| Metric | SPY | AQMIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 197.58% | 91.78% |
| CAGR﹪ | 15.89% | 9.2% |
| Sharpe | 0.71 | 0.6 |
| Prob. Sharpe Ratio | 97.18% | 94.75% |
| Smart Sharpe | 0.61 | 0.59 |
| Sortino | 1.0 | 0.83 |
| Smart Sortino | 0.86 | 0.82 |
| Sortino/√2 | 0.71 | 0.59 |
| Smart Sortino/√2 | 0.61 | 0.58 |
| Omega | 1.18 | 1.16 |
| Max Drawdown | -33.72% | -13.57% |
| Max DD Date | 2020-03-23 | 2024-08-05 |
| Max DD Period Start | 2020-02-20 | 2024-04-29 |
| Max DD Period End | 2020-08-07 | 2025-08-22 |
| Longest DD Days | 708 | 890 |
| Volatility (ann.) | 19.45% | 10.85% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.47 | 0.68 |
| Skew | -0.28 | -0.37 |
| Kurtosis | 13.95 | 9.53 |
| Ulcer Performance Index | 24.9 | 15.55 |
| Risk-Adjusted Return | 15.89% | 10.0% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.7% | 0.48% |
| Avg. Loss | -0.76% | -0.56% |
| Win/Loss Ratio | 0.93 | 0.85 |
| Profit Ratio | 0.78 | 0.54 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.22% | 0.73% |
| Expected Yearly | 14.6% | 8.48% |
| Kelly Criterion | 6.63% | 3.47% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.09% |
| Expected Shortfall (cVaR) | -3.2% | -1.69% |
| Max Consecutive Wins | 11 | 14 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.16 |
| Gain/Pain (1M) | 1.11 | 0.85 |
| Payoff Ratio | 0.93 | 0.85 |
| Profit Factor | 1.18 | 1.16 |
| Common Sense Ratio | 1.13 | 1.18 |
| CPC Index | 0.6 | 0.55 |
| Tail Ratio | 0.96 | 1.01 |
| Outlier Win Ratio | 3.7 | 3.49 |
| Outlier Loss Ratio | 4.12 | 3.35 |
| 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.) | 15.89% | 9.2% |
| All-time (ann.) | 15.89% | 9.2% |
| Best Day | 10.5% | 6.54% |
| Worst Day | -10.94% | -5.97% |
| Best Month | 12.7% | 8.46% |
| Worst Month | -12.49% | -5.89% |
| Best Year | 28.73% | 35.38% |
| Worst Year | -18.18% | -1.47% |
| Avg. Drawdown | -1.78% | -1.96% |
| Avg. Drawdown Days | 16 | 38 |
| Recovery Factor | 3.65 | 5.12 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 1.01 | 0.72 |
| Avg. Up Month | 3.31% | 2.39% |
| Avg. Down Month | -2.02% | -2.34% |
| Win Days | 55.1% | 55.68% |
| Win Month | 64.44% | 60.0% |
| Win Quarter | 77.42% | 54.84% |
| Win Year | 87.5% | 75.0% |
| Beta | - | -0.07 |
| Alpha | - | 0.11 |
| Correlation | - | -12.47% |
| Treynor Ratio | - | -1319.85% |
| Year | SPY | AQMIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 0.61 | 0.04 | - |
| 2020 | 18.33 | -0.41 | -0.02 | - |
| 2021 | 28.73 | -1.47 | -0.05 | - |
| 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 |
| 2019-09-04 | 2022-02-09 | -12.57 | 890 |
| 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 |
| 2026-06-04 | 2026-08-31 | -5.14 | 89 |
| 2022-09-28 | 2022-10-13 | -3.77 | 16 |
| 2022-05-09 | 2022-06-03 | -3.40 | 26 |
| 2022-02-15 | 2022-03-01 | -3.31 | 15 |