| Metric | SPY | AQMIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 70.75% | 92.4% |
| CAGR﹪ | 11.38% | 14.09% |
| Sharpe | 0.49 | 0.87 |
| Prob. Sharpe Ratio | 86.27% | 97.23% |
| Smart Sharpe | 0.47 | 0.86 |
| Sortino | 0.7 | 1.23 |
| Smart Sortino | 0.68 | 1.22 |
| Sortino/√2 | 0.5 | 0.87 |
| Smart Sortino/√2 | 0.48 | 0.86 |
| Omega | 1.14 | 1.24 |
| Max Drawdown | -24.5% | -13.57% |
| Max DD Date | 2022-10-12 | 2024-08-05 |
| Max DD Period Start | 2022-01-04 | 2024-04-29 |
| Max DD Period End | 2023-12-12 | 2025-08-22 |
| Longest DD Days | 708 | 481 |
| Volatility (ann.) | 17.19% | 11.47% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.46 | 1.04 |
| Skew | 0.33 | -0.31 |
| Kurtosis | 9.01 | 10.52 |
| Ulcer Performance Index | 8.33 | 20.18 |
| Risk-Adjusted Return | 11.38% | 15.15% |
| Risk-Return Ratio | 0.04 | 0.08 |
| Avg. Return | 0.05% | 0.06% |
| Avg. Win | 0.65% | 0.5% |
| Avg. Loss | -0.75% | -0.56% |
| Win/Loss Ratio | 0.87 | 0.9 |
| Profit Ratio | 0.86 | 0.57 |
| Expected Daily | 0.04% | 0.05% |
| Expected Monthly | 0.88% | 1.08% |
| Expected Yearly | 9.33% | 11.52% |
| Kelly Criterion | -0.1% | 8.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.13% |
| Expected Shortfall (cVaR) | -2.58% | -1.8% |
| Max Consecutive Wins | 10 | 14 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.24 |
| Gain/Pain (1M) | 0.74 | 1.37 |
| Payoff Ratio | 0.87 | 0.9 |
| Profit Factor | 1.14 | 1.24 |
| Common Sense Ratio | 1.14 | 1.31 |
| CPC Index | 0.53 | 0.63 |
| Tail Ratio | 1.01 | 1.06 |
| Outlier Win Ratio | 3.41 | 3.26 |
| Outlier Loss Ratio | 3.8 | 3.37 |
| MTD | 1.47% | -2.19% |
| 3M | 1.46% | 2.1% |
| 6M | 6.94% | 0.94% |
| YTD | 13.33% | 12.02% |
| 1Y | 10.68% | 14.46% |
| 3Y (ann.) | 19.83% | 12.33% |
| 5Y (ann.) | 12.32% | 14.75% |
| 10Y (ann.) | 11.38% | 14.09% |
| All-time (ann.) | 11.38% | 14.09% |
| Best Day | 10.5% | 6.54% |
| Worst Day | -5.85% | -5.97% |
| Best Month | 10.51% | 8.46% |
| Worst Month | -9.24% | -5.89% |
| Best Year | 26.18% | 35.38% |
| Worst Year | -18.18% | -0.96% |
| Avg. Drawdown | -1.92% | -2.08% |
| Avg. Drawdown Days | 23 | 28 |
| Recovery Factor | 2.48 | 5.07 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.41 | 1.12 |
| Avg. Up Month | 3.01% | 2.65% |
| Avg. Down Month | -1.29% | -2.12% |
| Win Days | 53.4% | 56.45% |
| Win Month | 60.66% | 63.93% |
| Win Quarter | 71.43% | 57.14% |
| Win Year | 83.33% | 83.33% |
| Beta | - | -0.09 |
| Alpha | - | 0.15 |
| Correlation | - | -13.28% |
| Treynor Ratio | - | -1042.41% |
| Year | SPY | AQMIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -0.96 | -0.56 | - |
| 2022 | -18.18 | 35.38 | -1.95 | + |
| 2023 | 26.18 | 2.05 | 0.08 | - |
| 2024 | 24.89 | 8.15 | 0.33 | - |
| 2025 | 14.87 | 16.06 | 1.08 | + |
| 2026 | 13.33 | 12.02 | 0.90 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-29 | 2025-08-22 | -13.57 | 481 |
| 2022-10-21 | 2023-09-22 | -10.52 | 337 |
| 2022-06-15 | 2022-09-19 | -8.23 | 97 |
| 2023-11-01 | 2024-02-21 | -7.36 | 113 |
| 2026-09-25 | 2026-11-04 | -6.29 | 41 |
| 2021-12-27 | 2022-01-25 | -6.10 | 30 |
| 2026-06-04 | 2026-08-31 | -5.14 | 89 |
| 2022-09-28 | 2022-10-13 | -3.77 | 16 |
| 2021-11-24 | 2021-12-22 | -3.65 | 29 |
| 2022-05-09 | 2022-06-03 | -3.40 | 26 |