| Metric | SPY | LSEIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 86.58% | 57.97% |
| CAGR﹪ | 13.36% | 9.63% |
| Sharpe | 0.59 | 0.55 |
| Prob. Sharpe Ratio | 90.85% | 89.01% |
| Smart Sharpe | 0.58 | 0.54 |
| Sortino | 0.86 | 0.79 |
| Smart Sortino | 0.83 | 0.77 |
| Sortino/√2 | 0.61 | 0.56 |
| Smart Sortino/√2 | 0.59 | 0.55 |
| Omega | 1.16 | 1.17 |
| Max Drawdown | -24.5% | -13.63% |
| Max DD Date | 2022-10-12 | 2025-04-08 |
| Max DD Period Start | 2022-01-04 | 2024-12-05 |
| Max DD Period End | 2023-12-12 | 2025-07-02 |
| Longest DD Days | 708 | 696 |
| Volatility (ann.) | 17.2% | 10.85% |
| R^2 | 0.87 | 0.87 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.55 | 0.71 |
| Skew | 0.32 | -0.17 |
| Kurtosis | 8.95 | 2.99 |
| Ulcer Performance Index | 10.24 | 10.61 |
| Risk-Adjusted Return | 13.36% | 10.03% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.83% | 0.55% |
| Avg. Loss | -0.83% | -0.55% |
| Win/Loss Ratio | 0.99 | 1.01 |
| Profit Ratio | 0.83 | 0.75 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.03% | 0.75% |
| Expected Yearly | 10.95% | 7.92% |
| Kelly Criterion | 7.75% | 7.14% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.09% |
| Expected Shortfall (cVaR) | -2.58% | -1.52% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.16 | 0.17 |
| Gain/Pain (1M) | 0.87 | 0.89 |
| Payoff Ratio | 0.99 | 1.01 |
| Profit Factor | 1.16 | 1.17 |
| Common Sense Ratio | 1.17 | 1.14 |
| CPC Index | 0.62 | 0.63 |
| Tail Ratio | 1.01 | 0.98 |
| Outlier Win Ratio | 3.41 | 3.57 |
| Outlier Loss Ratio | 3.77 | 3.14 |
| MTD | 1.08% | 0.21% |
| 3M | 3.82% | 1.97% |
| 6M | 19.85% | 10.26% |
| YTD | 14.3% | 10.32% |
| 1Y | 17.78% | 12.79% |
| 3Y (ann.) | 24.86% | 18.12% |
| 5Y (ann.) | 13.06% | 9.43% |
| 10Y (ann.) | 13.36% | 9.63% |
| All-time (ann.) | 13.36% | 9.63% |
| Best Day | 10.5% | 3.96% |
| Worst Day | -5.85% | -3.71% |
| Best Month | 10.51% | 8.08% |
| Worst Month | -9.24% | -4.73% |
| Best Year | 26.18% | 17.36% |
| Worst Year | -18.18% | -9.95% |
| Avg. Drawdown | -1.89% | -1.42% |
| Avg. Drawdown Days | 20 | 20 |
| Recovery Factor | 2.85 | 3.57 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.47 | 0.53 |
| Avg. Up Month | 4.08% | 2.79% |
| Avg. Down Month | -3.97% | -2.69% |
| Win Days | 54.04% | 53.35% |
| Win Month | 63.93% | 62.3% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.59 |
| Alpha | - | 0.02 |
| Correlation | - | 93.05% |
| Treynor Ratio | - | 98.75% |
| Year | SPY | LSEIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 4.54 | 0.60 | - |
| 2022 | -18.18 | -9.95 | 0.55 | + |
| 2023 | 26.18 | 15.70 | 0.60 | - |
| 2024 | 24.89 | 17.36 | 0.70 | - |
| 2025 | 17.72 | 12.02 | 0.68 | - |
| 2026 | 14.30 | 10.32 | 0.72 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-12-05 | 2025-07-02 | -13.63 | 210 |
| 2022-01-04 | 2023-11-30 | -13.42 | 696 |
| 2024-07-17 | 2024-08-29 | -6.01 | 44 |
| 2024-04-01 | 2024-05-14 | -3.99 | 44 |
| 2026-02-27 | 2026-04-08 | -3.90 | 41 |
| 2021-11-19 | 2021-12-23 | -3.70 | 35 |
| 2024-09-03 | 2024-09-18 | -3.39 | 16 |
| 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 |