| Metric | SPY | KMLM |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 17.87% | 18.01% |
| CAGR﹪ | 18.02% | 18.16% |
| Sharpe | 1.04 | 1.06 |
| Prob. Sharpe Ratio | 84.73% | 85.31% |
| Smart Sharpe | 1.01 | 1.04 |
| Sortino | 1.51 | 1.54 |
| Smart Sortino | 1.47 | 1.5 |
| Sortino/√2 | 1.07 | 1.09 |
| Smart Sortino/√2 | 1.04 | 1.06 |
| Omega | 1.25 | 1.25 |
| 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.) | 12.99% | 12.71% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 2.03 | 1.89 |
| Skew | -0.15 | -0.25 |
| Kurtosis | 1.05 | 0.62 |
| Ulcer Performance Index | 8.3 | 5.62 |
| Risk-Adjusted Return | 18.02% | 18.54% |
| Risk-Return Ratio | 0.08 | 0.09 |
| Avg. Return | 0.07% | 0.07% |
| Avg. Win | 0.59% | 0.56% |
| Avg. Loss | -0.62% | -0.59% |
| Win/Loss Ratio | 0.95 | 0.96 |
| Profit Ratio | 0.94 | 0.72 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.27% | 1.28% |
| Expected Yearly | 8.57% | 8.63% |
| Kelly Criterion | 4.88% | 9.42% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.25% |
| Expected Shortfall (cVaR) | -1.72% | -1.74% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.25 | 0.25 |
| Gain/Pain (1M) | 2.6 | 1.87 |
| Payoff Ratio | 0.95 | 0.96 |
| Profit Factor | 1.25 | 1.25 |
| Common Sense Ratio | 1.24 | 1.25 |
| CPC Index | 0.64 | 0.67 |
| Tail Ratio | 0.99 | 0.99 |
| Outlier Win Ratio | 2.88 | 3.45 |
| Outlier Loss Ratio | 3.19 | 3.47 |
| MTD | 1.08% | 2.41% |
| 3M | 3.82% | 10.06% |
| 6M | 19.85% | 9.47% |
| YTD | 14.3% | 18.0% |
| 1Y | 17.87% | 18.01% |
| 3Y (ann.) | 18.02% | 18.16% |
| 5Y (ann.) | 18.02% | 18.16% |
| 10Y (ann.) | 18.02% | 18.16% |
| All-time (ann.) | 18.02% | 18.16% |
| Best Day | 2.91% | 2.17% |
| Worst Day | -2.7% | -2.35% |
| Best Month | 10.51% | 6.5% |
| Worst Month | -4.94% | -4.62% |
| Best Year | 14.3% | 18.0% |
| Worst Year | 3.13% | 0.01% |
| Avg. Drawdown | -1.71% | -1.96% |
| Avg. Drawdown Days | 13 | 16 |
| Recovery Factor | 1.94 | 1.81 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.16 | 0.56 |
| Avg. Up Month | 2.64% | 3.02% |
| Avg. Down Month | -1.03% | -2.65% |
| Win Days | 53.6% | 55.74% |
| Win Month | 76.92% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.21 |
| Alpha | - | 0.21 |
| Correlation | - | -21.0% |
| Treynor Ratio | - | -87.68% |
| Year | SPY | KMLM | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 0.01 | 0.00 | - |
| 2026 | 14.30 | 18.00 | 1.26 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-13 | 2026-08-31 | -9.61 | 111 |
| 2025-09-24 | 2025-12-19 | -3.42 | 87 |
| 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 | 2026-09-22 | -1.58 | 7 |
| 2026-09-02 | 2026-09-08 | -1.54 | 7 |