| Metric | SPY | LSOFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 204.97% | 73.45% |
| CAGR﹪ | 16.25% | 7.72% |
| Sharpe | 0.72 | 0.47 |
| Prob. Sharpe Ratio | 97.45% | 89.6% |
| Smart Sharpe | 0.63 | 0.42 |
| Sortino | 1.02 | 0.65 |
| Smart Sortino | 0.88 | 0.59 |
| Sortino/√2 | 0.72 | 0.46 |
| Smart Sortino/√2 | 0.62 | 0.42 |
| Omega | 1.18 | 1.14 |
| Max Drawdown | -33.72% | -22.05% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-02-21 |
| Max DD Period End | 2020-08-07 | 2020-11-13 |
| Longest DD Days | 708 | 553 |
| Volatility (ann.) | 19.45% | 11.15% |
| R^2 | 0.72 | 0.72 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.48 | 0.35 |
| Skew | -0.29 | -0.33 |
| Kurtosis | 13.94 | 7.32 |
| Ulcer Performance Index | 25.91 | 16.8 |
| Risk-Adjusted Return | 16.25% | 8.04% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.91% | 0.55% |
| Avg. Loss | -0.99% | -0.61% |
| Win/Loss Ratio | 0.92 | 0.91 |
| Profit Ratio | 0.78 | 0.7 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.25% | 0.61% |
| Expected Yearly | 14.96% | 7.13% |
| Kelly Criterion | 6.46% | 3.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.12% |
| Expected Shortfall (cVaR) | -3.2% | -1.75% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 7 | 11 |
| Gain/Pain Ratio | 0.18 | 0.14 |
| Gain/Pain (1M) | 1.15 | 0.88 |
| Payoff Ratio | 0.92 | 0.91 |
| Profit Factor | 1.18 | 1.14 |
| Common Sense Ratio | 1.13 | 1.17 |
| CPC Index | 0.6 | 0.56 |
| Tail Ratio | 0.96 | 1.03 |
| Outlier Win Ratio | 3.69 | 3.87 |
| Outlier Loss Ratio | 4.12 | 3.66 |
| 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.) | 16.25% | 7.72% |
| All-time (ann.) | 16.25% | 7.72% |
| Best Day | 10.5% | 5.12% |
| Worst Day | -10.94% | -5.47% |
| Best Month | 12.7% | 6.63% |
| Worst Month | -12.49% | -7.74% |
| Best Year | 28.73% | 13.76% |
| Worst Year | -18.18% | -3.09% |
| Avg. Drawdown | -1.79% | -1.54% |
| Avg. Drawdown Days | 16 | 27 |
| Recovery Factor | 3.72 | 2.71 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 1.03 | 0.89 |
| Avg. Up Month | 4.26% | 2.48% |
| Avg. Down Month | -4.16% | -2.19% |
| Win Days | 55.15% | 54.06% |
| Win Month | 65.56% | 60.0% |
| Win Quarter | 77.42% | 74.19% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.49 |
| Alpha | - | -0.0 |
| Correlation | - | 84.95% |
| Treynor Ratio | - | 150.81% |
| Year | SPY | LSOFX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 7.42 | 0.45 | - |
| 2020 | 18.33 | 4.35 | 0.24 | - |
| 2021 | 28.73 | 12.44 | 0.43 | - |
| 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 |
|---|---|---|---|
| 2020-02-21 | 2020-11-13 | -22.05 | 267 |
| 2022-01-13 | 2023-07-19 | -13.00 | 553 |
| 2024-11-12 | 2026-01-05 | -10.43 | 420 |
| 2021-05-10 | 2021-10-21 | -6.32 | 165 |
| 2026-01-23 | 2026-04-16 | -5.36 | 84 |
| 2021-01-13 | 2021-02-19 | -4.77 | 38 |
| 2021-11-17 | 2021-12-31 | -4.39 | 45 |
| 2023-09-05 | 2023-11-21 | -4.36 | 78 |
| 2019-07-15 | 2019-11-19 | -3.66 | 128 |
| 2024-04-01 | 2024-07-12 | -3.36 | 103 |