratio | 1.02 | 0.95 |
| Profit Factor | 1.25 | 1.1 |
| Common Sense Ratio | 1.24 | 1.2 |
| CPC Index | 0.69 | 0.53 |
| Tail Ratio | 0.99 | 1.09 |
| Outlier Win Ratio | 2.88 | 3.25 |
| Outlier Loss Ratio | 3.19 | 3.24 |
| MTD | 1.08% | -5.58% |
| 3M | 3.82% | -5.88% |
| 6M | 19.85% | 7.57% |
| YTD | 14.3% | 4.63% |
| 1Y | 17.87% | 8.06% |
| 3Y (ann.) | 18.02% | 8.13% |
| 5Y (ann.) | 18.02% | 8.13% |
| 10Y (ann.) | 18.02% | 8.13% |
| All-time (ann.) | 18.02% | 8.13% |
| Best Day | 2.91% | 2.87% |
| Worst Day | -2.7% | -2.65% |
| Best Month | 10.51% | 8.87% |
| Worst Month | -4.94% | -7.9% |
| Best Year | 14.3% | 4.63% |
| Worst Year | 3.13% | 3.27% |
| Avg. Drawdown | -1.71% | -2.4% |
| Avg. Drawdown Days | 13 | 13 |
| Recovery Factor | 1.94 | 0.84 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.16 | 0.29 |
| Avg. Up Month | 3.5% | 3.64% |
| Avg. Down Month | -4.94% | -7.9% |
| Win Days | 53.6% | 51.0% |
| Win Month | 76.92% | 53.85% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.37 |
| Alpha | - | 0.03 |
| Correlation | - | 31.77% |
| Treynor Ratio | - | 21.85% |
| Year | SPY | LPRE | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 3.27 | 1.05 | + |
| 2026 | 14.30 | 4.63 | 0.32 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-30 | 2026-09-22 | -10.55 | 55 |
| 2026-02-18 | 2026-04-16 | -10.33 | 58 |
| 2025-10-23 | 2025-12-12 | -4.80 | 51 |
| 2026-01-20 | 2026-02-09 | -3.71 | 21 |
| 2026-05-08 | 2026-05-19 | -3.23 | 12 |
| 2026-06-15 | 2026-06-24 | -3.03 | 10 |
| 2026-04-21 | 2026-05-05 | -2.86 | 15 |
| 2026-07-08 | 2026-07-28 | -2.72 | 21 |
| 2025-10-06 | 2025-10-14 | -2.35 | 9 |
| 2026-05-29 | 2026-06-04 | -1.72 | 7 |