| Metric | SPY | LSOFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 17.87% | 5.86% |
| CAGR﹪ | 18.02% | 5.91% |
| Sharpe | 1.04 | 0.25 |
| Prob. Sharpe Ratio | 84.73% | 59.94% |
| Smart Sharpe | 1.01 | 0.24 |
| Sortino | 1.51 | 0.37 |
| Smart Sortino | 1.47 | 0.35 |
| Sortino/√2 | 1.07 | 0.26 |
| Smart Sortino/√2 | 1.04 | 0.24 |
| Omega | 1.25 | 1.12 |
| Max Drawdown | -8.88% | -5.36% |
| Max DD Date | 2026-03-30 | 2026-03-20 |
| Max DD Period Start | 2026-01-28 | 2026-01-23 |
| Max DD Period End | 2026-04-13 | 2026-05-05 |
| Longest DD Days | 76 | 103 |
| Volatility (ann.) | 12.99% | 8.41% |
| R^2 | 0.35 | 0.35 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 2.03 | 1.1 |
| Skew | -0.15 | 0.15 |
| Kurtosis | 1.05 | 0.32 |
| Ulcer Performance Index | 8.3 | 3.13 |
| Risk-Adjusted Return | 18.02% | 6.09% |
| Risk-Return Ratio | 0.08 | 0.05 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.72% | 0.45% |
| Avg. Loss | -0.69% | -0.46% |
| Win/Loss Ratio | 1.05 | 0.96 |
| Profit Ratio | 0.94 | 0.9 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.27% | 0.44% |
| Expected Yearly | 8.57% | 2.89% |
| Kelly Criterion | 9.56% | -0.03% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.85% |
| Expected Shortfall (cVaR) | -1.72% | -1.07% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.12 |
| Gain/Pain (1M) | 2.6 | 1.04 |
| Payoff Ratio | 1.05 | 0.96 |
| Profit Factor | 1.25 | 1.12 |
| Common Sense Ratio | 1.24 | 1.12 |
| CPC Index | 0.71 | 0.55 |
| Tail Ratio | 0.99 | 1.0 |
| Outlier Win Ratio | 2.88 | 3.27 |
| Outlier Loss Ratio | 3.19 | 2.88 |
| MTD | 1.08% | -0.8% |
| 3M | 3.82% | 4.03% |
| 6M | 19.85% | 7.79% |
| YTD | 14.3% | 5.51% |
| 1Y | 17.87% | 5.86% |
| 3Y (ann.) | 18.02% | 5.91% |
| 5Y (ann.) | 18.02% | 5.91% |
| 10Y (ann.) | 18.02% | 5.91% |
| All-time (ann.) | 18.02% | 5.91% |
| Best Day | 2.91% | 1.72% |
| Worst Day | -2.7% | -1.34% |
| Best Month | 10.51% | 3.46% |
| Worst Month | -4.94% | -2.13% |
| Best Year | 14.3% | 5.51% |
| Worst Year | 3.13% | 0.33% |
| Avg. Drawdown | -1.71% | -1.45% |
| Avg. Drawdown Days | 13 | 20 |
| Recovery Factor | 1.94 | 1.13 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | 0.39 |
| Avg. Up Month | 2.49% | 1.9% |
| Avg. Down Month | -2.9% | -1.04% |
| Win Days | 53.6% | 51.04% |
| Win Month | 76.92% | 53.85% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.38 |
| Alpha | - | -0.01 |
| Correlation | - | 59.22% |
| Treynor Ratio | - | 15.29% |
| Year | SPY | LSOFX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 0.33 | 0.11 | - |
| 2026 | 14.30 | 5.51 | 0.39 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-23 | 2026-05-05 | -5.36 | 103 |
| 2025-10-06 | 2025-12-09 | -3.13 | 65 |
| 2026-05-07 | 2026-07-09 | -3.01 | 64 |
| 2026-08-31 | 2026-09-22 | -2.76 | 23 |
| 2026-07-17 | 2026-07-27 | -2.36 | 11 |
| 2026-08-11 | 2026-08-27 | -2.18 | 17 |
| 2026-01-16 | 2026-01-20 | -1.08 | 5 |
| 2025-12-12 | 2026-01-02 | -0.83 | 22 |
| 2026-07-14 | 2026-07-15 | -0.82 | 2 |
| 2025-09-24 | 2025-09-30 | -0.74 | 7 |