| Metric | SPY | KMLM |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 126.67% | 49.3% |
| CAGR﹪ | 14.88% | 7.03% |
| Sharpe | 0.73 | 0.31 |
| Prob. Sharpe Ratio | 96.17% | 77.59% |
| Smart Sharpe | 0.7 | 0.31 |
| Sortino | 1.05 | 0.43 |
| Smart Sortino | 1.02 | 0.42 |
| Sortino/√2 | 0.74 | 0.3 |
| Smart Sortino/√2 | 0.72 | 0.29 |
| Omega | 1.18 | 1.1 |
| 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.) | 16.5% | 14.72% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.61 | 0.26 |
| Skew | 0.28 | -0.59 |
| Kurtosis | 9.06 | 2.52 |
| Ulcer Performance Index | 16.27 | 3.35 |
| Risk-Adjusted Return | 14.88% | 7.1% |
| Risk-Return Ratio | 0.06 | 0.03 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.67% | 0.61% |
| Avg. Loss | -0.72% | -0.72% |
| Win/Loss Ratio | 0.93 | 0.85 |
| Profit Ratio | 0.84 | 0.78 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.14% | 0.56% |
| Expected Yearly | 12.4% | 5.89% |
| Kelly Criterion | 4.87% | -1.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.65% | -1.49% |
| Expected Shortfall (cVaR) | -2.42% | -2.33% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.18 | 0.1 |
| Gain/Pain (1M) | 1.07 | 0.56 |
| Payoff Ratio | 0.93 | 0.85 |
| Profit Factor | 1.18 | 1.1 |
| Common Sense Ratio | 1.19 | 1.06 |
| CPC Index | 0.59 | 0.5 |
| Tail Ratio | 1.01 | 0.97 |
| Outlier Win Ratio | 3.47 | 3.31 |
| Outlier Loss Ratio | 3.91 | 3.89 |
| 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.) | 14.88% | 7.03% |
| All-time (ann.) | 14.88% | 7.03% |
| 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 | 28.73% | 30.61% |
| Worst Year | -18.18% | -5.66% |
| Avg. Drawdown | -1.69% | -3.64% |
| Avg. Drawdown Days | 16 | 71 |
| Recovery Factor | 3.67 | 1.69 |
| Ulcer Index | 0.08 | 0.15 |
| Serenity Index | 0.66 | 0.11 |
| Avg. Up Month | 3.0% | 2.96% |
| Avg. Down Month | -2.02% | -2.49% |
| Win Days | 54.21% | 53.58% |
| Win Month | 65.28% | 54.17% |
| Win Quarter | 76.0% | 56.0% |
| Win Year | 85.71% | 57.14% |
| Beta | - | -0.14 |
| Alpha | - | 0.1 |
| Correlation | - | -15.18% |
| Treynor Ratio | - | -364.01% |
| Year | SPY | KMLM | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 2.37 | 5.40 | 2.28 | + |
| 2021 | 28.73 | 7.04 | 0.25 | - |
| 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 |
| 2021-05-13 | 2022-02-03 | -9.11 | 267 |
| 2022-03-09 | 2022-03-23 | -6.19 | 15 |
| 2022-09-28 | 2022-10-07 | -6.02 | 10 |
| 2021-02-25 | 2021-04-23 | -5.93 | 58 |
| 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 |