| Metric | SPY | LSEQ |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 74.1% | 47.39% |
| CAGR﹪ | 21.03% | 14.29% |
| Sharpe | 1.02 | 0.66 |
| Prob. Sharpe Ratio | 96.24% | 86.84% |
| Smart Sharpe | 0.95 | 0.65 |
| Sortino | 1.51 | 0.94 |
| Smart Sortino | 1.4 | 0.92 |
| Sortino/√2 | 1.07 | 0.67 |
| Smart Sortino/√2 | 0.99 | 0.65 |
| Omega | 1.28 | 1.18 |
| 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 | 2026-11-04 |
| Longest DD Days | 126 | 397 |
| Volatility (ann.) | 15.32% | 15.05% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 1.12 | 1.31 |
| Skew | 0.94 | -0.13 |
| Kurtosis | 21.62 | 1.7 |
| Ulcer Performance Index | 22.81 | 11.59 |
| Risk-Adjusted Return | 21.03% | 14.29% |
| Risk-Return Ratio | 0.08 | 0.06 |
| Avg. Return | 0.08% | 0.06% |
| Avg. Win | 0.67% | 0.73% |
| Avg. Loss | -0.73% | -0.8% |
| Win/Loss Ratio | 0.91 | 0.92 |
| Profit Ratio | 0.76 | 0.79 |
| Expected Daily | 0.08% | 0.05% |
| Expected Monthly | 1.55% | 1.08% |
| Expected Yearly | 14.87% | 10.18% |
| Kelly Criterion | 8.75% | 5.78% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.51% | -1.5% |
| Expected Shortfall (cVaR) | -2.18% | -2.15% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.28 | 0.18 |
| Gain/Pain (1M) | 2.7 | 1.22 |
| Payoff Ratio | 0.91 | 0.92 |
| Profit Factor | 1.28 | 1.18 |
| Common Sense Ratio | 1.23 | 1.33 |
| CPC Index | 0.66 | 0.59 |
| Tail Ratio | 0.96 | 1.13 |
| Outlier Win Ratio | 3.23 | 3.61 |
| Outlier Loss Ratio | 3.84 | 3.57 |
| MTD | 1.47% | 0.86% |
| 3M | 1.46% | 6.26% |
| 6M | 6.94% | 3.41% |
| YTD | 13.33% | 27.01% |
| 1Y | 13.43% | 24.3% |
| 3Y (ann.) | 21.03% | 14.29% |
| 5Y (ann.) | 21.03% | 14.29% |
| 10Y (ann.) | 21.03% | 14.29% |
| All-time (ann.) | 21.03% | 14.29% |
| 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% | 27.01% |
| Worst Year | 4.5% | -1.2% |
| Avg. Drawdown | -1.62% | -2.34% |
| Avg. Drawdown Days | 12 | 28 |
| Recovery Factor | 3.14 | 3.87 |
| Ulcer Index | 0.03 | 0.04 |
| Serenity Index | 1.77 | 1.22 |
| Avg. Up Month | 3.64% | 3.29% |
| Avg. Down Month | -2.59% | -3.3% |
| Win Days | 56.42% | 54.92% |
| Win Month | 69.44% | 61.11% |
| Win Quarter | 84.62% | 61.54% |
| Win Year | 100.0% | 75.0% |
| Beta | - | 0.25 |
| Alpha | - | 0.09 |
| Correlation | - | 25.45% |
| Treynor Ratio | - | 189.55% |
| 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 | 13.33 | 27.01 | 2.03 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-23 | 2026-11-04 | -10.88 | 135 |
| 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 |