| Metric | SPY | LSOFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 74.99% | 38.32% |
| CAGR﹪ | 11.91% | 6.74% |
| Sharpe | 0.52 | 0.32 |
| Prob. Sharpe Ratio | 87.6% | 76.28% |
| Smart Sharpe | 0.5 | 0.32 |
| Sortino | 0.74 | 0.46 |
| Smart Sortino | 0.72 | 0.45 |
| Sortino/√2 | 0.53 | 0.32 |
| Smart Sortino/√2 | 0.51 | 0.32 |
| Omega | 1.14 | 1.13 |
| 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.) | 17.19% | 9.78% |
| R^2 | 0.66 | 0.66 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.52 |
| Skew | 0.33 | -0.11 |
| Kurtosis | 8.98 | 3.11 |
| Ulcer Performance Index | 8.86 | 9.92 |
| Risk-Adjusted Return | 11.91% | 7.02% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.88% | 0.52% |
| Avg. Loss | -0.92% | -0.54% |
| Win/Loss Ratio | 0.96 | 0.96 |
| Profit Ratio | 0.86 | 0.75 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.92% | 0.53% |
| Expected Yearly | 9.77% | 5.56% |
| Kelly Criterion | 5.25% | 4.15% |
| 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 | 10 |
| Max Consecutive Losses | 6 | 11 |
| Gain/Pain Ratio | 0.14 | 0.13 |
| Gain/Pain (1M) | 0.79 | 0.76 |
| Payoff Ratio | 0.96 | 0.96 |
| Profit Factor | 1.14 | 1.13 |
| Common Sense Ratio | 1.15 | 1.2 |
| CPC Index | 0.59 | 0.58 |
| Tail Ratio | 1.0 | 1.06 |
| Outlier Win Ratio | 3.4 | 3.75 |
| Outlier Loss Ratio | 3.8 | 3.63 |
| MTD | 1.47% | 2.54% |
| 3M | 1.46% | 7.17% |
| 6M | 6.94% | 11.05% |
| YTD | 13.33% | 13.76% |
| 1Y | 13.43% | 16.68% |
| 3Y (ann.) | 20.78% | 9.4% |
| 5Y (ann.) | 12.86% | 7.51% |
| 10Y (ann.) | 11.91% | 6.74% |
| All-time (ann.) | 11.91% | 6.74% |
| 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% | 13.76% |
| Worst Year | -18.18% | -3.09% |
| Avg. Drawdown | -1.94% | -1.45% |
| Avg. Drawdown Days | 21 | 31 |
| Recovery Factor | 2.58 | 2.68 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.43 | 0.6 |
| Avg. Up Month | 3.93% | 2.33% |
| Avg. Down Month | -4.23% | -2.09% |
| Win Days | 53.48% | 53.04% |
| Win Month | 62.3% | 60.66% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.46 |
| Alpha | - | 0.01 |
| Correlation | - | 81.12% |
| Treynor Ratio | - | 83.01% |
| Year | SPY | LSOFX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.51 | 0.29 | - |
| 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 | 13.33 | 13.76 | 1.03 | + |
| 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 | 2026-10-02 | -2.76 | 33 |