| Metric | SPY | LSEIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 18.6% | 9.31% |
| CAGR﹪ | 40.67% | 19.5% |
| Sharpe | 2.32 | 2.09 |
| Prob. Sharpe Ratio | 95.04% | 93.75% |
| Smart Sharpe | 2.3 | 2.07 |
| Sortino | 3.78 | 3.61 |
| Smart Sortino | 3.75 | 3.58 |
| Sortino/√2 | 2.67 | 2.55 |
| Smart Sortino/√2 | 2.65 | 2.53 |
| Omega | 1.54 | 1.6 |
| Max Drawdown | -4.49% | -1.88% |
| Max DD Date | 2026-06-10 | 2026-03-30 |
| Max DD Period Start | 2026-06-03 | 2026-03-26 |
| Max DD Period End | 2026-07-31 | 2026-03-31 |
| Longest DD Days | 59 | 47 |
| Volatility (ann.) | 13.55% | 6.93% |
| R^2 | 0.67 | 0.67 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 9.05 | 10.37 |
| Skew | 0.1 | 0.65 |
| Kurtosis | 1.12 | 2.59 |
| Ulcer Performance Index | 11.86 | 17.83 |
| Risk-Adjusted Return | 40.67% | 20.1% |
| Risk-Return Ratio | 0.16 | 0.16 |
| Avg. Return | 0.15% | 0.07% |
| Avg. Win | 0.77% | 0.41% |
| Avg. Loss | -0.64% | -0.31% |
| Win/Loss Ratio | 1.2 | 1.32 |
| Profit Ratio | 1.12 | 1.02 |
| Expected Daily | 0.14% | 0.07% |
| Expected Monthly | 2.47% | 1.28% |
| Expected Yearly | 18.6% | 9.31% |
| Kelly Criterion | 15.66% | 18.68% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.65% |
| Expected Shortfall (cVaR) | -1.77% | -0.86% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.54 | 0.6 |
| Gain/Pain (1M) | 10.92 | 186.24 |
| Payoff Ratio | 1.2 | 1.32 |
| Profit Factor | 1.54 | 1.6 |
| Common Sense Ratio | 2.01 | 2.17 |
| CPC Index | 1.0 | 1.13 |
| Tail Ratio | 1.3 | 1.36 |
| Outlier Win Ratio | 3.21 | 3.68 |
| Outlier Loss Ratio | 3.16 | 3.36 |
| MTD | 1.08% | 0.21% |
| 3M | 3.82% | 1.97% |
| 6M | 18.6% | 9.31% |
| YTD | 18.6% | 9.31% |
| 1Y | 18.6% | 9.31% |
| 3Y (ann.) | 40.67% | 19.5% |
| 5Y (ann.) | 40.67% | 19.5% |
| 10Y (ann.) | 40.67% | 19.5% |
| All-time (ann.) | 40.67% | 19.5% |
| Best Day | 2.91% | 1.86% |
| Worst Day | -2.58% | -1.12% |
| Best Month | 10.51% | 3.3% |
| Worst Month | -1.03% | -0.05% |
| Best Year | 18.6% | 9.31% |
| Worst Year | 18.6% | 9.31% |
| Avg. Drawdown | -1.13% | -0.56% |
| Avg. Drawdown Days | 9 | 6 |
| Recovery Factor | 3.9 | 4.8 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 2.75 | 5.27 |
| Avg. Up Month | 4.22% | 1.66% |
| Avg. Down Month | - | - |
| Win Days | 53.97% | 53.72% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.42 |
| Alpha | - | 0.03 |
| Correlation | - | 81.62% |
| Treynor Ratio | - | 22.29% |
| Year | SPY | LSEIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 9.31 | 0.50 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-26 | 2026-03-31 | -1.88 | 6 |
| 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 |
| 2026-07-16 | 2026-07-29 | -0.95 | 14 |
| 2026-06-16 | 2026-06-17 | -0.85 | 2 |
| 2026-04-15 | 2026-04-21 | -0.44 | 7 |
| 2026-05-07 | 2026-05-13 | -0.44 | 7 |
| 2026-03-24 | 2026-03-24 | -0.29 | 1 |
| 2026-05-27 | 2026-05-27 | -0.27 | 1 |