| Metric | SPY | LSOFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 18.6% | 7.0% |
| CAGR﹪ | 40.67% | 14.48% |
| Sharpe | 2.32 | 1.21 |
| Prob. Sharpe Ratio | 95.04% | 80.6% |
| Smart Sharpe | 2.3 | 1.12 |
| Sortino | 3.78 | 1.88 |
| Smart Sortino | 3.75 | 1.74 |
| Sortino/√2 | 2.67 | 1.33 |
| Smart Sortino/√2 | 2.65 | 1.23 |
| Omega | 1.54 | 1.3 |
| Max Drawdown | -4.49% | -3.01% |
| Max DD Date | 2026-06-10 | 2026-06-23 |
| Max DD Period Start | 2026-06-03 | 2026-05-07 |
| Max DD Period End | 2026-07-31 | 2026-07-09 |
| Longest DD Days | 59 | 64 |
| Volatility (ann.) | 13.55% | 8.46% |
| R^2 | 0.23 | 0.23 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | 9.05 | 4.82 |
| Skew | 0.1 | 0.24 |
| Kurtosis | 1.12 | 0.58 |
| Ulcer Performance Index | 11.86 | 6.07 |
| Risk-Adjusted Return | 40.67% | 14.93% |
| Risk-Return Ratio | 0.16 | 0.1 |
| Avg. Return | 0.12% | 0.06% |
| Avg. Win | 0.84% | 0.46% |
| Avg. Loss | -0.67% | -0.45% |
| Win/Loss Ratio | 1.27 | 1.02 |
| Profit Ratio | 1.12 | 0.95 |
| Expected Daily | 0.14% | 0.05% |
| Expected Monthly | 2.47% | 0.97% |
| Expected Yearly | 18.6% | 7.0% |
| Kelly Criterion | 17.66% | 5.21% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.82% |
| Expected Shortfall (cVaR) | -1.77% | -1.06% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.54 | 0.3 |
| Gain/Pain (1M) | 10.92 | 4.27 |
| Payoff Ratio | 1.27 | 1.02 |
| Profit Factor | 1.54 | 1.3 |
| Common Sense Ratio | 2.01 | 1.36 |
| CPC Index | 1.05 | 0.69 |
| Tail Ratio | 1.3 | 1.05 |
| Outlier Win Ratio | 3.21 | 3.58 |
| Outlier Loss Ratio | 3.16 | 2.95 |
| MTD | 1.08% | -0.8% |
| 3M | 3.82% | 4.03% |
| 6M | 18.6% | 7.0% |
| YTD | 18.6% | 7.0% |
| 1Y | 18.6% | 7.0% |
| 3Y (ann.) | 40.67% | 14.48% |
| 5Y (ann.) | 40.67% | 14.48% |
| 10Y (ann.) | 40.67% | 14.48% |
| All-time (ann.) | 40.67% | 14.48% |
| Best Day | 2.91% | 1.72% |
| Worst Day | -2.58% | -1.22% |
| Best Month | 10.51% | 3.46% |
| Worst Month | -1.03% | -0.86% |
| Best Year | 18.6% | 7.0% |
| Worst Year | 18.6% | 7.0% |
| Avg. Drawdown | -1.13% | -1.02% |
| Avg. Drawdown Days | 9 | 11 |
| Recovery Factor | 3.9 | 2.31 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 2.75 | 1.29 |
| Avg. Up Month | 4.41% | 2.43% |
| Avg. Down Month | - | - |
| Win Days | 53.97% | 52.07% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.3 |
| Alpha | - | 0.03 |
| Correlation | - | 47.99% |
| Treynor Ratio | - | 23.34% |
| Year | SPY | LSOFX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 7.00 | 0.38 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 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 |
| 2026-04-20 | 2026-05-05 | -0.97 | 16 |
| 2026-03-26 | 2026-03-30 | -0.90 | 5 |
| 2026-07-14 | 2026-07-15 | -0.82 | 2 |
| 2026-04-09 | 2026-04-10 | -0.27 | 2 |
| 2026-08-07 | 2026-08-07 | -0.26 | 1 |
| 2026-03-24 | 2026-03-24 | -0.23 | 1 |