| Metric | SPY | LSEIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 14.39% | 11.21% |
| CAGR﹪ | 14.51% | 11.3% |
| Sharpe | 0.83 | 0.93 |
| Prob. Sharpe Ratio | 79.61% | 82.3% |
| Smart Sharpe | 0.82 | 0.93 |
| Sortino | 1.22 | 1.36 |
| Smart Sortino | 1.2 | 1.35 |
| Sortino/√2 | 0.86 | 0.96 |
| Smart Sortino/√2 | 0.85 | 0.96 |
| Omega | 1.2 | 1.27 |
| 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 | 2026-04-07 |
| Longest DD Days | 76 | 57 |
| Volatility (ann.) | 12.86% | 7.87% |
| R^2 | 0.76 | 0.76 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 1.63 | 2.9 |
| Skew | -0.02 | -0.06 |
| Kurtosis | 0.78 | 1.18 |
| Ulcer Performance Index | 6.68 | 11.62 |
| Risk-Adjusted Return | 14.51% | 11.53% |
| Risk-Return Ratio | 0.07 | 0.09 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.67% | 0.43% |
| Avg. Loss | -0.69% | -0.41% |
| Win/Loss Ratio | 0.98 | 1.05 |
| Profit Ratio | 1.02 | 0.76 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.04% | 0.82% |
| Expected Yearly | 6.95% | 5.46% |
| Kelly Criterion | 3.1% | 12.32% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.77% |
| Expected Shortfall (cVaR) | -1.66% | -1.02% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.27 |
| Gain/Pain (1M) | 1.83 | 3.68 |
| Payoff Ratio | 0.98 | 1.05 |
| Profit Factor | 1.2 | 1.27 |
| Common Sense Ratio | 1.19 | 1.25 |
| CPC Index | 0.61 | 0.73 |
| Tail Ratio | 0.99 | 0.99 |
| Outlier Win Ratio | 2.84 | 3.44 |
| Outlier Loss Ratio | 3.01 | 3.35 |
| MTD | 1.47% | 1.06% |
| 3M | 1.46% | -0.1% |
| 6M | 6.94% | 5.45% |
| YTD | 13.33% | 10.44% |
| 1Y | 14.39% | 11.21% |
| 3Y (ann.) | 14.51% | 11.3% |
| 5Y (ann.) | 14.51% | 11.3% |
| 10Y (ann.) | 14.51% | 11.3% |
| All-time (ann.) | 14.51% | 11.3% |
| Best Day | 2.91% | 1.86% |
| Worst Day | -2.58% | -1.46% |
| Best Month | 10.51% | 3.3% |
| Worst Month | -4.94% | -2.01% |
| Best Year | 13.33% | 10.44% |
| Worst Year | 0.94% | 0.7% |
| Avg. Drawdown | -1.74% | -0.93% |
| Avg. Drawdown Days | 14 | 8 |
| Recovery Factor | 1.61 | 2.8 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 2.15 |
| Avg. Up Month | 3.27% | 1.83% |
| Avg. Down Month | -2.06% | -0.91% |
| Win Days | 52.0% | 55.14% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.53 |
| Alpha | - | 0.03 |
| Correlation | - | 87.31% |
| Treynor Ratio | - | 20.97% |
| Year | SPY | LSEIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 0.70 | 0.74 | - |
| 2026 | 13.33 | 10.44 | 0.78 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-27 | 2026-04-07 | -3.90 | 40 |
| 2025-11-13 | 2025-12-09 | -3.27 | 27 |
| 2025-12-12 | 2025-12-23 | -2.69 | 12 |
| 2026-10-29 | 2026-11-04 | -2.18 | 7 |
| 2026-08-07 | 2026-10-02 | -1.56 | 57 |
| 2026-06-22 | 2026-06-29 | -1.44 | 8 |
| 2026-06-05 | 2026-06-11 | -1.41 | 7 |
| 2026-10-13 | 2026-10-27 | -1.40 | 15 |
| 2026-01-20 | 2026-01-23 | -1.36 | 4 |
| 2026-02-03 | 2026-02-05 | -1.23 | 3 |