| Metric | VNQ | LPRE |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 6.73% | 6.75% |
| CAGR﹪ | 13.9% | 13.96% |
| Sharpe | 0.73 | 0.69 |
| Prob. Sharpe Ratio | 69.79% | 68.57% |
| Smart Sharpe | 0.71 | 0.67 |
| Sortino | 1.12 | 1.02 |
| Smart Sortino | 1.08 | 1.0 |
| Sortino/√2 | 0.79 | 0.72 |
| Smart Sortino/√2 | 0.76 | 0.71 |
| Omega | 1.17 | 1.16 |
| Max Drawdown | -7.96% | -10.55% |
| Max DD Date | 2026-09-18 | 2026-09-18 |
| Max DD Period Start | 2026-07-29 | 2026-07-30 |
| Max DD Period End | 2026-09-22 | 2026-09-22 |
| Longest DD Days | 56 | 55 |
| Volatility (ann.) | 14.21% | 15.57% |
| R^2 | 0.71 | 0.71 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 1.75 | 1.32 |
| Skew | 0.15 | 0.11 |
| Kurtosis | 0.11 | 0.29 |
| Ulcer Performance Index | 2.47 | 2.08 |
| Risk-Adjusted Return | 14.04% | 13.96% |
| Risk-Return Ratio | 0.06 | 0.06 |
| Avg. Return | 0.05% | 0.06% |
| Avg. Win | 0.88% | 0.94% |
| Avg. Loss | -0.77% | -0.9% |
| Win/Loss Ratio | 1.15 | 1.05 |
| Profit Ratio | 1.03 | 0.96 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 0.93% | 0.94% |
| Expected Yearly | 6.73% | 6.75% |
| Kelly Criterion | 7.93% | 6.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.42% | -1.56% |
| Expected Shortfall (cVaR) | -1.8% | -1.95% |
| Max Consecutive Wins | 15 | 6 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.17 | 0.16 |
| Gain/Pain (1M) | 1.16 | 0.84 |
| Payoff Ratio | 1.15 | 1.05 |
| Profit Factor | 1.17 | 1.16 |
| Common Sense Ratio | 1.35 | 1.25 |
| CPC Index | 0.68 | 0.63 |
| Tail Ratio | 1.15 | 1.08 |
| Outlier Win Ratio | 3.07 | 3.14 |
| Outlier Loss Ratio | 2.68 | 3.05 |
| MTD | -2.92% | -5.58% |
| 3M | -1.17% | -5.88% |
| 6M | 6.73% | 6.75% |
| YTD | 6.73% | 6.75% |
| 1Y | 6.73% | 6.75% |
| 3Y (ann.) | 13.9% | 13.96% |
| 5Y (ann.) | 13.9% | 13.96% |
| 10Y (ann.) | 13.9% | 13.96% |
| All-time (ann.) | 13.9% | 13.96% |
| Best Day | 2.3% | 2.87% |
| Worst Day | -2.5% | -2.41% |
| Best Month | 8.6% | 8.87% |
| Worst Month | -2.92% | -5.58% |
| Best Year | 6.73% | 6.75% |
| Worst Year | 6.73% | 6.75% |
| Avg. Drawdown | -2.57% | -2.26% |
| Avg. Drawdown Days | 14 | 10 |
| Recovery Factor | 0.88 | 0.68 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 0.34 | 0.25 |
| Avg. Up Month | 5.13% | 6.32% |
| Avg. Down Month | -2.73% | -3.47% |
| Win Days | 50.81% | 52.0% |
| Win Month | 57.14% | 42.86% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.92 |
| Alpha | - | 0.01 |
| Correlation | - | 84.26% |
| Treynor Ratio | - | 7.31% |
| Year | VNQ | LPRE | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.73 | 6.75 | 1.00 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-30 | 2026-09-22 | -10.55 | 55 |
| 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 |
| 2026-03-24 | 2026-03-31 | -2.03 | 8 |
| 2026-05-29 | 2026-06-04 | -1.72 | 7 |
| 2026-06-29 | 2026-07-01 | -1.10 | 3 |
| 2026-07-06 | 2026-07-06 | -0.93 | 1 |
| 2026-06-08 | 2026-06-08 | -0.63 | 1 |