| Metric | VNQ | LPRE |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 16.63% | 22.6% |
| CAGR﹪ | 11.14% | 15.02% |
| Sharpe | 0.49 | 0.64 |
| Prob. Sharpe Ratio | 72.36% | 78.31% |
| Smart Sharpe | 0.43 | 0.55 |
| Sortino | 0.72 | 0.98 |
| Smart Sortino | 0.63 | 0.85 |
| Sortino/√2 | 0.51 | 0.69 |
| Smart Sortino/√2 | 0.45 | 0.6 |
| Omega | 1.14 | 1.16 |
| 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 | 96 |
| Volatility (ann.) | 15.07% | 17.56% |
| R^2 | 0.79 | 0.79 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 1.34 | 1.42 |
| Skew | 0.36 | 0.86 |
| Kurtosis | 4.22 | 6.79 |
| Ulcer Performance Index | 6.12 | 7.07 |
| Risk-Adjusted Return | 11.14% | 15.02% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.05% | 0.06% |
| Avg. Win | 0.8% | 0.95% |
| Avg. Loss | -0.8% | -0.92% |
| Win/Loss Ratio | 1.01 | 1.03 |
| Profit Ratio | 0.8 | 1.01 |
| Expected Daily | 0.04% | 0.06% |
| Expected Monthly | 0.86% | 1.14% |
| Expected Yearly | 7.99% | 10.73% |
| Kelly Criterion | 8.62% | 4.58% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.52% | -1.76% |
| Expected Shortfall (cVaR) | -2.17% | -2.34% |
| Max Consecutive Wins | 15 | 6 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.16 |
| Gain/Pain (1M) | 1.0 | 1.11 |
| Payoff Ratio | 1.01 | 1.03 |
| Profit Factor | 1.14 | 1.16 |
| Common Sense Ratio | 1.21 | 1.21 |
| CPC Index | 0.62 | 0.62 |
| Tail Ratio | 1.06 | 1.04 |
| Outlier Win Ratio | 3.08 | 3.14 |
| Outlier Loss Ratio | 3.64 | 3.5 |
| MTD | -2.92% | -5.58% |
| 3M | -1.17% | -5.88% |
| 6M | 7.55% | 7.57% |
| YTD | 7.87% | 4.63% |
| 1Y | 6.1% | 7.73% |
| 3Y (ann.) | 11.14% | 15.02% |
| 5Y (ann.) | 11.14% | 15.02% |
| 10Y (ann.) | 11.14% | 15.02% |
| All-time (ann.) | 11.14% | 15.02% |
| Best Day | 5.97% | 7.91% |
| Worst Day | -3.1% | -3.4% |
| Best Month | 8.6% | 8.87% |
| Worst Month | -6.31% | -7.9% |
| Best Year | 8.12% | 17.18% |
| Worst Year | 7.87% | 4.63% |
| Avg. Drawdown | -2.66% | -2.74% |
| Avg. Drawdown Days | 16 | 15 |
| Recovery Factor | 2.04 | 2.14 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 0.86 | 0.94 |
| Avg. Up Month | 3.1% | 3.74% |
| Avg. Down Month | -3.56% | -4.04% |
| Win Days | 54.12% | 51.64% |
| Win Month | 66.67% | 66.67% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.04 |
| Alpha | - | 0.03 |
| Correlation | - | 88.86% |
| Treynor Ratio | - | 21.83% |
| Year | VNQ | LPRE | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 8.12 | 17.18 | 2.12 | + |
| 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 |
| 2025-04-07 | 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 |