Lehman Brothers Collapse (Sep-Oct 2008) | Strategy: -0.6% vs SPY: -24.4% | Alpha: 23.8%

2 Sep, 2008 - 31 Oct, 2008

Key Performance Metrics

Metric	SPY	Strategy
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	-24.38%	-0.56%
CAGR﹪	-79.82%	-3.15%
Sharpe	-1.87	-0.71
Prob. Sharpe Ratio	23.35%	38.39%
Smart Sharpe	-1.57	-0.6
Sortino	-2.71	-0.94
Smart Sortino	-2.28	-0.79
Sortino/√2	-1.91	-0.66
Smart Sortino/√2	-1.61	-0.56
Omega	0.89	0.89
Max Drawdown	-	-1.3%
Max DD Date	-	2008-10-31
Max DD Period Start	-	2008-10-08
Max DD Period End	-	2008-10-31
Longest DD Days	-	-
Volatility (ann.)	72.12%	4.38%
R^2	0.02	0.02
Information Ratio	0.11	0.11
Calmar	-2.32	-2.43
Skew	1.01	-0.28
Kurtosis	2.56	0.58
Expected Daily	-0.63%	-0.01%
Expected Monthly	-13.04%	-0.28%
Expected Yearly	-24.38%	-0.56%
Kelly Criterion	23.39%	-35.04%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-8.01%	-0.47%
Expected Shortfall (cVaR)	-8.01%	-0.47%
Max Consecutive Wins	3	5
Max Consecutive Losses	7	3
Gain/Pain Ratio	-0.28	-0.11
Gain/Pain (1M)	-1.0	-1.0
Payoff Ratio	2.47	0.55
Profit Factor	0.72	0.89
Common Sense Ratio	0.61	0.7
CPC Index	0.81	0.25
Tail Ratio	0.85	0.78
Outlier Win Ratio	2.28	36.19
Outlier Loss Ratio	1.37	20.46
MTD	-16.52%	-0.25%
3M	-24.38%	-0.56%
6M	-24.38%	-0.56%
YTD	-24.38%	-0.56%
1Y	-24.38%	-0.56%
3Y (ann.)	-79.82%	-3.15%
5Y (ann.)	-79.82%	-3.15%
10Y (ann.)	-79.82%	-3.15%
All-time (ann.)	-79.82%	-3.15%
Best Day	14.52%	0.62%
Worst Day	-9.84%	-0.74%
Best Month	-9.42%	-0.25%
Worst Month	-16.52%	-0.31%
Best Year	-24.38%	-0.56%
Worst Year	-24.38%	-0.56%
Avg. Drawdown	-	-0.75%
Avg. Drawdown Days	-	-
Recovery Factor	0.68	0.42
Ulcer Index	0.19	0.01
Serenity Index	-0.32	-0.01
Avg. Up Month	-	-
Avg. Down Month	-12.97%	-0.28%
Win Days	45.45%	52.27%
Win Month	0.0%	0.0%
Win Quarter	0.0%	0.0%
Win Year	0.0%	0.0%
Beta	-	-0.01
Alpha	-	-0.04
Correlation	-	-14.83%
Treynor Ratio	-	61.95%