| Metric | SPY | MKTN |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.78% | 16.26% |
| CAGR﹪ | 15.93% | 14.57% |
| Sharpe | 0.92 | 1.49 |
| Prob. Sharpe Ratio | 83.17% | 93.92% |
| Smart Sharpe | 0.91 | 1.48 |
| Sortino | 1.32 | 2.21 |
| Smart Sortino | 1.31 | 2.19 |
| Sortino/√2 | 0.94 | 1.56 |
| Smart Sortino/√2 | 0.92 | 1.55 |
| Omega | 1.22 | 1.41 |
| 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.) | 12.84% | 6.73% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 1.79 | 3.53 |
| Skew | -0.16 | -0.24 |
| Kurtosis | 1.0 | 0.91 |
| Ulcer Performance Index | 8.46 | 12.28 |
| Risk-Adjusted Return | 15.93% | 14.57% |
| Risk-Return Ratio | 0.08 | 0.13 |
| Avg. Return | 0.06% | 0.06% |
| Avg. Win | 0.62% | 0.35% |
| Avg. Loss | -0.62% | -0.29% |
| Win/Loss Ratio | 0.99 | 1.21 |
| Profit Ratio | 0.93 | 0.82 |
| Expected Daily | 0.06% | 0.05% |
| Expected Monthly | 1.1% | 1.01% |
| Expected Yearly | 8.53% | 7.82% |
| Kelly Criterion | 6.37% | 20.29% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.27% | -0.64% |
| Expected Shortfall (cVaR) | -1.72% | -0.94% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.22 | 0.41 |
| Gain/Pain (1M) | 2.22 | 6.92 |
| Payoff Ratio | 0.99 | 1.21 |
| Profit Factor | 1.22 | 1.41 |
| Common Sense Ratio | 1.22 | 1.7 |
| CPC Index | 0.65 | 0.96 |
| Tail Ratio | 1.0 | 1.21 |
| Outlier Win Ratio | 2.86 | 3.03 |
| Outlier Loss Ratio | 3.07 | 3.14 |
| MTD | 1.47% | 1.98% |
| 3M | 1.46% | 6.37% |
| 6M | 6.94% | 12.77% |
| YTD | 13.33% | 12.58% |
| 1Y | 13.43% | 15.49% |
| 3Y (ann.) | 15.93% | 14.57% |
| 5Y (ann.) | 15.93% | 14.57% |
| 10Y (ann.) | 15.93% | 14.57% |
| All-time (ann.) | 15.93% | 14.57% |
| 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 | 13.33% | 12.58% |
| Worst Year | 3.93% | 3.27% |
| Avg. Drawdown | -1.83% | -0.86% |
| Avg. Drawdown Days | 15 | 12 |
| Recovery Factor | 1.95 | 3.71 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.19 | 1.61 |
| Avg. Up Month | 1.67% | 1.61% |
| Avg. Down Month | - | - |
| Win Days | 53.41% | 56.32% |
| Win Month | 66.67% | 86.67% |
| Win Quarter | 83.33% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.01 |
| Alpha | - | 0.14 |
| Correlation | - | 2.77% |
| Treynor Ratio | - | 1120.12% |
| Year | SPY | MKTN | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.93 | 3.27 | 0.83 | - |
| 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 |
| 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 |
| 2026-10-27 | 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 |