| Metric | SPY | LSEQ |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.39% | 24.49% |
| CAGR﹪ | 14.51% | 24.71% |
| Sharpe | 0.83 | 1.11 |
| Prob. Sharpe Ratio | 79.61% | 86.25% |
| Smart Sharpe | 0.82 | 1.08 |
| Sortino | 1.22 | 1.61 |
| Smart Sortino | 1.2 | 1.56 |
| Sortino/√2 | 0.86 | 1.14 |
| Smart Sortino/√2 | 0.85 | 1.1 |
| Omega | 1.2 | 1.24 |
| 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 | 2026-11-04 |
| Longest DD Days | 76 | 135 |
| Volatility (ann.) | 12.86% | 18.1% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 1.63 | 2.27 |
| Skew | -0.02 | -0.26 |
| Kurtosis | 0.78 | 0.89 |
| Ulcer Performance Index | 6.68 | 6.37 |
| Risk-Adjusted Return | 14.51% | 24.71% |
| Risk-Return Ratio | 0.07 | 0.08 |
| Avg. Return | 0.06% | 0.09% |
| Avg. Win | 0.71% | 0.88% |
| Avg. Loss | -0.69% | -0.93% |
| Win/Loss Ratio | 1.03 | 0.94 |
| Profit Ratio | 1.02 | 0.84 |
| Expected Daily | 0.05% | 0.09% |
| Expected Monthly | 1.04% | 1.7% |
| Expected Yearly | 6.95% | 11.58% |
| Kelly Criterion | 5.45% | 6.94% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.78% |
| Expected Shortfall (cVaR) | -1.66% | -2.74% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.24 |
| Gain/Pain (1M) | 1.83 | 1.92 |
| Payoff Ratio | 1.03 | 0.94 |
| Profit Factor | 1.2 | 1.24 |
| Common Sense Ratio | 1.19 | 1.35 |
| CPC Index | 0.64 | 0.64 |
| Tail Ratio | 0.99 | 1.09 |
| Outlier Win Ratio | 2.84 | 3.18 |
| Outlier Loss Ratio | 3.01 | 3.36 |
| MTD | 1.47% | 0.86% |
| 3M | 1.46% | 6.26% |
| 6M | 6.94% | 3.41% |
| YTD | 13.33% | 27.01% |
| 1Y | 14.39% | 24.49% |
| 3Y (ann.) | 14.51% | 24.71% |
| 5Y (ann.) | 14.51% | 24.71% |
| 10Y (ann.) | 14.51% | 24.71% |
| All-time (ann.) | 14.51% | 24.71% |
| Best Day | 2.91% | 3.27% |
| Worst Day | -2.58% | -4.16% |
| Best Month | 10.51% | 13.06% |
| Worst Month | -4.94% | -4.16% |
| Best Year | 13.33% | 27.01% |
| Worst Year | 0.94% | -1.98% |
| Avg. Drawdown | -1.74% | -2.4% |
| Avg. Drawdown Days | 14 | 16 |
| Recovery Factor | 1.61 | 2.16 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 0.94 | 0.84 |
| Avg. Up Month | 3.4% | 3.31% |
| Avg. Down Month | -2.63% | -3.02% |
| Win Days | 52.0% | 54.8% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.43 |
| Alpha | - | 0.18 |
| Correlation | - | 30.38% |
| Treynor Ratio | - | 57.28% |
| Year | SPY | LSEQ | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | -1.98 | -2.11 | - |
| 2026 | 13.33 | 27.01 | 2.03 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-23 | 2026-11-04 | -10.88 | 135 |
| 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 |
| 2025-11-13 | 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 |
| 2026-05-07 | 2026-05-08 | -1.67 | 2 |
| 2026-02-12 | 2026-02-17 | -1.60 | 6 |