| Metric | SPY | LSEQ |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 75.6% | 41.8% |
| CAGR﹪ | 22.43% | 13.38% |
| Sharpe | 1.08 | 0.6 |
| Prob. Sharpe Ratio | 96.75% | 84.07% |
| Smart Sharpe | 1.0 | 0.59 |
| Sortino | 1.61 | 0.86 |
| Smart Sortino | 1.48 | 0.84 |
| Sortino/√2 | 1.14 | 0.61 |
| Smart Sortino/√2 | 1.05 | 0.59 |
| Omega | 1.3 | 1.16 |
| Max Drawdown | -18.76% | -10.88% |
| Max DD Date | 2025-04-08 | 2026-08-04 |
| Max DD Period Start | 2025-02-20 | 2026-06-23 |
| Max DD Period End | 2025-06-25 | 2026-09-22 |
| Longest DD Days | 126 | 397 |
| Volatility (ann.) | 15.48% | 15.04% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 1.2 | 1.23 |
| Skew | 0.95 | -0.15 |
| Kurtosis | 21.65 | 1.69 |
| Ulcer Performance Index | 22.88 | 10.36 |
| Risk-Adjusted Return | 22.43% | 13.38% |
| Risk-Return Ratio | 0.09 | 0.06 |
| Avg. Return | 0.09% | 0.05% |
| Avg. Win | 0.67% | 0.72% |
| Avg. Loss | -0.73% | -0.82% |
| Win/Loss Ratio | 0.91 | 0.88 |
| Profit Ratio | 0.75 | 0.78 |
| Expected Daily | 0.08% | 0.05% |
| Expected Monthly | 1.67% | 1.03% |
| Expected Yearly | 15.11% | 9.12% |
| Kelly Criterion | 9.46% | 3.95% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.52% | -1.5% |
| Expected Shortfall (cVaR) | -2.21% | -2.14% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.3 | 0.16 |
| Gain/Pain (1M) | 2.89 | 1.09 |
| Payoff Ratio | 0.91 | 0.88 |
| Profit Factor | 1.3 | 1.16 |
| Common Sense Ratio | 1.24 | 1.3 |
| CPC Index | 0.67 | 0.56 |
| Tail Ratio | 0.96 | 1.12 |
| Outlier Win Ratio | 3.23 | 3.62 |
| Outlier Loss Ratio | 3.91 | 3.57 |
| MTD | 1.08% | -3.75% |
| 3M | 3.82% | -4.62% |
| 6M | 19.85% | 6.52% |
| YTD | 14.3% | 22.19% |
| 1Y | 17.78% | 21.83% |
| 3Y (ann.) | 22.43% | 13.38% |
| 5Y (ann.) | 22.43% | 13.38% |
| 10Y (ann.) | 22.43% | 13.38% |
| All-time (ann.) | 22.43% | 13.38% |
| Best Day | 10.5% | 3.85% |
| Worst Day | -5.85% | -4.16% |
| Best Month | 10.51% | 13.06% |
| Worst Month | -5.57% | -7.32% |
| Best Year | 24.89% | 22.19% |
| Worst Year | 4.5% | -1.2% |
| Avg. Drawdown | -1.6% | -2.34% |
| Avg. Drawdown Days | 12 | 27 |
| Recovery Factor | 3.18 | 3.5 |
| Ulcer Index | 0.03 | 0.04 |
| Serenity Index | 1.78 | 1.12 |
| Avg. Up Month | 3.78% | 3.45% |
| Avg. Down Month | -3.16% | -3.27% |
| Win Days | 56.78% | 55.06% |
| Win Month | 73.53% | 58.82% |
| Win Quarter | 83.33% | 58.33% |
| Win Year | 100.0% | 75.0% |
| Beta | - | 0.25 |
| Alpha | - | 0.08 |
| Correlation | - | 25.39% |
| Treynor Ratio | - | 169.39% |
| Year | SPY | LSEQ | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 4.50 | -1.20 | -0.27 | - |
| 2024 | 24.89 | 12.80 | 0.51 | - |
| 2025 | 17.72 | 4.13 | 0.23 | - |
| 2026 | 14.30 | 22.19 | 1.55 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-23 | 2026-09-22 | -10.88 | 92 |
| 2024-12-09 | 2026-01-09 | -8.35 | 397 |
| 2024-06-20 | 2024-11-07 | -8.27 | 141 |
| 2024-03-26 | 2024-05-23 | -7.63 | 59 |
| 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 |
| 2024-05-30 | 2024-06-11 | -3.18 | 13 |
| 2023-12-06 | 2024-01-11 | -2.62 | 37 |
| 2026-05-01 | 2026-05-05 | -1.92 | 5 |