| Metric | SPY | KMLM |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 18.6% | 11.96% |
| CAGR﹪ | 40.67% | 25.34% |
| Sharpe | 2.32 | 1.35 |
| Prob. Sharpe Ratio | 95.04% | 82.89% |
| Smart Sharpe | 2.3 | 1.32 |
| Sortino | 3.78 | 2.01 |
| Smart Sortino | 3.75 | 1.97 |
| Sortino/√2 | 2.67 | 1.42 |
| Smart Sortino/√2 | 2.65 | 1.39 |
| Omega | 1.54 | 1.28 |
| Max Drawdown | -4.49% | -9.61% |
| Max DD Date | 2026-06-10 | 2026-06-26 |
| Max DD Period Start | 2026-06-03 | 2026-05-13 |
| Max DD Period End | 2026-07-31 | 2026-08-31 |
| Longest DD Days | 59 | 111 |
| Volatility (ann.) | 13.55% | 14.82% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 9.05 | 2.64 |
| Skew | 0.1 | -0.13 |
| Kurtosis | 1.12 | -0.21 |
| Ulcer Performance Index | 11.86 | 2.81 |
| Risk-Adjusted Return | 40.67% | 25.6% |
| Risk-Return Ratio | 0.16 | 0.1 |
| Avg. Return | 0.13% | 0.1% |
| Avg. Win | 0.52% | 0.57% |
| Avg. Loss | -0.58% | -0.63% |
| Win/Loss Ratio | 0.9 | 0.9 |
| Profit Ratio | 1.12 | 0.63 |
| Expected Daily | 0.14% | 0.09% |
| Expected Monthly | 2.47% | 1.63% |
| Expected Yearly | 18.6% | 11.96% |
| Kelly Criterion | 2.77% | 11.4% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.44% |
| Expected Shortfall (cVaR) | -1.77% | -1.99% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.54 | 0.28 |
| Gain/Pain (1M) | 10.92 | 1.63 |
| Payoff Ratio | 0.9 | 0.9 |
| Profit Factor | 1.54 | 1.28 |
| Common Sense Ratio | 2.01 | 1.56 |
| CPC Index | 0.75 | 0.67 |
| Tail Ratio | 1.3 | 1.21 |
| Outlier Win Ratio | 3.21 | 2.88 |
| Outlier Loss Ratio | 3.16 | 2.68 |
| MTD | 1.08% | 2.41% |
| 3M | 3.82% | 10.06% |
| 6M | 18.6% | 11.96% |
| YTD | 18.6% | 11.96% |
| 1Y | 18.6% | 11.96% |
| 3Y (ann.) | 40.67% | 25.34% |
| 5Y (ann.) | 40.67% | 25.34% |
| 10Y (ann.) | 40.67% | 25.34% |
| All-time (ann.) | 40.67% | 25.34% |
| Best Day | 2.91% | 2.17% |
| Worst Day | -2.58% | -2.35% |
| Best Month | 10.51% | 6.5% |
| Worst Month | -1.03% | -4.62% |
| Best Year | 18.6% | 11.96% |
| Worst Year | 18.6% | 11.96% |
| Avg. Drawdown | -1.13% | -2.28% |
| Avg. Drawdown Days | 9 | 18 |
| Recovery Factor | 3.9 | 1.23 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 2.75 | 0.3 |
| Avg. Up Month | 3.57% | 4.01% |
| Avg. Down Month | -1.03% | -2.65% |
| Win Days | 53.97% | 58.06% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.5 |
| Alpha | - | 0.41 |
| Correlation | - | -45.56% |
| Treynor Ratio | - | -23.99% |
| Year | SPY | KMLM | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 11.96 | 0.64 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-13 | 2026-08-31 | -9.61 | 111 |
| 2026-04-30 | 2026-05-11 | -3.01 | 12 |
| 2026-04-08 | 2026-04-20 | -2.35 | 13 |
| 2026-09-16 | 2026-09-22 | -1.58 | 7 |
| 2026-09-02 | 2026-09-08 | -1.54 | 7 |
| 2026-03-31 | 2026-04-01 | -1.03 | 2 |
| 2026-09-11 | 2026-09-14 | -0.96 | 4 |
| 2026-04-24 | 2026-04-24 | -0.31 | 1 |
| 2026-03-25 | 2026-03-25 | -0.11 | 1 |