| Metric | SPY | LSEIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 207.58% | 94.08% |
| CAGR﹪ | 16.68% | 9.53% |
| Sharpe | 0.74 | 0.59 |
| Prob. Sharpe Ratio | 97.6% | 94.28% |
| Smart Sharpe | 0.64 | 0.53 |
| Sortino | 1.04 | 0.83 |
| Smart Sortino | 0.9 | 0.74 |
| Sortino/√2 | 0.74 | 0.59 |
| Smart Sortino/√2 | 0.64 | 0.52 |
| Omega | 1.19 | 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.) | 19.56% | 11.75% |
| R^2 | 0.86 | 0.86 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.49 | 0.59 |
| Skew | -0.29 | -0.32 |
| Kurtosis | 13.84 | 4.62 |
| Ulcer Performance Index | 26.03 | 18.75 |
| Risk-Adjusted Return | 16.68% | 10.04% |
| Risk-Return Ratio | 0.06 | 0.05 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.87% | 0.57% |
| Avg. Loss | -0.88% | -0.59% |
| Win/Loss Ratio | 0.99 | 0.98 |
| Profit Ratio | 0.77 | 0.7 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.28% | 0.76% |
| Expected Yearly | 15.08% | 8.64% |
| Kelly Criterion | 10.07% | 6.67% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -1.18% |
| Expected Shortfall (cVaR) | -3.2% | -1.78% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.19 | 0.16 |
| Gain/Pain (1M) | 1.17 | 0.96 |
| Payoff Ratio | 0.99 | 0.98 |
| Profit Factor | 1.19 | 1.16 |
| Common Sense Ratio | 1.14 | 1.12 |
| CPC Index | 0.65 | 0.61 |
| Tail Ratio | 0.96 | 0.97 |
| Outlier Win Ratio | 3.69 | 3.8 |
| Outlier Loss Ratio | 4.1 | 3.71 |
| 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.) | 16.68% | 9.53% |
| All-time (ann.) | 16.68% | 9.53% |
| 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 | -1.78% | -1.62% |
| Avg. Drawdown Days | 16 | 21 |
| Recovery Factor | 3.75 | 4.45 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 1.03 | 0.94 |
| Avg. Up Month | 4.38% | 2.79% |
| Avg. Down Month | -4.17% | -2.77% |
| Win Days | 55.26% | 53.75% |
| Win Month | 67.05% | 62.07% |
| Win Quarter | 76.67% | 70.0% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.56 |
| Alpha | - | 0.0 |
| Correlation | - | 92.49% |
| Treynor Ratio | - | 169.27% |
| 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 | 14.30 | 10.32 | 0.72 | - |
| 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 |