| Metric | SPY | MKTN |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 18.79% | 11.3% |
| CAGR﹪ | 19.12% | 11.5% |
| Sharpe | 1.11 | 1.04 |
| Prob. Sharpe Ratio | 86.18% | 84.75% |
| Smart Sharpe | 1.08 | 1.03 |
| Sortino | 1.61 | 1.51 |
| Smart Sortino | 1.57 | 1.49 |
| Sortino/√2 | 1.14 | 1.07 |
| Smart Sortino/√2 | 1.11 | 1.06 |
| Omega | 1.26 | 1.31 |
| 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.) | 13.03% | 6.86% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 2.15 | 2.78 |
| Skew | -0.16 | -0.26 |
| Kurtosis | 1.04 | 0.85 |
| Ulcer Performance Index | 8.7 | 8.09 |
| Risk-Adjusted Return | 19.12% | 11.5% |
| Risk-Return Ratio | 0.09 | 0.1 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.62% | 0.35% |
| Avg. Loss | -0.63% | -0.3% |
| Win/Loss Ratio | 0.99 | 1.16 |
| Profit Ratio | 0.91 | 0.86 |
| Expected Daily | 0.07% | 0.04% |
| Expected Monthly | 1.33% | 0.83% |
| Expected Yearly | 8.99% | 5.5% |
| Kelly Criterion | 7.5% | 16.46% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.67% |
| Expected Shortfall (cVaR) | -1.72% | -0.97% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.26 | 0.31 |
| Gain/Pain (1M) | 2.72 | 4.95 |
| Payoff Ratio | 0.99 | 1.16 |
| Profit Factor | 1.26 | 1.31 |
| Common Sense Ratio | 1.26 | 1.55 |
| CPC Index | 0.67 | 0.84 |
| Tail Ratio | 0.99 | 1.19 |
| Outlier Win Ratio | 2.88 | 2.94 |
| Outlier Loss Ratio | 3.18 | 3.14 |
| MTD | 1.08% | 0.29% |
| 3M | 3.82% | 8.38% |
| 6M | 19.85% | 6.72% |
| YTD | 14.3% | 7.78% |
| 1Y | 18.79% | 11.3% |
| 3Y (ann.) | 19.12% | 11.5% |
| 5Y (ann.) | 19.12% | 11.5% |
| 10Y (ann.) | 19.12% | 11.5% |
| All-time (ann.) | 19.12% | 11.5% |
| Best Day | 2.91% | 1.28% |
| Worst Day | -2.7% | -1.66% |
| Best Month | 10.51% | 5.16% |
| Worst Month | -4.94% | -1.74% |
| Best Year | 14.3% | 7.78% |
| Worst Year | 3.93% | 3.27% |
| Avg. Drawdown | -1.75% | -1.01% |
| Avg. Drawdown Days | 14 | 14 |
| Recovery Factor | 2.03 | 2.65 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.21 | 1.09 |
| Avg. Up Month | 1.62% | 1.4% |
| Avg. Down Month | - | - |
| Win Days | 54.03% | 55.06% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.01 |
| Alpha | - | 0.11 |
| Correlation | - | 1.43% |
| Treynor Ratio | - | 1505.06% |
| Year | SPY | MKTN | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.93 | 3.27 | 0.83 | - |
| 2026 | 14.30 | 7.78 | 0.54 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-04-02 | 2026-07-02 | -4.13 | 92 |
| 2025-12-22 | 2026-02-12 | -3.51 | 53 |
| 2025-10-01 | 2025-10-29 | -2.78 | 29 |
| 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 |
| 2026-09-17 | 2026-09-22 | -1.00 | 6 |
| 2026-07-21 | 2026-07-27 | -0.90 | 7 |
| 2025-11-12 | 2025-12-04 | -0.86 | 23 |
| 2025-10-31 | 2025-11-06 | -0.78 | 7 |