| Metric | SPY | LPRE |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 18.6% | 6.75% |
| CAGR﹪ | 40.67% | 13.96% |
| Sharpe | 2.32 | 0.69 |
| Prob. Sharpe Ratio | 95.04% | 68.57% |
| Smart Sharpe | 2.3 | 0.67 |
| Sortino | 3.78 | 1.02 |
| Smart Sortino | 3.75 | 1.0 |
| Sortino/√2 | 2.67 | 0.72 |
| Smart Sortino/√2 | 2.65 | 0.71 |
| Omega | 1.54 | 1.16 |
| Max Drawdown | -4.49% | -10.55% |
| Max DD Date | 2026-06-10 | 2026-09-18 |
| Max DD Period Start | 2026-06-03 | 2026-07-30 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 55 |
| Volatility (ann.) | 13.55% | 15.57% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 9.05 | 1.32 |
| Skew | 0.1 | 0.11 |
| Kurtosis | 1.12 | 0.29 |
| Ulcer Performance Index | 11.86 | 2.08 |
| Risk-Adjusted Return | 40.67% | 13.96% |
| Risk-Return Ratio | 0.16 | 0.06 |
| Avg. Return | 0.14% | 0.06% |
| Avg. Win | 0.81% | 0.84% |
| Avg. Loss | -0.64% | -0.83% |
| Win/Loss Ratio | 1.27 | 1.02 |
| Profit Ratio | 1.12 | 0.96 |
| Expected Daily | 0.14% | 0.05% |
| Expected Monthly | 2.47% | 0.94% |
| Expected Yearly | 18.6% | 6.75% |
| Kelly Criterion | 17.78% | 4.78% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.56% |
| Expected Shortfall (cVaR) | -1.77% | -1.95% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.54 | 0.16 |
| Gain/Pain (1M) | 10.92 | 0.84 |
| Payoff Ratio | 1.27 | 1.02 |
| Profit Factor | 1.54 | 1.16 |
| Common Sense Ratio | 2.01 | 1.25 |
| CPC Index | 1.06 | 0.61 |
| Tail Ratio | 1.3 | 1.08 |
| Outlier Win Ratio | 3.21 | 3.14 |
| Outlier Loss Ratio | 3.16 | 3.05 |
| MTD | 1.08% | -5.58% |
| 3M | 3.82% | -5.88% |
| 6M | 18.6% | 6.75% |
| YTD | 18.6% | 6.75% |
| 1Y | 18.6% | 6.75% |
| 3Y (ann.) | 40.67% | 13.96% |
| 5Y (ann.) | 40.67% | 13.96% |
| 10Y (ann.) | 40.67% | 13.96% |
| All-time (ann.) | 40.67% | 13.96% |
| Best Day | 2.91% | 2.87% |
| Worst Day | -2.58% | -2.41% |
| Best Month | 10.51% | 8.87% |
| Worst Month | -1.03% | -5.58% |
| Best Year | 18.6% | 6.75% |
| Worst Year | 18.6% | 6.75% |
| Avg. Drawdown | -1.13% | -2.26% |
| Avg. Drawdown Days | 9 | 10 |
| Recovery Factor | 3.9 | 0.68 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 2.75 | 0.25 |
| Avg. Up Month | 7.88% | 6.0% |
| Avg. Down Month | -0.77% | -0.12% |
| Win Days | 53.97% | 52.0% |
| Win Month | 71.43% | 42.86% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.3 |
| Alpha | - | 0.04 |
| Correlation | - | 25.86% |
| Treynor Ratio | - | 22.72% |
| Year | SPY | LPRE | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 6.75 | 0.36 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-30 | 2026-09-22 | -10.55 | 55 |
| 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 |
| 2026-03-24 | 2026-03-31 | -2.03 | 8 |
| 2026-05-29 | 2026-06-04 | -1.72 | 7 |
| 2026-06-29 | 2026-07-01 | -1.10 | 3 |
| 2026-07-06 | 2026-07-06 | -0.93 | 1 |
| 2026-06-08 | 2026-06-08 | -0.63 | 1 |