| Metric | SPY | MKTN |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.39% | 15.91% |
| CAGR﹪ | 14.51% | 16.05% |
| Sharpe | 0.83 | 1.7 |
| Prob. Sharpe Ratio | 79.61% | 95.28% |
| Smart Sharpe | 0.82 | 1.67 |
| Sortino | 1.22 | 2.57 |
| Smart Sortino | 1.2 | 2.54 |
| Sortino/√2 | 0.86 | 1.82 |
| Smart Sortino/√2 | 0.85 | 1.79 |
| Omega | 1.2 | 1.44 |
| Max Drawdown | -8.88% | -4.13% |
| Max DD Date | 2026-03-30 | 2026-04-21 |
| Max DD Period Start | 2026-01-28 | 2026-04-02 |
| Max DD Period End | 2026-04-13 | 2026-07-02 |
| Longest DD Days | 76 | 92 |
| Volatility (ann.) | 12.86% | 6.75% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 1.63 | 3.89 |
| Skew | -0.02 | -0.18 |
| Kurtosis | 0.78 | 0.81 |
| Ulcer Performance Index | 6.68 | 12.48 |
| Risk-Adjusted Return | 14.51% | 16.05% |
| Risk-Return Ratio | 0.07 | 0.14 |
| Avg. Return | 0.05% | 0.06% |
| Avg. Win | 0.63% | 0.38% |
| Avg. Loss | -0.65% | -0.29% |
| Win/Loss Ratio | 0.96 | 1.32 |
| Profit Ratio | 1.02 | 0.89 |
| Expected Daily | 0.05% | 0.06% |
| Expected Monthly | 1.04% | 1.14% |
| Expected Yearly | 6.95% | 7.66% |
| Kelly Criterion | 2.13% | 22.09% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.64% |
| Expected Shortfall (cVaR) | -1.66% | -0.9% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.2 | 0.44 |
| Gain/Pain (1M) | 1.83 | 6.78 |
| Payoff Ratio | 0.96 | 1.32 |
| Profit Factor | 1.2 | 1.44 |
| Common Sense Ratio | 1.19 | 1.76 |
| CPC Index | 0.6 | 1.06 |
| Tail Ratio | 0.99 | 1.22 |
| Outlier Win Ratio | 2.84 | 2.92 |
| Outlier Loss Ratio | 3.01 | 3.09 |
| MTD | 1.47% | 1.98% |
| 3M | 1.46% | 6.37% |
| 6M | 6.94% | 12.77% |
| YTD | 13.33% | 12.58% |
| 1Y | 14.39% | 15.91% |
| 3Y (ann.) | 14.51% | 16.05% |
| 5Y (ann.) | 14.51% | 16.05% |
| 10Y (ann.) | 14.51% | 16.05% |
| All-time (ann.) | 14.51% | 16.05% |
| Best Day | 2.91% | 1.28% |
| Worst Day | -2.58% | -1.66% |
| Best Month | 10.51% | 5.16% |
| Worst Month | -4.94% | -1.74% |
| Best Year | 13.33% | 12.58% |
| Worst Year | 0.94% | 2.97% |
| Avg. Drawdown | -1.74% | -0.8% |
| Avg. Drawdown Days | 14 | 11 |
| Recovery Factor | 1.61 | 3.63 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 1.69 |
| Avg. Up Month | 1.73% | 2.1% |
| Avg. Down Month | - | - |
| Win Days | 52.0% | 55.65% |
| Win Month | 61.54% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.02 |
| Alpha | - | 0.15 |
| Correlation | - | 3.19% |
| Treynor Ratio | - | 950.11% |
| Year | SPY | MKTN | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 2.97 | 3.16 | + |
| 2026 | 13.33 | 12.58 | 0.94 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-04-02 | 2026-07-02 | -4.13 | 92 |
| 2025-12-22 | 2026-02-12 | -3.51 | 53 |
| 2026-08-20 | 2026-09-02 | -1.91 | 14 |
| 2026-08-11 | 2026-08-17 | -1.11 | 7 |
| 2026-02-18 | 2026-03-24 | -1.07 | 35 |
| 2026-10-27 | 2026-11-02 | -1.05 | 7 |
| 2026-09-17 | 2026-09-25 | -1.00 | 9 |
| 2026-07-21 | 2026-07-27 | -0.90 | 7 |
| 2025-11-12 | 2025-12-04 | -0.86 | 23 |
| 2026-03-26 | 2026-03-31 | -0.65 | 6 |