| Metric | SPY | LSOFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 14.39% | 16.36% |
| CAGR﹪ | 14.51% | 16.5% |
| Sharpe | 0.83 | 1.4 |
| Prob. Sharpe Ratio | 79.61% | 92.11% |
| Smart Sharpe | 0.82 | 1.33 |
| Sortino | 1.22 | 2.2 |
| Smart Sortino | 1.2 | 2.09 |
| Sortino/√2 | 0.86 | 1.55 |
| Smart Sortino/√2 | 0.85 | 1.48 |
| Omega | 1.2 | 1.35 |
| 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 | 2026-04-16 |
| Longest DD Days | 76 | 84 |
| Volatility (ann.) | 12.86% | 8.55% |
| R^2 | 0.3 | 0.3 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 1.63 | 3.08 |
| Skew | -0.02 | 0.32 |
| Kurtosis | 0.78 | 0.84 |
| Ulcer Performance Index | 6.68 | 9.35 |
| Risk-Adjusted Return | 14.51% | 17.01% |
| Risk-Return Ratio | 0.07 | 0.12 |
| Avg. Return | 0.05% | 0.06% |
| Avg. Win | 0.73% | 0.47% |
| Avg. Loss | -0.67% | -0.46% |
| Win/Loss Ratio | 1.08 | 1.03 |
| Profit Ratio | 1.02 | 0.8 |
| Expected Daily | 0.05% | 0.06% |
| Expected Monthly | 1.04% | 1.17% |
| Expected Yearly | 6.95% | 7.87% |
| Kelly Criterion | 7.42% | 10.76% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.82% |
| Expected Shortfall (cVaR) | -1.66% | -1.04% |
| Max Consecutive Wins | 7 | 10 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.35 |
| Gain/Pain (1M) | 1.83 | 5.41 |
| Payoff Ratio | 1.08 | 1.03 |
| Profit Factor | 1.2 | 1.35 |
| Common Sense Ratio | 1.19 | 1.43 |
| CPC Index | 0.67 | 0.76 |
| Tail Ratio | 0.99 | 1.07 |
| Outlier Win Ratio | 2.84 | 3.73 |
| Outlier Loss Ratio | 3.01 | 2.8 |
| MTD | 1.47% | 2.54% |
| 3M | 1.46% | 7.17% |
| 6M | 6.94% | 11.05% |
| YTD | 13.33% | 13.76% |
| 1Y | 14.39% | 16.36% |
| 3Y (ann.) | 14.51% | 16.5% |
| 5Y (ann.) | 14.51% | 16.5% |
| 10Y (ann.) | 14.51% | 16.5% |
| All-time (ann.) | 14.51% | 16.5% |
| Best Day | 2.91% | 2.15% |
| Worst Day | -2.58% | -1.22% |
| Best Month | 10.51% | 4.24% |
| Worst Month | -4.94% | -1.27% |
| Best Year | 13.33% | 13.76% |
| Worst Year | 0.94% | 2.29% |
| Avg. Drawdown | -1.74% | -1.29% |
| Avg. Drawdown Days | 14 | 16 |
| Recovery Factor | 1.61 | 2.89 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 1.11 |
| Avg. Up Month | 2.44% | 1.95% |
| Avg. Down Month | -2.9% | -1.04% |
| Win Days | 52.0% | 54.77% |
| Win Month | 61.54% | 76.92% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.36 |
| Alpha | - | 0.1 |
| Correlation | - | 54.58% |
| Treynor Ratio | - | 45.12% |
| Year | SPY | LSOFX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 2.29 | 2.44 | + |
| 2026 | 13.33 | 13.76 | 1.03 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-23 | 2026-04-16 | -5.36 | 84 |
| 2026-05-07 | 2026-07-09 | -3.01 | 64 |
| 2026-08-31 | 2026-10-02 | -2.76 | 33 |
| 2026-07-17 | 2026-07-27 | -2.36 | 11 |
| 2026-08-11 | 2026-08-27 | -2.18 | 17 |
| 2025-11-13 | 2025-11-24 | -1.88 | 12 |
| 2026-10-21 | 2026-11-03 | -1.32 | 14 |
| 2026-01-16 | 2026-01-20 | -1.08 | 5 |
| 2026-04-20 | 2026-05-05 | -0.97 | 16 |
| 2025-12-12 | 2026-01-02 | -0.83 | 22 |