| Metric | SPY | KMLM |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 14.39% | 16.6% |
| CAGR﹪ | 14.51% | 16.74% |
| Sharpe | 0.83 | 0.93 |
| Prob. Sharpe Ratio | 79.61% | 82.02% |
| Smart Sharpe | 0.82 | 0.87 |
| Sortino | 1.22 | 1.31 |
| Smart Sortino | 1.2 | 1.22 |
| Sortino/√2 | 0.86 | 0.92 |
| Smart Sortino/√2 | 0.85 | 0.86 |
| Omega | 1.2 | 1.22 |
| Max Drawdown | -8.88% | -9.61% |
| Max DD Date | 2026-03-30 | 2026-06-26 |
| Max DD Period Start | 2026-01-28 | 2026-05-13 |
| Max DD Period End | 2026-04-13 | 2026-08-31 |
| Longest DD Days | 76 | 111 |
| Volatility (ann.) | 12.86% | 13.66% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 1.63 | 1.74 |
| Skew | -0.02 | -0.43 |
| Kurtosis | 0.78 | 0.8 |
| Ulcer Performance Index | 6.68 | 5.26 |
| Risk-Adjusted Return | 14.51% | 17.08% |
| Risk-Return Ratio | 0.07 | 0.08 |
| Avg. Return | 0.05% | 0.07% |
| Avg. Win | 0.55% | 0.58% |
| Avg. Loss | -0.66% | -0.62% |
| Win/Loss Ratio | 0.84 | 0.94 |
| Profit Ratio | 1.02 | 0.64 |
| Expected Daily | 0.05% | 0.06% |
| Expected Monthly | 1.04% | 1.19% |
| Expected Yearly | 6.95% | 7.98% |
| Kelly Criterion | -5.1% | 10.94% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.35% |
| Expected Shortfall (cVaR) | -1.66% | -2.02% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.22 |
| Gain/Pain (1M) | 1.83 | 1.22 |
| Payoff Ratio | 0.84 | 0.94 |
| Profit Factor | 1.2 | 1.22 |
| Common Sense Ratio | 1.19 | 1.19 |
| CPC Index | 0.53 | 0.65 |
| Tail Ratio | 0.99 | 0.98 |
| Outlier Win Ratio | 2.84 | 3.33 |
| Outlier Loss Ratio | 3.01 | 3.27 |
| MTD | 1.47% | -4.79% |
| 3M | 1.46% | 1.78% |
| 6M | 6.94% | -0.38% |
| YTD | 13.33% | 12.6% |
| 1Y | 14.39% | 16.6% |
| 3Y (ann.) | 14.51% | 16.74% |
| 5Y (ann.) | 14.51% | 16.74% |
| 10Y (ann.) | 14.51% | 16.74% |
| All-time (ann.) | 14.51% | 16.74% |
| Best Day | 2.91% | 2.17% |
| Worst Day | -2.58% | -2.99% |
| Best Month | 10.51% | 6.5% |
| Worst Month | -4.94% | -4.79% |
| Best Year | 13.33% | 12.6% |
| Worst Year | 0.94% | 3.55% |
| Avg. Drawdown | -1.74% | -1.88% |
| Avg. Drawdown Days | 14 | 13 |
| Recovery Factor | 1.61 | 1.69 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.94 | 0.58 |
| Avg. Up Month | 2.61% | 2.86% |
| Avg. Down Month | -0.97% | -1.97% |
| Win Days | 52.0% | 56.97% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.25 |
| Alpha | - | 0.2 |
| Correlation | - | -23.51% |
| Treynor Ratio | - | -66.47% |
| Year | SPY | KMLM | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 3.55 | 3.79 | + |
| 2026 | 13.33 | 12.60 | 0.95 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-13 | 2026-08-31 | -9.61 | 111 |
| 2026-10-08 | 2026-11-04 | -7.00 | 28 |
| 2026-03-18 | 2026-03-27 | -3.12 | 10 |
| 2026-04-30 | 2026-05-11 | -3.01 | 12 |
| 2026-01-29 | 2026-02-06 | -2.74 | 9 |
| 2026-04-08 | 2026-04-20 | -2.35 | 13 |
| 2026-01-15 | 2026-01-27 | -1.72 | 13 |
| 2026-02-10 | 2026-02-25 | -1.67 | 16 |
| 2026-09-16 | 2026-09-30 | -1.58 | 15 |
| 2026-09-02 | 2026-09-08 | -1.54 | 7 |