| Metric | SPY | LSEIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 204.97% | 94.29% |
| CAGR﹪ | 16.25% | 9.38% |
| Sharpe | 0.72 | 0.58 |
| Prob. Sharpe Ratio | 97.45% | 94.16% |
| Smart Sharpe | 0.63 | 0.52 |
| Sortino | 1.02 | 0.82 |
| Smart Sortino | 0.88 | 0.73 |
| Sortino/√2 | 0.72 | 0.58 |
| Smart Sortino/√2 | 0.62 | 0.52 |
| Omega | 1.18 | 1.16 |
| Max Drawdown | -33.72% | -16.05% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-02-13 |
| Max DD Period End | 2020-08-07 | 2020-06-05 |
| Longest DD Days | 708 | 696 |
| Volatility (ann.) | 19.45% | 11.69% |
| R^2 | 0.86 | 0.86 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.48 | 0.58 |
| Skew | -0.29 | -0.32 |
| Kurtosis | 13.94 | 4.66 |
| Ulcer Performance Index | 25.91 | 18.94 |
| Risk-Adjusted Return | 16.25% | 9.88% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.87% | 0.57% |
| Avg. Loss | -0.88% | -0.58% |
| Win/Loss Ratio | 0.99 | 0.98 |
| Profit Ratio | 0.78 | 0.69 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.25% | 0.74% |
| Expected Yearly | 14.96% | 8.66% |
| Kelly Criterion | 9.75% | 6.76% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.17% |
| Expected Shortfall (cVaR) | -3.2% | -1.77% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.16 |
| Gain/Pain (1M) | 1.15 | 0.95 |
| Payoff Ratio | 0.99 | 0.98 |
| Profit Factor | 1.18 | 1.16 |
| Common Sense Ratio | 1.13 | 1.12 |
| CPC Index | 0.64 | 0.61 |
| Tail Ratio | 0.96 | 0.97 |
| Outlier Win Ratio | 3.69 | 3.79 |
| Outlier Loss Ratio | 4.12 | 3.72 |
| 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.) | 16.25% | 9.38% |
| All-time (ann.) | 16.25% | 9.38% |
| Best Day | 10.5% | 3.96% |
| Worst Day | -10.94% | -5.15% |
| Best Month | 12.7% | 8.08% |
| Worst Month | -12.49% | -6.49% |
| Best Year | 28.73% | 17.36% |
| Worst Year | -18.18% | -9.95% |
| Avg. Drawdown | -1.79% | -1.61% |
| Avg. Drawdown Days | 16 | 21 |
| Recovery Factor | 3.72 | 4.46 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 1.03 | 0.95 |
| Avg. Up Month | 4.39% | 2.81% |
| Avg. Down Month | -3.92% | -2.59% |
| Win Days | 55.15% | 53.83% |
| Win Month | 65.56% | 60.67% |
| Win Quarter | 77.42% | 70.97% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.56 |
| Alpha | - | 0.0 |
| Correlation | - | 92.49% |
| Treynor Ratio | - | 169.55% |
| Year | SPY | LSEIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 3.58 | 0.22 | - |
| 2020 | 18.33 | 8.13 | 0.44 | - |
| 2021 | 28.73 | 14.67 | 0.51 | - |
| 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 |
|---|---|---|---|
| 2020-02-13 | 2020-06-05 | -16.05 | 114 |
| 2024-12-05 | 2025-07-02 | -13.63 | 210 |
| 2022-01-04 | 2023-11-30 | -13.42 | 696 |
| 2020-09-03 | 2021-01-07 | -7.19 | 127 |
| 2020-06-09 | 2020-08-17 | -7.11 | 70 |
| 2024-07-17 | 2024-08-29 | -6.01 | 44 |
| 2021-02-16 | 2021-03-31 | -4.33 | 44 |
| 2021-09-03 | 2021-10-22 | -4.22 | 50 |
| 2024-04-01 | 2024-05-14 | -3.99 | 44 |
| 2026-02-27 | 2026-04-08 | -3.90 | 41 |