| Metric | SPY | LSOFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 207.58% | 60.88% |
| CAGR﹪ | 16.68% | 6.75% |
| Sharpe | 0.74 | 0.38 |
| Prob. Sharpe Ratio | 97.6% | 84.79% |
| Smart Sharpe | 0.64 | 0.35 |
| Sortino | 1.04 | 0.54 |
| Smart Sortino | 0.9 | 0.49 |
| Sortino/√2 | 0.74 | 0.38 |
| Smart Sortino/√2 | 0.64 | 0.34 |
| Omega | 1.19 | 1.12 |
| 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.) | 19.56% | 11.18% |
| R^2 | 0.73 | 0.73 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.49 | 0.31 |
| Skew | -0.29 | -0.33 |
| Kurtosis | 13.84 | 7.31 |
| Ulcer Performance Index | 26.03 | 13.81 |
| Risk-Adjusted Return | 16.68% | 7.03% |
| Risk-Return Ratio | 0.06 | 0.04 |
| 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 | 0.77 | 0.71 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.28% | 0.54% |
| Expected Yearly | 15.08% | 6.12% |
| Kelly Criterion | 6.75% | 2.77% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -1.13% |
| Expected Shortfall (cVaR) | -3.2% | -1.75% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 7 | 11 |
| Gain/Pain Ratio | 0.19 | 0.12 |
| Gain/Pain (1M) | 1.17 | 0.76 |
| Payoff Ratio | 0.92 | 0.91 |
| Profit Factor | 1.19 | 1.12 |
| Common Sense Ratio | 1.14 | 1.13 |
| CPC Index | 0.6 | 0.55 |
| Tail Ratio | 0.96 | 1.01 |
| Outlier Win Ratio | 3.69 | 3.79 |
| Outlier Loss Ratio | 4.1 | 3.67 |
| 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.) | 16.68% | 6.75% |
| All-time (ann.) | 16.68% | 6.75% |
| 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% | 12.44% |
| Worst Year | -18.18% | -3.09% |
| Avg. Drawdown | -1.78% | -1.56% |
| Avg. Drawdown Days | 16 | 28 |
| Recovery Factor | 3.75 | 2.36 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 1.03 | 0.78 |
| Avg. Up Month | 4.32% | 2.48% |
| Avg. Down Month | -4.16% | -2.19% |
| Win Days | 55.26% | 53.7% |
| Win Month | 67.05% | 57.95% |
| Win Quarter | 76.67% | 73.33% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.49 |
| Alpha | - | -0.01 |
| Correlation | - | 85.47% |
| Treynor Ratio | - | 124.55% |
| 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 | 14.30 | 5.51 | 0.39 | - |
| 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 |