Win rate is simply the percentage of months your portfolio ended higher than it started. It captures consistency — how often the strategy delivers — rather than magnitude.
Lemma Analysis computes it on flow-adjusted monthly returns, so depositing cash does not count as a “winning month” by itself.
A 36-month history with 23 positive months is a win rate of 63.9%. For context, SPY has historically printed positive in roughly 60–65% of months.
The trap: eleven months of +0.1% and one month of −20% gives a 92% win rate and a deeply negative year — frequency is not profitability.
Reference bands for a long equity portfolio:
| Win rate | Reading |
|---|---|
| < 50% | red months outnumber green — concerning for a long-only equity portfolio |
| 50–60% | normal for a volatile or concentrated portfolio |
| 60–70% | at or above market consistency |
| > 70% | rare — verify the losing months are not catastrophically deep |
Cross-check against maximum drawdown: a high win rate with a deep drawdown means rare but brutal losses.
Win rate is mostly a behavioral metric: strategies that lose often — even profitably — are hard to stick with. It helps judge whether you can psychologically hold the strategy through its normal rhythm.
Completely blind to magnitude — it weighs a −20% month the same as a −0.1% month. Short histories quantize it coarsely (12 months → steps of 8.3 pp). Never read it without a size-aware companion such as CAGR or maximum drawdown.