The Toffees are now the only side in the top flight that are yet to suffer defeat following three draws and two victories in five games.
"It is a fantastic label to have but it is something we will have to work really hard to extend," Martinez told the club's official website.
"It is a beautiful label to have but in September you don't win anything. What we need to do is work harder because it is only beautiful if you can keep it until May because otherwise one day it will become a negative."
Despite their positive league form, Everton are already out of the Capital One Cup following a 2-1 defeat to Fulham in midweek.