| Metric | SPY | LSOFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 86.58% | 34.46% |
| CAGR﹪ | 13.36% | 6.14% |
| Sharpe | 0.59 | 0.27 |
| Prob. Sharpe Ratio | 90.85% | 72.6% |
| Smart Sharpe | 0.58 | 0.26 |
| Sortino | 0.86 | 0.38 |
| Smart Sortino | 0.83 | 0.37 |
| Sortino/√2 | 0.61 | 0.27 |
| Smart Sortino/√2 | 0.59 | 0.26 |
| Omega | 1.16 | 1.12 |
| Max Drawdown | -24.5% | -13.0% |
| Max DD Date | 2022-10-12 | 2022-09-26 |
| Max DD Period Start | 2022-01-04 | 2022-01-13 |
| Max DD Period End | 2023-12-12 | 2023-07-19 |
| Longest DD Days | 708 | 553 |
| Volatility (ann.) | 17.2% | 9.77% |
| R^2 | 0.67 | 0.67 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 0.47 |
| Skew | 0.32 | -0.14 |
| Kurtosis | 8.95 | 3.06 |
| Ulcer Performance Index | 10.24 | 8.92 |
| Risk-Adjusted Return | 13.36% | 6.39% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.88% | 0.52% |
| Avg. Loss | -0.92% | -0.54% |
| Win/Loss Ratio | 0.95 | 0.95 |
| Profit Ratio | 0.83 | 0.76 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.49% |
| Expected Yearly | 10.95% | 5.06% |
| Kelly Criterion | 5.9% | 3.24% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.99% |
| Expected Shortfall (cVaR) | -2.58% | -1.47% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 11 |
| Gain/Pain Ratio | 0.16 | 0.12 |
| Gain/Pain (1M) | 0.87 | 0.7 |
| Payoff Ratio | 0.95 | 0.95 |
| Profit Factor | 1.16 | 1.12 |
| Common Sense Ratio | 1.17 | 1.17 |
| CPC Index | 0.6 | 0.56 |
| Tail Ratio | 1.01 | 1.05 |
| Outlier Win Ratio | 3.41 | 3.64 |
| Outlier Loss Ratio | 3.77 | 3.61 |
| MTD | 1.08% | -0.8% |
| 3M | 3.82% | 4.03% |
| 6M | 19.85% | 7.79% |
| YTD | 14.3% | 5.51% |
| 1Y | 17.78% | 5.47% |
| 3Y (ann.) | 24.86% | 8.28% |
| 5Y (ann.) | 13.06% | 5.29% |
| 10Y (ann.) | 13.36% | 6.14% |
| All-time (ann.) | 13.36% | 6.14% |
| Best Day | 10.5% | 3.63% |
| Worst Day | -5.85% | -3.69% |
| Best Month | 10.51% | 6.11% |
| Worst Month | -9.24% | -4.95% |
| Best Year | 26.18% | 11.0% |
| Worst Year | -18.18% | -3.09% |
| Avg. Drawdown | -1.89% | -1.41% |
| Avg. Drawdown Days | 20 | 30 |
| Recovery Factor | 2.85 | 2.46 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.47 | 0.55 |
| Avg. Up Month | 4.1% | 2.36% |
| Avg. Down Month | -4.12% | -2.03% |
| Win Days | 54.04% | 52.83% |
| Win Month | 63.93% | 59.02% |
| Win Quarter | 66.67% | 71.43% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.46 |
| Alpha | - | -0.0 |
| Correlation | - | 81.79% |
| Treynor Ratio | - | 74.16% |
| Year | SPY | LSOFX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 5.33 | 0.71 | - |
| 2022 | -18.18 | -3.09 | 0.17 | + |
| 2023 | 26.18 | 11.00 | 0.42 | - |
| 2024 | 24.89 | 8.29 | 0.33 | - |
| 2025 | 17.72 | 3.86 | 0.22 | - |
| 2026 | 14.30 | 5.51 | 0.39 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-13 | 2023-07-19 | -13.00 | 553 |
| 2024-11-12 | 2026-01-05 | -10.43 | 420 |
| 2026-01-23 | 2026-04-16 | -5.36 | 84 |
| 2021-11-17 | 2021-12-31 | -4.39 | 45 |
| 2023-09-05 | 2023-11-21 | -4.36 | 78 |
| 2024-04-01 | 2024-07-12 | -3.36 | 103 |
| 2026-05-07 | 2026-07-09 | -3.01 | 64 |
| 2024-07-17 | 2024-08-16 | -2.94 | 31 |
| 2024-10-15 | 2024-11-07 | -2.77 | 24 |
| 2026-08-31 | 2026-09-22 | -2.76 | 23 |