| Metric | SPY | MKTN |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 6.48% | 12.62% |
| CAGR﹪ | 13.27% | 26.59% |
| Sharpe | 0.78 | 3.08 |
| Prob. Sharpe Ratio | 70.87% | 98.09% |
| Smart Sharpe | 0.75 | 3.05 |
| Sortino | 1.14 | 4.87 |
| Smart Sortino | 1.09 | 4.81 |
| Sortino/√2 | 0.8 | 3.44 |
| Smart Sortino/√2 | 0.77 | 3.4 |
| Omega | 1.19 | 1.81 |
| Max Drawdown | -4.49% | -2.29% |
| Max DD Date | 2026-06-10 | 2026-06-18 |
| Max DD Period Start | 2026-06-03 | 2026-06-02 |
| Max DD Period End | 2026-07-31 | 2026-07-01 |
| Longest DD Days | 59 | 30 |
| Volatility (ann.) | 12.4% | 6.57% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 2.95 | 11.61 |
| Skew | -0.15 | -0.53 |
| Kurtosis | 0.59 | 1.62 |
| Ulcer Performance Index | 3.89 | 17.34 |
| Risk-Adjusted Return | 13.27% | 26.59% |
| Risk-Return Ratio | 0.07 | 0.23 |
| Avg. Return | 0.05% | 0.1% |
| Avg. Win | 0.66% | 0.35% |
| Avg. Loss | -0.6% | -0.31% |
| Win/Loss Ratio | 1.11 | 1.16 |
| Profit Ratio | 1.15 | 0.93 |
| Expected Daily | 0.05% | 0.09% |
| Expected Monthly | 0.9% | 1.71% |
| Expected Yearly | 6.48% | 12.62% |
| Kelly Criterion | 5.55% | 21.53% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.59% |
| Expected Shortfall (cVaR) | -1.63% | -0.97% |
| Max Consecutive Wins | 4 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.19 | 0.81 |
| Gain/Pain (1M) | 3.26 | - |
| Payoff Ratio | 1.11 | 1.16 |
| Profit Factor | 1.19 | 1.81 |
| Common Sense Ratio | 1.47 | 2.47 |
| CPC Index | 0.66 | 1.21 |
| Tail Ratio | 1.23 | 1.36 |
| Outlier Win Ratio | 2.66 | 2.48 |
| Outlier Loss Ratio | 3.07 | 3.12 |
| MTD | 1.47% | 1.98% |
| 3M | 1.46% | 6.37% |
| 6M | 6.48% | 12.62% |
| YTD | 6.48% | 12.62% |
| 1Y | 6.48% | 12.62% |
| 3Y (ann.) | 13.27% | 26.59% |
| 5Y (ann.) | 13.27% | 26.59% |
| 10Y (ann.) | 13.27% | 26.59% |
| All-time (ann.) | 13.27% | 26.59% |
| Best Day | 1.8% | 1.02% |
| Worst Day | -2.58% | -1.66% |
| Best Month | 4.52% | 5.16% |
| Worst Month | -1.03% | 0.23% |
| Best Year | 6.48% | 12.62% |
| Worst Year | 6.48% | 12.62% |
| Avg. Drawdown | -1.57% | -0.62% |
| Avg. Drawdown Days | 17 | 6 |
| Recovery Factor | 1.48 | 5.24 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.91 | 3.86 |
| Avg. Up Month | 2.18% | 2.28% |
| Avg. Down Month | - | - |
| Win Days | 50.39% | 57.94% |
| Win Month | 57.14% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.01 |
| Alpha | - | 0.24 |
| Correlation | - | -1.14% |
| Treynor Ratio | - | -2091.87% |
| Year | SPY | MKTN | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 12.62 | 1.95 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-02 | 2026-07-01 | -2.29 | 30 |
| 2026-08-20 | 2026-09-02 | -1.91 | 14 |
| 2026-05-06 | 2026-05-14 | -1.13 | 9 |
| 2026-08-11 | 2026-08-17 | -1.11 | 7 |
| 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 |
| 2026-09-04 | 2026-09-09 | -0.64 | 6 |
| 2026-08-03 | 2026-08-04 | -0.59 | 2 |
| 2026-05-19 | 2026-05-26 | -0.44 | 8 |