| Metric | SPY | LPRE |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.39% | 17.88% |
| CAGR﹪ | 14.51% | 18.03% |
| Sharpe | 0.83 | 0.89 |
| Prob. Sharpe Ratio | 79.61% | 81.32% |
| Smart Sharpe | 0.82 | 0.82 |
| Sortino | 1.22 | 1.37 |
| Smart Sortino | 1.2 | 1.26 |
| Sortino/√2 | 0.86 | 0.97 |
| Smart Sortino/√2 | 0.85 | 0.89 |
| Omega | 1.2 | 1.2 |
| Max Drawdown | -8.88% | -12.82% |
| Max DD Date | 2026-03-30 | 2026-10-07 |
| Max DD Period Start | 2026-01-28 | 2026-07-30 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 98 |
| Volatility (ann.) | 12.86% | 15.98% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 1.63 | 1.41 |
| Skew | -0.02 | 0.26 |
| Kurtosis | 0.78 | 0.33 |
| Ulcer Performance Index | 6.68 | 3.66 |
| Risk-Adjusted Return | 14.51% | 18.03% |
| Risk-Return Ratio | 0.07 | 0.07 |
| Avg. Return | 0.06% | 0.07% |
| Avg. Win | 0.73% | 0.86% |
| Avg. Loss | -0.69% | -0.85% |
| Win/Loss Ratio | 1.06 | 1.0 |
| Profit Ratio | 1.02 | 1.06 |
| Expected Daily | 0.05% | 0.07% |
| Expected Monthly | 1.04% | 1.27% |
| Expected Yearly | 6.95% | 8.57% |
| Kelly Criterion | 6.92% | 2.95% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.58% |
| Expected Shortfall (cVaR) | -1.66% | -2.05% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.2 | 0.2 |
| Gain/Pain (1M) | 1.83 | 0.93 |
| Payoff Ratio | 1.06 | 1.0 |
| Profit Factor | 1.2 | 1.2 |
| Common Sense Ratio | 1.19 | 1.45 |
| CPC Index | 0.67 | 0.62 |
| Tail Ratio | 0.99 | 1.21 |
| Outlier Win Ratio | 2.84 | 3.26 |
| Outlier Loss Ratio | 3.01 | 3.08 |
| MTD | 1.47% | 4.98% |
| 3M | 1.46% | 0.23% |
| 6M | 6.94% | 6.52% |
| YTD | 13.33% | 12.96% |
| 1Y | 14.39% | 17.88% |
| 3Y (ann.) | 14.51% | 18.03% |
| 5Y (ann.) | 14.51% | 18.03% |
| 10Y (ann.) | 14.51% | 18.03% |
| All-time (ann.) | 14.51% | 18.03% |
| Best Day | 2.91% | 3.22% |
| Worst Day | -2.58% | -2.65% |
| Best Month | 10.51% | 8.87% |
| Worst Month | -4.94% | -7.91% |
| Best Year | 13.33% | 12.96% |
| Worst Year | 0.94% | 4.35% |
| Avg. Drawdown | -1.74% | -2.63% |
| Avg. Drawdown Days | 14 | 14 |
| Recovery Factor | 1.61 | 1.38 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 0.94 | 0.33 |
| Avg. Up Month | 3.27% | 3.74% |
| Avg. Down Month | -2.63% | -7.9% |
| Win Days | 52.0% | 51.41% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.36 |
| Alpha | - | 0.13 |
| Correlation | - | 29.31% |
| Treynor Ratio | - | 49.09% |
| Year | SPY | LPRE | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 4.35 | 4.64 | + |
| 2026 | 13.33 | 12.96 | 0.97 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-30 | 2026-11-04 | -12.82 | 98 |
| 2026-02-18 | 2026-04-16 | -10.33 | 58 |
| 2026-01-20 | 2026-02-09 | -3.71 | 21 |
| 2025-12-01 | 2025-12-12 | -3.37 | 12 |
| 2025-11-12 | 2025-11-24 | -3.27 | 13 |
| 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 |
| 2026-05-29 | 2026-06-04 | -1.72 | 7 |