| Metric | SPY | KMLM |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 86.58% | 37.18% |
| CAGR﹪ | 13.36% | 6.56% |
| Sharpe | 0.59 | 0.25 |
| Prob. Sharpe Ratio | 90.85% | 70.92% |
| Smart Sharpe | 0.58 | 0.25 |
| Sortino | 0.86 | 0.34 |
| Smart Sortino | 0.83 | 0.33 |
| Sortino/√2 | 0.61 | 0.24 |
| Smart Sortino/√2 | 0.59 | 0.24 |
| Omega | 1.16 | 1.09 |
| Max Drawdown | -24.5% | -27.47% |
| Max DD Date | 2022-10-12 | 2025-06-20 |
| Max DD Period Start | 2022-01-04 | 2022-10-17 |
| Max DD Period End | 2023-12-12 | 2026-09-22 |
| Longest DD Days | 708 | 1437 |
| Volatility (ann.) | 17.2% | 14.63% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.55 | 0.24 |
| Skew | 0.32 | -0.65 |
| Kurtosis | 8.95 | 2.88 |
| Ulcer Performance Index | 10.24 | 2.34 |
| Risk-Adjusted Return | 13.36% | 6.63% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.69% | 0.59% |
| Avg. Loss | -0.75% | -0.68% |
| Win/Loss Ratio | 0.92 | 0.86 |
| Profit Ratio | 0.83 | 0.77 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.03% | 0.52% |
| Expected Yearly | 10.95% | 5.41% |
| Kelly Criterion | 4.21% | -0.36% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.49% |
| Expected Shortfall (cVaR) | -2.58% | -2.34% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.16 | 0.09 |
| Gain/Pain (1M) | 0.87 | 0.52 |
| Payoff Ratio | 0.92 | 0.86 |
| Profit Factor | 1.16 | 1.09 |
| Common Sense Ratio | 1.17 | 1.06 |
| CPC Index | 0.58 | 0.5 |
| Tail Ratio | 1.01 | 0.97 |
| Outlier Win Ratio | 3.41 | 3.4 |
| Outlier Loss Ratio | 3.77 | 3.98 |
| MTD | 1.08% | 2.41% |
| 3M | 3.82% | 10.06% |
| 6M | 19.85% | 9.47% |
| YTD | 14.3% | 18.0% |
| 1Y | 17.78% | 19.01% |
| 3Y (ann.) | 24.86% | -0.42% |
| 5Y (ann.) | 13.06% | 5.71% |
| 10Y (ann.) | 13.36% | 6.56% |
| All-time (ann.) | 13.36% | 6.56% |
| Best Day | 10.5% | 3.14% |
| Worst Day | -5.85% | -5.18% |
| Best Month | 10.51% | 9.76% |
| Worst Month | -9.24% | -10.05% |
| Best Year | 26.18% | 30.61% |
| Worst Year | -18.18% | -5.66% |
| Avg. Drawdown | -1.89% | -4.56% |
| Avg. Drawdown Days | 20 | 87 |
| Recovery Factor | 2.85 | 1.35 |
| Ulcer Index | 0.08 | 0.16 |
| Serenity Index | 0.47 | 0.08 |
| Avg. Up Month | 2.94% | 2.64% |
| Avg. Down Month | -2.18% | -2.66% |
| Win Days | 54.04% | 53.69% |
| Win Month | 63.93% | 55.74% |
| Win Quarter | 66.67% | 57.14% |
| Win Year | 83.33% | 33.33% |
| Beta | - | -0.15 |
| Alpha | - | 0.1 |
| Correlation | - | -17.58% |
| Treynor Ratio | - | -248.58% |
| Year | SPY | KMLM | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -1.07 | -0.14 | - |
| 2022 | -18.18 | 30.61 | -1.68 | + |
| 2023 | 26.18 | -5.66 | -0.22 | - |
| 2024 | 24.89 | -1.69 | -0.07 | - |
| 2025 | 17.72 | -2.98 | -0.17 | - |
| 2026 | 14.30 | 18.00 | 1.26 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-10-17 | 2026-09-22 | -27.47 | 1437 |
| 2022-06-14 | 2022-09-23 | -14.93 | 102 |
| 2021-11-26 | 2022-02-03 | -7.04 | 70 |
| 2022-03-09 | 2022-03-23 | -6.19 | 15 |
| 2022-09-28 | 2022-10-07 | -6.02 | 10 |
| 2022-04-19 | 2022-05-03 | -4.58 | 15 |
| 2022-03-28 | 2022-04-07 | -3.99 | 11 |
| 2022-05-09 | 2022-05-16 | -3.60 | 8 |
| 2022-05-18 | 2022-06-03 | -3.57 | 17 |
| 2021-11-01 | 2021-11-15 | -2.90 | 15 |