| Metric | SPY | LPRE |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 55.6% | 22.6% |
| CAGR﹪ | 35.47% | 15.02% |
| Sharpe | 1.7 | 0.64 |
| Prob. Sharpe Ratio | 98.9% | 78.31% |
| Smart Sharpe | 1.37 | 0.55 |
| Sortino | 2.94 | 0.98 |
| Smart Sortino | 2.37 | 0.85 |
| Sortino/√2 | 2.08 | 0.69 |
| Smart Sortino/√2 | 1.68 | 0.6 |
| Omega | 1.47 | 1.16 |
| 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 | 96 |
| Volatility (ann.) | 16.09% | 17.56% |
| R^2 | 0.31 | 0.31 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 3.99 | 1.42 |
| Skew | 2.66 | 0.86 |
| Kurtosis | 30.54 | 6.79 |
| Ulcer Performance Index | 29.11 | 7.07 |
| Risk-Adjusted Return | 35.47% | 15.02% |
| Risk-Return Ratio | 0.12 | 0.06 |
| Avg. Return | 0.12% | 0.06% |
| Avg. Win | 0.85% | 0.92% |
| Avg. Loss | -0.73% | -0.94% |
| Win/Loss Ratio | 1.16 | 0.98 |
| Profit Ratio | 0.96 | 1.01 |
| Expected Daily | 0.12% | 0.06% |
| Expected Monthly | 2.49% | 1.14% |
| Expected Yearly | 24.74% | 10.73% |
| Kelly Criterion | 16.64% | 2.44% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.54% | -1.76% |
| Expected Shortfall (cVaR) | -2.1% | -2.34% |
| Max Consecutive Wins | 9 | 6 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.47 | 0.16 |
| Gain/Pain (1M) | 6.95 | 1.11 |
| Payoff Ratio | 1.16 | 0.98 |
| Profit Factor | 1.47 | 1.16 |
| Common Sense Ratio | 1.58 | 1.21 |
| CPC Index | 0.94 | 0.59 |
| Tail Ratio | 1.08 | 1.04 |
| Outlier Win Ratio | 3.62 | 3.14 |
| Outlier Loss Ratio | 3.82 | 3.5 |
| MTD | 1.08% | -5.58% |
| 3M | 3.82% | -5.88% |
| 6M | 19.85% | 7.57% |
| YTD | 14.3% | 4.63% |
| 1Y | 17.78% | 7.73% |
| 3Y (ann.) | 35.47% | 15.02% |
| 5Y (ann.) | 35.47% | 15.02% |
| 10Y (ann.) | 35.47% | 15.02% |
| All-time (ann.) | 35.47% | 15.02% |
| Best Day | 10.5% | 7.91% |
| Worst Day | -4.38% | -3.4% |
| Best Month | 10.51% | 8.87% |
| Worst Month | -4.94% | -7.9% |
| Best Year | 36.13% | 17.18% |
| Worst Year | 14.3% | 4.63% |
| Avg. Drawdown | -1.47% | -2.74% |
| Avg. Drawdown Days | 10 | 15 |
| Recovery Factor | 5.19 | 2.14 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 4.7 | 0.94 |
| Avg. Up Month | 4.3% | 3.34% |
| Avg. Down Month | -4.94% | -7.9% |
| Win Days | 55.31% | 51.64% |
| Win Month | 83.33% | 66.67% |
| Win Quarter | 83.33% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.6 |
| Alpha | - | -0.04 |
| Correlation | - | 55.39% |
| Treynor Ratio | - | 37.4% |
| Year | SPY | LPRE | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 36.13 | 17.18 | 0.48 | - |
| 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 |
| 2025-04-07 | 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 |