| Metric | SPY | PQTAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 14.81% | 8.13% |
| CAGR﹪ | 15.07% | 8.27% |
| Sharpe | 0.87 | 0.51 |
| Prob. Sharpe Ratio | 80.5% | 68.95% |
| Smart Sharpe | 0.86 | 0.5 |
| Sortino | 1.27 | 0.66 |
| Smart Sortino | 1.26 | 0.66 |
| Sortino/√2 | 0.9 | 0.47 |
| Smart Sortino/√2 | 0.89 | 0.46 |
| Omega | 1.21 | 1.16 |
| Max Drawdown | -8.88% | -5.83% |
| Max DD Date | 2026-03-30 | 2026-08-05 |
| Max DD Period Start | 2026-01-28 | 2026-03-02 |
| Max DD Period End | 2026-04-13 | 2026-09-09 |
| Longest DD Days | 76 | 192 |
| Volatility (ann.) | 12.91% | 9.33% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 1.7 | 1.42 |
| Skew | -0.03 | -0.93 |
| Kurtosis | 0.75 | 2.07 |
| Ulcer Performance Index | 6.86 | 3.57 |
| Risk-Adjusted Return | 15.07% | 8.89% |
| Risk-Return Ratio | 0.07 | 0.06 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.59% | 0.45% |
| Avg. Loss | -0.63% | -0.56% |
| Win/Loss Ratio | 0.94 | 0.8 |
| Profit Ratio | 0.99 | 0.43 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.07% | 0.6% |
| Expected Yearly | 7.15% | 3.99% |
| Kelly Criterion | 1.78% | 7.51% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.93% |
| Expected Shortfall (cVaR) | -1.66% | -1.61% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.21 | 0.16 |
| Gain/Pain (1M) | 1.88 | 0.81 |
| Payoff Ratio | 0.94 | 0.8 |
| Profit Factor | 1.21 | 1.16 |
| Common Sense Ratio | 1.2 | 1.1 |
| CPC Index | 0.59 | 0.55 |
| Tail Ratio | 0.99 | 0.95 |
| Outlier Win Ratio | 2.84 | 3.14 |
| Outlier Loss Ratio | 2.98 | 3.4 |
| MTD | 1.47% | -4.26% |
| 3M | 1.46% | 1.53% |
| 6M | 6.94% | -0.59% |
| YTD | 13.33% | 3.99% |
| 1Y | 14.81% | 8.13% |
| 3Y (ann.) | 15.07% | 8.27% |
| 5Y (ann.) | 15.07% | 8.27% |
| 10Y (ann.) | 15.07% | 8.27% |
| All-time (ann.) | 15.07% | 8.27% |
| Best Day | 2.91% | 1.31% |
| Worst Day | -2.58% | -2.4% |
| Best Month | 10.51% | 3.72% |
| Worst Month | -4.94% | -4.26% |
| Best Year | 13.33% | 3.99% |
| Worst Year | 1.31% | 3.99% |
| Avg. Drawdown | -1.72% | -1.5% |
| Avg. Drawdown Days | 13 | 20 |
| Recovery Factor | 1.65 | 1.41 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.96 | 0.46 |
| Avg. Up Month | 3.54% | 1.94% |
| Avg. Down Month | -2.98% | -1.77% |
| Win Days | 52.42% | 58.95% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.04 |
| Alpha | - | 0.09 |
| Correlation | - | -5.71% |
| Treynor Ratio | - | -197.02% |
| Year | SPY | PQTAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.31 | 3.99 | 3.04 | + |
| 2026 | 13.33 | 3.99 | 0.30 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-09-09 | -5.83 | 192 |
| 2026-10-15 | 2026-11-04 | -5.29 | 21 |
| 2025-11-13 | 2025-12-18 | -2.63 | 36 |
| 2026-01-30 | 2026-02-06 | -2.56 | 8 |
| 2026-01-07 | 2026-01-14 | -1.50 | 8 |
| 2026-09-16 | 2026-09-30 | -1.45 | 15 |
| 2026-01-16 | 2026-01-20 | -0.66 | 5 |
| 2026-02-10 | 2026-02-20 | -0.55 | 11 |
| 2026-10-13 | 2026-10-13 | -0.45 | 1 |
| 2026-10-06 | 2026-10-06 | -0.36 | 1 |