| Metric | VNQ | LPRE |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 4.17% | 6.98% |
| CAGR﹪ | 8.44% | 14.32% |
| Sharpe | 0.38 | 0.67 |
| Prob. Sharpe Ratio | 60.54% | 68.48% |
| Smart Sharpe | 0.33 | 0.61 |
| Sortino | 0.59 | 1.05 |
| Smart Sortino | 0.52 | 0.94 |
| Sortino/√2 | 0.42 | 0.74 |
| Smart Sortino/√2 | 0.37 | 0.67 |
| Omega | 1.11 | 1.16 |
| 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.) | 15.08% | 16.57% |
| R^2 | 0.73 | 0.73 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 0.74 | 1.12 |
| Skew | 0.47 | 0.37 |
| Kurtosis | 0.56 | 0.47 |
| Ulcer Performance Index | 0.82 | 1.17 |
| Risk-Adjusted Return | 8.53% | 14.32% |
| Risk-Return Ratio | 0.04 | 0.06 |
| Avg. Return | 0.04% | 0.06% |
| Avg. Win | 0.97% | 1.05% |
| Avg. Loss | -0.79% | -0.91% |
| Win/Loss Ratio | 1.23 | 1.16 |
| Profit Ratio | 1.29 | 0.99 |
| Expected Daily | 0.03% | 0.05% |
| Expected Monthly | 0.59% | 0.97% |
| Expected Yearly | 4.17% | 6.98% |
| Kelly Criterion | 4.21% | 9.99% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.53% | -1.66% |
| Expected Shortfall (cVaR) | -1.89% | -2.18% |
| Max Consecutive Wins | 6 | 6 |
| Max Consecutive Losses | 8 | 6 |
| Gain/Pain Ratio | 0.11 | 0.16 |
| Gain/Pain (1M) | 0.52 | 0.68 |
| Payoff Ratio | 1.23 | 1.16 |
| Profit Factor | 1.11 | 1.16 |
| Common Sense Ratio | 1.34 | 1.45 |
| CPC Index | 0.64 | 0.7 |
| Tail Ratio | 1.21 | 1.25 |
| Outlier Win Ratio | 2.88 | 3.46 |
| Outlier Loss Ratio | 2.6 | 2.93 |
| MTD | 4.35% | 4.98% |
| 3M | -0.19% | 0.23% |
| 6M | 4.17% | 6.98% |
| YTD | 4.17% | 6.98% |
| 1Y | 4.17% | 6.98% |
| 3Y (ann.) | 8.44% | 14.32% |
| 5Y (ann.) | 8.44% | 14.32% |
| 10Y (ann.) | 8.44% | 14.32% |
| All-time (ann.) | 8.44% | 14.32% |
| Best Day | 3.18% | 3.22% |
| Worst Day | -2.5% | -2.41% |
| Best Month | 4.81% | 5.43% |
| Worst Month | -6.26% | -7.91% |
| Best Year | 4.17% | 6.98% |
| Worst Year | 4.17% | 6.98% |
| Avg. Drawdown | -3.11% | -2.92% |
| Avg. Drawdown Days | 21 | 17 |
| Recovery Factor | 0.41 | 0.58 |
| Ulcer Index | 0.05 | 0.06 |
| Serenity Index | 0.09 | 0.11 |
| Avg. Up Month | 3.6% | 4.73% |
| Avg. Down Month | -4.4% | -4.63% |
| Win Days | 47.2% | 51.59% |
| Win Month | 57.14% | 57.14% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.94 |
| Alpha | - | 0.06 |
| Correlation | - | 85.6% |
| Treynor Ratio | - | 7.42% |
| Year | VNQ | LPRE | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 4.17 | 6.98 | 1.67 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-30 | 2026-11-04 | -12.82 | 98 |
| 2026-05-08 | 2026-05-19 | -3.23 | 12 |
| 2026-06-15 | 2026-06-24 | -3.03 | 10 |
| 2026-07-08 | 2026-07-28 | -2.72 | 21 |
| 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 |
| 2026-06-10 | 2026-06-10 | -0.06 | 1 |