| Metric | SPY | LSEQ |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 21.87% |
| CAGR﹪ | 18.02% | 22.06% |
| Sharpe | 1.04 | 0.98 |
| Prob. Sharpe Ratio | 84.73% | 83.29% |
| Smart Sharpe | 1.01 | 0.96 |
| Sortino | 1.51 | 1.42 |
| Smart Sortino | 1.47 | 1.39 |
| Sortino/√2 | 1.07 | 1.0 |
| Smart Sortino/√2 | 1.04 | 0.98 |
| Omega | 1.25 | 1.22 |
| Max Drawdown | -8.88% | -10.88% |
| Max DD Date | 2026-03-30 | 2026-08-04 |
| Max DD Period Start | 2026-01-28 | 2026-06-23 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 92 |
| Volatility (ann.) | 12.99% | 17.97% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 2.03 | 2.03 |
| Skew | -0.15 | -0.22 |
| Kurtosis | 1.05 | 0.9 |
| Ulcer Performance Index | 8.3 | 6.38 |
| Risk-Adjusted Return | 18.02% | 22.06% |
| Risk-Return Ratio | 0.08 | 0.08 |
| Avg. Return | 0.07% | 0.09% |
| Avg. Win | 0.7% | 0.85% |
| Avg. Loss | -0.69% | -0.96% |
| Win/Loss Ratio | 1.02 | 0.89 |
| Profit Ratio | 0.94 | 0.85 |
| Expected Daily | 0.07% | 0.08% |
| Expected Monthly | 1.27% | 1.53% |
| Expected Yearly | 8.57% | 10.39% |
| Kelly Criterion | 7.94% | 3.03% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.78% |
| Expected Shortfall (cVaR) | -1.72% | -2.77% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.22 |
| Gain/Pain (1M) | 2.6 | 1.66 |
| Payoff Ratio | 1.02 | 0.89 |
| Profit Factor | 1.25 | 1.22 |
| Common Sense Ratio | 1.24 | 1.33 |
| CPC Index | 0.68 | 0.59 |
| Tail Ratio | 0.99 | 1.09 |
| Outlier Win Ratio | 2.88 | 3.21 |
| Outlier Loss Ratio | 3.19 | 3.39 |
| MTD | 1.08% | -3.75% |
| 3M | 3.82% | -4.62% |
| 6M | 19.85% | 6.52% |
| YTD | 14.3% | 22.19% |
| 1Y | 17.87% | 21.87% |
| 3Y (ann.) | 18.02% | 22.06% |
| 5Y (ann.) | 18.02% | 22.06% |
| 10Y (ann.) | 18.02% | 22.06% |
| All-time (ann.) | 18.02% | 22.06% |
| Best Day | 2.91% | 3.27% |
| Worst Day | -2.7% | -4.16% |
| Best Month | 10.51% | 13.06% |
| Worst Month | -4.94% | -4.16% |
| Best Year | 14.3% | 22.19% |
| Worst Year | 3.13% | -0.26% |
| Avg. Drawdown | -1.71% | -2.27% |
| Avg. Drawdown Days | 13 | 13 |
| Recovery Factor | 1.94 | 1.97 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.16 | 0.93 |
| Avg. Up Month | 3.45% | 3.55% |
| Avg. Down Month | -4.94% | -2.6% |
| Win Days | 53.6% | 54.4% |
| Win Month | 76.92% | 53.85% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.44 |
| Alpha | - | 0.14 |
| Correlation | - | 31.87% |
| Treynor Ratio | - | 49.6% |
| Year | SPY | LSEQ | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | -0.26 | -0.08 | - |
| 2026 | 14.30 | 22.19 | 1.55 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-23 | 2026-09-22 | -10.88 | 92 |
| 2026-03-02 | 2026-04-08 | -7.40 | 38 |
| 2026-05-14 | 2026-06-11 | -5.28 | 29 |
| 2026-01-30 | 2026-02-02 | -4.16 | 4 |
| 2025-09-24 | 2025-10-14 | -3.32 | 21 |
| 2025-11-13 | 2026-01-05 | -3.18 | 54 |
| 2026-05-01 | 2026-05-05 | -1.92 | 5 |
| 2026-04-13 | 2026-04-29 | -1.89 | 17 |
| 2026-02-04 | 2026-02-06 | -1.88 | 3 |
| 2025-11-04 | 2025-11-07 | -1.76 | 4 |