| Metric | VNQ | LPRE |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 13.95% | 17.88% |
| CAGR﹪ | 14.07% | 18.03% |
| Sharpe | 0.74 | 0.89 |
| Prob. Sharpe Ratio | 77.03% | 81.32% |
| Smart Sharpe | 0.68 | 0.82 |
| Sortino | 1.12 | 1.37 |
| Smart Sortino | 1.03 | 1.26 |
| Sortino/√2 | 0.79 | 0.97 |
| Smart Sortino/√2 | 0.73 | 0.89 |
| Omega | 1.18 | 1.2 |
| Max Drawdown | -11.38% | -12.82% |
| Max DD Date | 2026-10-07 | 2026-10-07 |
| Max DD Period Start | 2026-07-29 | 2026-07-30 |
| Max DD Period End | 2026-11-04 | 2026-11-04 |
| Longest DD Days | 99 | 98 |
| Volatility (ann.) | 14.16% | 15.98% |
| R^2 | 0.76 | 0.76 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 1.24 | 1.41 |
| Skew | 0.13 | 0.26 |
| Kurtosis | 0.68 | 0.33 |
| Ulcer Performance Index | 3.4 | 3.66 |
| Risk-Adjusted Return | 14.07% | 18.03% |
| Risk-Return Ratio | 0.06 | 0.07 |
| Avg. Return | 0.06% | 0.07% |
| Avg. Win | 0.85% | 0.97% |
| Avg. Loss | -0.76% | -0.87% |
| Win/Loss Ratio | 1.12 | 1.11 |
| Profit Ratio | 0.97 | 1.06 |
| Expected Daily | 0.05% | 0.07% |
| Expected Monthly | 1.01% | 1.27% |
| Expected Yearly | 6.75% | 8.57% |
| Kelly Criterion | 9.23% | 7.67% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.41% | -1.58% |
| Expected Shortfall (cVaR) | -1.87% | -2.05% |
| Max Consecutive Wins | 15 | 6 |
| Max Consecutive Losses | 8 | 7 |
| Gain/Pain Ratio | 0.18 | 0.2 |
| Gain/Pain (1M) | 0.77 | 0.93 |
| Payoff Ratio | 1.12 | 1.11 |
| Profit Factor | 1.18 | 1.2 |
| Common Sense Ratio | 1.41 | 1.45 |
| CPC Index | 0.69 | 0.69 |
| Tail Ratio | 1.19 | 1.21 |
| Outlier Win Ratio | 3.18 | 3.26 |
| Outlier Loss Ratio | 2.73 | 3.08 |
| MTD | 4.35% | 4.98% |
| 3M | -0.19% | 0.23% |
| 6M | 3.84% | 6.52% |
| YTD | 13.93% | 12.96% |
| 1Y | 13.95% | 17.88% |
| 3Y (ann.) | 14.07% | 18.03% |
| 5Y (ann.) | 14.07% | 18.03% |
| 10Y (ann.) | 14.07% | 18.03% |
| All-time (ann.) | 14.07% | 18.03% |
| Best Day | 3.18% | 3.22% |
| Worst Day | -3.1% | -2.65% |
| Best Month | 8.6% | 8.87% |
| Worst Month | -6.31% | -7.91% |
| Best Year | 13.93% | 12.96% |
| Worst Year | 0.02% | 4.35% |
| Avg. Drawdown | -2.83% | -2.63% |
| Avg. Drawdown Days | 18 | 14 |
| Recovery Factor | 1.23 | 1.38 |
| Ulcer Index | 0.04 | 0.05 |
| Serenity Index | 0.33 | 0.33 |
| Avg. Up Month | 4.25% | 4.57% |
| Avg. Down Month | -5.04% | -5.72% |
| Win Days | 52.02% | 51.41% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.98 |
| Alpha | - | 0.04 |
| Correlation | - | 87.23% |
| Treynor Ratio | - | 18.16% |
| Year | VNQ | LPRE | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.02 | 4.35 | 230.20 | + |
| 2026 | 13.93 | 12.96 | 0.93 | - |
| 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 |