| Metric | SPY | LSOFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 6.48% | 10.69% |
| CAGR﹪ | 13.27% | 22.32% |
| Sharpe | 0.78 | 1.96 |
| Prob. Sharpe Ratio | 70.87% | 92.11% |
| Smart Sharpe | 0.75 | 1.87 |
| Sortino | 1.14 | 3.14 |
| Smart Sortino | 1.09 | 3.01 |
| Sortino/√2 | 0.8 | 2.22 |
| Smart Sortino/√2 | 0.77 | 2.13 |
| Omega | 1.19 | 1.47 |
| 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.) | 12.4% | 8.64% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 2.95 | 7.42 |
| Skew | -0.15 | 0.31 |
| Kurtosis | 0.59 | 1.26 |
| Ulcer Performance Index | 3.89 | 9.02 |
| Risk-Adjusted Return | 13.27% | 23.25% |
| Risk-Return Ratio | 0.07 | 0.15 |
| Avg. Return | 0.04% | 0.09% |
| Avg. Win | 0.72% | 0.48% |
| Avg. Loss | -0.66% | -0.51% |
| Win/Loss Ratio | 1.1 | 0.94 |
| Profit Ratio | 1.15 | 0.66 |
| Expected Daily | 0.05% | 0.08% |
| Expected Monthly | 0.9% | 1.46% |
| Expected Yearly | 6.48% | 10.69% |
| Kelly Criterion | 5.15% | 12.97% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.81% |
| Expected Shortfall (cVaR) | -1.63% | -1.02% |
| Max Consecutive Wins | 4 | 10 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.19 | 0.47 |
| Gain/Pain (1M) | 3.26 | 14.01 |
| Payoff Ratio | 1.1 | 0.94 |
| Profit Factor | 1.19 | 1.47 |
| Common Sense Ratio | 1.47 | 1.54 |
| CPC Index | 0.66 | 0.8 |
| Tail Ratio | 1.23 | 1.05 |
| Outlier Win Ratio | 2.66 | 3.67 |
| Outlier Loss Ratio | 3.07 | 2.72 |
| MTD | 1.47% | 2.54% |
| 3M | 1.46% | 7.17% |
| 6M | 6.48% | 10.69% |
| YTD | 6.48% | 10.69% |
| 1Y | 6.48% | 10.69% |
| 3Y (ann.) | 13.27% | 22.32% |
| 5Y (ann.) | 13.27% | 22.32% |
| 10Y (ann.) | 13.27% | 22.32% |
| All-time (ann.) | 13.27% | 22.32% |
| Best Day | 1.8% | 2.15% |
| Worst Day | -2.58% | -1.22% |
| Best Month | 4.52% | 4.24% |
| Worst Month | -1.03% | -0.76% |
| Best Year | 6.48% | 10.69% |
| Worst Year | 6.48% | 10.69% |
| Avg. Drawdown | -1.57% | -1.3% |
| Avg. Drawdown Days | 17 | 14 |
| Recovery Factor | 1.48 | 3.44 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.91 | 1.91 |
| Avg. Up Month | 1.39% | 2.12% |
| Avg. Down Month | - | - |
| Win Days | 50.39% | 57.85% |
| Win Month | 57.14% | 85.71% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.23 |
| Alpha | - | 0.17 |
| Correlation | - | 33.09% |
| Treynor Ratio | - | 46.33% |
| Year | SPY | LSOFX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 10.69 | 1.65 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 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 |
| 2026-10-21 | 2026-11-03 | -1.32 | 14 |
| 2026-07-14 | 2026-07-15 | -0.82 | 2 |
| 2026-08-07 | 2026-08-07 | -0.26 | 1 |
| 2026-07-29 | 2026-07-29 | -0.13 | 1 |
| 2026-08-05 | 2026-08-05 | -0.07 | 1 |
| 2026-10-06 | 2026-10-06 | -0.07 | 1 |