| Metric | SPY | LSEIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 17.87% | 12.79% |
| CAGR﹪ | 18.02% | 12.9% |
| Sharpe | 1.04 | 1.03 |
| Prob. Sharpe Ratio | 84.73% | 84.42% |
| Smart Sharpe | 1.01 | 1.0 |
| Sortino | 1.51 | 1.48 |
| Smart Sortino | 1.47 | 1.43 |
| Sortino/√2 | 1.07 | 1.04 |
| Smart Sortino/√2 | 1.04 | 1.01 |
| Omega | 1.25 | 1.3 |
| Max Drawdown | -8.88% | -3.9% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-02-27 |
| Max DD Period End | 2026-04-13 | 2026-04-08 |
| Longest DD Days | 76 | 47 |
| Volatility (ann.) | 12.99% | 8.26% |
| R^2 | 0.77 | 0.77 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 2.03 | 3.31 |
| Skew | -0.15 | -0.39 |
| Kurtosis | 1.05 | 2.43 |
| Ulcer Performance Index | 8.3 | 12.9 |
| Risk-Adjusted Return | 18.02% | 13.3% |
| Risk-Return Ratio | 0.08 | 0.1 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.67% | 0.44% |
| Avg. Loss | -0.7% | -0.44% |
| Win/Loss Ratio | 0.95 | 1.0 |
| Profit Ratio | 0.94 | 0.7 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.27% | 0.93% |
| Expected Yearly | 8.57% | 6.2% |
| Kelly Criterion | 4.83% | 12.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.81% |
| Expected Shortfall (cVaR) | -1.72% | -1.12% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.3 |
| Gain/Pain (1M) | 2.6 | 5.45 |
| Payoff Ratio | 0.95 | 1.0 |
| Profit Factor | 1.25 | 1.3 |
| Common Sense Ratio | 1.24 | 1.28 |
| CPC Index | 0.64 | 0.73 |
| Tail Ratio | 0.99 | 0.99 |
| Outlier Win Ratio | 2.88 | 3.35 |
| Outlier Loss Ratio | 3.19 | 3.16 |
| MTD | 1.08% | 0.21% |
| 3M | 3.82% | 1.97% |
| 6M | 19.85% | 10.26% |
| YTD | 14.3% | 10.32% |
| 1Y | 17.87% | 12.79% |
| 3Y (ann.) | 18.02% | 12.9% |
| 5Y (ann.) | 18.02% | 12.9% |
| 10Y (ann.) | 18.02% | 12.9% |
| All-time (ann.) | 18.02% | 12.9% |
| Best Day | 2.91% | 1.86% |
| Worst Day | -2.7% | -2.45% |
| Best Month | 10.51% | 3.3% |
| Worst Month | -4.94% | -2.01% |
| Best Year | 14.3% | 10.32% |
| Worst Year | 3.13% | 2.24% |
| Avg. Drawdown | -1.71% | -0.96% |
| Avg. Drawdown Days | 13 | 8 |
| Recovery Factor | 1.94 | 3.17 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 2.49 |
| Avg. Up Month | 2.67% | 1.46% |
| Avg. Down Month | -4.94% | -2.01% |
| Win Days | 53.6% | 56.2% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.56 |
| Alpha | - | 0.03 |
| Correlation | - | 87.78% |
| Treynor Ratio | - | 22.92% |
| Year | SPY | LSEIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 2.24 | 0.72 | - |
| 2026 | 14.30 | 10.32 | 0.72 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-27 | 2026-04-08 | -3.90 | 41 |
| 2025-11-13 | 2025-12-09 | -3.27 | 27 |
| 2025-10-09 | 2025-10-24 | -2.80 | 16 |
| 2025-12-12 | 2025-12-23 | -2.69 | 12 |
| 2025-10-29 | 2025-11-10 | -1.61 | 13 |
| 2026-08-07 | 2026-09-22 | -1.56 | 47 |
| 2026-06-22 | 2026-06-29 | -1.44 | 8 |
| 2026-06-05 | 2026-06-11 | -1.41 | 7 |
| 2026-01-20 | 2026-01-23 | -1.36 | 4 |
| 2026-02-03 | 2026-02-05 | -1.23 | 3 |