| Metric | SPY | AQMIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 11.62% | 15.06% |
| CAGR﹪ | 11.82% | 15.32% |
| Sharpe | 0.65 | 1.15 |
| Prob. Sharpe Ratio | 74.04% | 87.17% |
| Smart Sharpe | 0.65 | 1.12 |
| Sortino | 0.94 | 1.71 |
| Smart Sortino | 0.94 | 1.66 |
| Sortino/√2 | 0.67 | 1.21 |
| Smart Sortino/√2 | 0.66 | 1.18 |
| Omega | 1.17 | 1.27 |
| Max Drawdown | -9.25% | -6.29% |
| Max DD Date | 2026-03-30 | 2026-11-04 |
| Max DD Period Start | 2025-11-13 | 2026-09-25 |
| Max DD Period End | 2026-04-14 | 2026-11-04 |
| Longest DD Days | 153 | 89 |
| Volatility (ann.) | 12.8% | 9.64% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 1.28 | 2.43 |
| Skew | -0.02 | -0.06 |
| Kurtosis | 0.84 | 0.06 |
| Ulcer Performance Index | 4.86 | 8.34 |
| Risk-Adjusted Return | 11.82% | 16.12% |
| Risk-Return Ratio | 0.06 | 0.1 |
| Avg. Return | 0.04% | 0.06% |
| Avg. Win | 0.55% | 0.47% |
| Avg. Loss | -0.64% | -0.5% |
| Win/Loss Ratio | 0.85 | 0.94 |
| Profit Ratio | 1.03 | 0.66 |
| Expected Daily | 0.04% | 0.06% |
| Expected Monthly | 0.85% | 1.08% |
| Expected Yearly | 5.65% | 7.26% |
| Kelly Criterion | -5.2% | 8.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.94% |
| Expected Shortfall (cVaR) | -1.66% | -1.26% |
| Max Consecutive Wins | 7 | 14 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.17 | 0.27 |
| Gain/Pain (1M) | 1.27 | 1.93 |
| Payoff Ratio | 0.85 | 0.94 |
| Profit Factor | 1.17 | 1.27 |
| Common Sense Ratio | 1.09 | 1.49 |
| CPC Index | 0.51 | 0.67 |
| Tail Ratio | 0.94 | 1.17 |
| Outlier Win Ratio | 2.88 | 3.12 |
| Outlier Loss Ratio | 3.01 | 2.8 |
| MTD | 1.47% | -2.19% |
| 3M | 1.46% | 2.1% |
| 6M | 6.94% | 0.94% |
| YTD | 13.33% | 12.02% |
| 1Y | 11.62% | 15.06% |
| 3Y (ann.) | 11.82% | 15.32% |
| 5Y (ann.) | 11.82% | 15.32% |
| 10Y (ann.) | 11.82% | 15.32% |
| All-time (ann.) | 11.82% | 15.32% |
| Best Day | 2.91% | 1.8% |
| Worst Day | -2.58% | -1.67% |
| Best Month | 10.51% | 5.27% |
| Worst Month | -4.94% | -3.69% |
| Best Year | 13.33% | 12.02% |
| Worst Year | -1.51% | 2.71% |
| Avg. Drawdown | -1.77% | -1.57% |
| Avg. Drawdown Days | 21 | 14 |
| Recovery Factor | 1.28 | 2.3 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.66 | 1.16 |
| Avg. Up Month | 2.95% | 2.23% |
| Avg. Down Month | -0.97% | -2.65% |
| Win Days | 51.61% | 55.74% |
| Win Month | 53.85% | 69.23% |
| Win Quarter | 60.0% | 60.0% |
| Win Year | 50.0% | 100.0% |
| Beta | - | -0.05 |
| Alpha | - | 0.15 |
| Correlation | - | -7.11% |
| Treynor Ratio | - | -281.18% |
| Year | SPY | AQMIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | -1.51 | 2.71 | -1.80 | + |
| 2026 | 13.33 | 12.02 | 0.90 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-25 | 2026-11-04 | -6.29 | 41 |
| 2026-06-04 | 2026-08-31 | -5.14 | 89 |
| 2026-04-08 | 2026-04-28 | -3.02 | 21 |
| 2026-05-14 | 2026-06-02 | -2.39 | 20 |
| 2026-01-30 | 2026-02-03 | -1.77 | 5 |
| 2026-09-16 | 2026-09-23 | -1.66 | 8 |
| 2026-02-26 | 2026-03-17 | -1.63 | 20 |
| 2025-11-13 | 2025-12-18 | -1.43 | 36 |
| 2026-02-12 | 2026-02-19 | -1.36 | 8 |
| 2026-03-23 | 2026-03-25 | -1.14 | 3 |