| Metric | SPY | LPRE |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 54.28% | 32.36% |
| CAGR﹪ | 31.59% | 19.42% |
| Sharpe | 1.55 | 0.85 |
| Prob. Sharpe Ratio | 98.46% | 86.29% |
| Smart Sharpe | 1.27 | 0.72 |
| Sortino | 2.65 | 1.34 |
| Smart Sortino | 2.17 | 1.13 |
| Sortino/√2 | 1.87 | 0.94 |
| Smart Sortino/√2 | 1.54 | 0.8 |
| Omega | 1.42 | 1.21 |
| 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.) | 15.78% | 17.76% |
| R^2 | 0.27 | 0.27 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 3.56 | 1.51 |
| Skew | 2.61 | 0.84 |
| Kurtosis | 30.63 | 5.95 |
| Ulcer Performance Index | 28.8 | 7.74 |
| Risk-Adjusted Return | 31.59% | 19.42% |
| Risk-Return Ratio | 0.11 | 0.07 |
| Avg. Return | 0.11% | 0.08% |
| Avg. Win | 0.83% | 0.94% |
| Avg. Loss | -0.72% | -0.93% |
| Win/Loss Ratio | 1.16 | 1.0 |
| Profit Ratio | 0.97 | 1.01 |
| Expected Daily | 0.11% | 0.07% |
| Expected Monthly | 2.19% | 1.41% |
| Expected Yearly | 24.21% | 15.05% |
| Kelly Criterion | 15.83% | 4.42% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.52% | -1.76% |
| Expected Shortfall (cVaR) | -2.02% | -2.34% |
| Max Consecutive Wins | 9 | 6 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.42 | 0.21 |
| Gain/Pain (1M) | 5.83 | 1.34 |
| Payoff Ratio | 1.16 | 1.0 |
| Profit Factor | 1.42 | 1.21 |
| Common Sense Ratio | 1.55 | 1.35 |
| CPC Index | 0.91 | 0.63 |
| Tail Ratio | 1.09 | 1.12 |
| Outlier Win Ratio | 3.65 | 3.23 |
| Outlier Loss Ratio | 3.75 | 3.4 |
| MTD | 1.47% | 4.98% |
| 3M | 1.46% | 0.23% |
| 6M | 6.94% | 6.52% |
| YTD | 13.33% | 12.96% |
| 1Y | 13.43% | 19.03% |
| 3Y (ann.) | 31.59% | 19.42% |
| 5Y (ann.) | 31.59% | 19.42% |
| 10Y (ann.) | 31.59% | 19.42% |
| All-time (ann.) | 31.59% | 19.42% |
| Best Day | 10.5% | 7.91% |
| Worst Day | -4.38% | -3.4% |
| Best Month | 10.51% | 8.87% |
| Worst Month | -4.94% | -7.91% |
| Best Year | 36.13% | 17.18% |
| Worst Year | 13.33% | 12.96% |
| Avg. Drawdown | -1.52% | -2.82% |
| Avg. Drawdown Days | 10 | 17 |
| Recovery Factor | 5.1 | 2.38 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 4.64 | 0.81 |
| Avg. Up Month | 4.05% | 3.48% |
| Avg. Down Month | -2.63% | -7.9% |
| Win Days | 54.77% | 52.14% |
| Win Month | 75.0% | 70.0% |
| Win Quarter | 85.71% | 71.43% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.59 |
| Alpha | - | 0.02 |
| Correlation | - | 52.19% |
| Treynor Ratio | - | 55.09% |
| Year | SPY | LPRE | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 36.13 | 17.18 | 0.48 | - |
| 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 |
| 2025-04-07 | 2025-04-08 | -5.67 | 2 |
| 2025-09-12 | 2025-12-16 | -5.27 | 96 |
| 2025-05-19 | 2025-06-30 | -4.86 | 43 |
| 2025-07-23 | 2025-08-21 | -4.43 | 30 |
| 2026-01-20 | 2026-02-09 | -3.71 | 21 |
| 2025-04-10 | 2025-04-21 | -3.40 | 12 |
| 2026-05-08 | 2026-05-19 | -3.23 | 12 |
| 2026-06-15 | 2026-06-24 | -3.03 | 10 |