| Metric | SPY | LSEIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 74.99% | 50.67% |
| CAGR﹪ | 11.91% | 8.59% |
| Sharpe | 0.52 | 0.46 |
| Prob. Sharpe Ratio | 87.6% | 84.67% |
| Smart Sharpe | 0.5 | 0.45 |
| Sortino | 0.74 | 0.65 |
| Smart Sortino | 0.72 | 0.64 |
| Sortino/√2 | 0.53 | 0.46 |
| Smart Sortino/√2 | 0.51 | 0.45 |
| Omega | 1.14 | 1.15 |
| 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.) | 17.19% | 10.81% |
| R^2 | 0.87 | 0.87 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.63 |
| Skew | 0.33 | -0.16 |
| Kurtosis | 8.98 | 3.06 |
| Ulcer Performance Index | 8.86 | 9.27 |
| Risk-Adjusted Return | 11.91% | 8.95% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.05% | 0.04% |
| Avg. Win | 0.83% | 0.55% |
| Avg. Loss | -0.83% | -0.55% |
| Win/Loss Ratio | 1.0 | 1.01 |
| Profit Ratio | 0.86 | 0.76 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.92% | 0.67% |
| Expected Yearly | 9.77% | 7.07% |
| Kelly Criterion | 6.93% | 6.67% |
| 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 | 0.14 | 0.15 |
| Gain/Pain (1M) | 0.79 | 0.8 |
| Payoff Ratio | 1.0 | 1.01 |
| Profit Factor | 1.14 | 1.15 |
| Common Sense Ratio | 1.15 | 1.13 |
| CPC Index | 0.61 | 0.62 |
| Tail Ratio | 1.0 | 0.98 |
| Outlier Win Ratio | 3.4 | 3.6 |
| Outlier Loss Ratio | 3.8 | 3.17 |
| MTD | 1.47% | 1.06% |
| 3M | 1.46% | -0.1% |
| 6M | 6.94% | 5.45% |
| YTD | 13.33% | 10.44% |
| 1Y | 13.43% | 10.69% |
| 3Y (ann.) | 20.78% | 14.92% |
| 5Y (ann.) | 12.86% | 9.55% |
| 10Y (ann.) | 11.91% | 8.59% |
| All-time (ann.) | 11.91% | 8.59% |
| 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 | -1.94% | -1.42% |
| Avg. Drawdown Days | 21 | 20 |
| Recovery Factor | 2.58 | 3.22 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.43 | 0.48 |
| Avg. Up Month | 4.01% | 2.74% |
| Avg. Down Month | -3.78% | -2.58% |
| Win Days | 53.48% | 53.02% |
| Win Month | 62.3% | 60.66% |
| Win Quarter | 71.43% | 66.67% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.59 |
| Alpha | - | 0.01 |
| Correlation | - | 93.04% |
| Treynor Ratio | - | 86.6% |
| Year | SPY | LSEIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -0.39 | -0.23 | - |
| 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 | 13.33 | 10.44 | 0.78 | - |
| 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 | 2026-04-07 | -3.90 | 40 |
| 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 |