| Metric | VNQ | LPRE |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 5.51% | 8.06% |
| CAGR﹪ | 5.55% | 8.13% |
| Sharpe | 0.17 | 0.33 |
| Prob. Sharpe Ratio | 56.84% | 62.87% |
| Smart Sharpe | 0.17 | 0.32 |
| Sortino | 0.24 | 0.48 |
| Smart Sortino | 0.24 | 0.47 |
| Sortino/√2 | 0.17 | 0.34 |
| Smart Sortino/√2 | 0.17 | 0.33 |
| Omega | 1.08 | 1.1 |
| Max Drawdown | -8.34% | -10.55% |
| Max DD Date | 2026-03-27 | 2026-09-18 |
| Max DD Period Start | 2026-03-03 | 2026-07-30 |
| Max DD Period End | 2026-04-15 | 2026-09-22 |
| Longest DD Days | 80 | 58 |
| Volatility (ann.) | 13.64% | 15.09% |
| R^2 | 0.74 | 0.74 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.67 | 0.77 |
| Skew | -0.18 | 0.0 |
| Kurtosis | 0.67 | 0.42 |
| Ulcer Performance Index | 1.79 | 2.33 |
| Risk-Adjusted Return | 5.55% | 8.13% |
| Risk-Return Ratio | 0.03 | 0.04 |
| Avg. Return | 0.02% | 0.04% |
| Avg. Win | 0.77% | 0.86% |
| Avg. Loss | -0.77% | -0.87% |
| Win/Loss Ratio | 1.0 | 1.0 |
| Profit Ratio | 0.83 | 1.0 |
| Expected Daily | 0.02% | 0.03% |
| Expected Monthly | 0.41% | 0.6% |
| Expected Yearly | 2.72% | 3.95% |
| Kelly Criterion | 5.66% | 1.96% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.39% | -1.53% |
| Expected Shortfall (cVaR) | -1.98% | -2.01% |
| Max Consecutive Wins | 15 | 6 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.08 | 0.1 |
| Gain/Pain (1M) | 0.37 | 0.49 |
| Payoff Ratio | 1.0 | 1.0 |
| Profit Factor | 1.08 | 1.1 |
| Common Sense Ratio | 1.19 | 1.2 |
| CPC Index | 0.57 | 0.56 |
| Tail Ratio | 1.1 | 1.09 |
| Outlier Win Ratio | 3.07 | 3.25 |
| Outlier Loss Ratio | 3.29 | 3.24 |
| MTD | -2.92% | -5.58% |
| 3M | -1.17% | -5.88% |
| 6M | 7.55% | 7.57% |
| YTD | 7.87% | 4.63% |
| 1Y | 5.51% | 8.06% |
| 3Y (ann.) | 5.55% | 8.13% |
| 5Y (ann.) | 5.55% | 8.13% |
| 10Y (ann.) | 5.55% | 8.13% |
| All-time (ann.) | 5.55% | 8.13% |
| Best Day | 2.3% | 2.87% |
| Worst Day | -3.1% | -2.65% |
| Best Month | 8.6% | 8.87% |
| Worst Month | -6.31% | -7.9% |
| Best Year | 7.87% | 4.63% |
| Worst Year | -2.19% | 3.27% |
| Avg. Drawdown | -2.67% | -2.4% |
| Avg. Drawdown Days | 17 | 13 |
| Recovery Factor | 0.75 | 0.84 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 0.25 | 0.29 |
| Avg. Up Month | 4.13% | 4.45% |
| Avg. Down Month | -3.56% | -4.04% |
| Win Days | 52.82% | 51.0% |
| Win Month | 53.85% | 53.85% |
| Win Quarter | 60.0% | 40.0% |
| Win Year | 50.0% | 100.0% |
| Beta | - | 0.95 |
| Alpha | - | 0.03 |
| Correlation | - | 86.21% |
| Treynor Ratio | - | 8.45% |
| Year | VNQ | LPRE | Multiplier | Won |
|---|---|---|---|---|
| 2025 | -2.19 | 3.27 | -1.49 | + |
| 2026 | 7.87 | 4.63 | 0.59 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-30 | 2026-09-22 | -10.55 | 55 |
| 2026-02-18 | 2026-04-16 | -10.33 | 58 |
| 2025-10-23 | 2025-12-12 | -4.80 | 51 |
| 2026-01-20 | 2026-02-09 | -3.71 | 21 |
| 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 |
| 2025-10-06 | 2025-10-14 | -2.35 | 9 |
| 2026-05-29 | 2026-06-04 | -1.72 | 7 |