| Metric | SPY | KMLM |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 74.99% | 28.2% |
| CAGR﹪ | 11.91% | 5.12% |
| Sharpe | 0.52 | 0.15 |
| Prob. Sharpe Ratio | 87.6% | 63.14% |
| Smart Sharpe | 0.5 | 0.15 |
| Sortino | 0.74 | 0.2 |
| Smart Sortino | 0.72 | 0.2 |
| Sortino/√2 | 0.53 | 0.14 |
| Smart Sortino/√2 | 0.51 | 0.14 |
| Omega | 1.14 | 1.07 |
| 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 | 2026-11-04 |
| Longest DD Days | 708 | 1480 |
| Volatility (ann.) | 17.19% | 14.72% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.49 | 0.19 |
| Skew | 0.33 | -0.66 |
| Kurtosis | 8.98 | 2.85 |
| Ulcer Performance Index | 8.86 | 1.77 |
| Risk-Adjusted Return | 11.91% | 5.17% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.69% | 0.59% |
| Avg. Loss | -0.75% | -0.69% |
| Win/Loss Ratio | 0.92 | 0.86 |
| Profit Ratio | 0.86 | 0.76 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.41% |
| Expected Yearly | 9.77% | 4.23% |
| Kelly Criterion | 2.83% | -0.55% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.5% |
| Expected Shortfall (cVaR) | -2.58% | -2.39% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.07 |
| Gain/Pain (1M) | 0.79 | 0.4 |
| Payoff Ratio | 0.92 | 0.86 |
| Profit Factor | 1.14 | 1.07 |
| Common Sense Ratio | 1.15 | 1.04 |
| CPC Index | 0.56 | 0.49 |
| Tail Ratio | 1.0 | 0.97 |
| Outlier Win Ratio | 3.4 | 3.41 |
| Outlier Loss Ratio | 3.8 | 4.05 |
| MTD | 1.47% | -4.79% |
| 3M | 1.46% | 1.78% |
| 6M | 6.94% | -0.38% |
| YTD | 13.33% | 12.6% |
| 1Y | 13.43% | 16.06% |
| 3Y (ann.) | 20.78% | 1.41% |
| 5Y (ann.) | 12.86% | 5.89% |
| 10Y (ann.) | 11.91% | 5.12% |
| All-time (ann.) | 11.91% | 5.12% |
| 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 | -1.94% | -5.12% |
| Avg. Drawdown Days | 21 | 103 |
| Recovery Factor | 2.58 | 1.1 |
| Ulcer Index | 0.08 | 0.16 |
| Serenity Index | 0.43 | 0.07 |
| Avg. Up Month | 2.81% | 2.59% |
| Avg. Down Month | -2.27% | -2.13% |
| Win Days | 53.48% | 53.57% |
| Win Month | 62.3% | 52.46% |
| Win Quarter | 71.43% | 52.38% |
| Win Year | 83.33% | 33.33% |
| Beta | - | -0.15 |
| Alpha | - | 0.08 |
| Correlation | - | -17.74% |
| Treynor Ratio | - | -185.57% |
| Year | SPY | KMLM | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -3.12 | -1.80 | - |
| 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 | 13.33 | 12.60 | 0.95 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-10-17 | 2026-11-04 | -27.47 | 1480 |
| 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 |
| 2022-02-25 | 2022-03-01 | -2.85 | 5 |