| Metric | SPY | PQTAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 18.3% | 12.58% |
| CAGR﹪ | 18.62% | 12.79% |
| Sharpe | 1.07 | 0.97 |
| Prob. Sharpe Ratio | 85.46% | 82.57% |
| Smart Sharpe | 1.04 | 0.94 |
| Sortino | 1.56 | 1.32 |
| Smart Sortino | 1.52 | 1.29 |
| Sortino/√2 | 1.1 | 0.94 |
| Smart Sortino/√2 | 1.07 | 0.91 |
| Omega | 1.26 | 1.26 |
| 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.) | 13.04% | 8.77% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 2.1 | 2.19 |
| Skew | -0.16 | -0.67 |
| Kurtosis | 1.03 | 1.37 |
| Ulcer Performance Index | 8.48 | 5.67 |
| Risk-Adjusted Return | 18.62% | 13.75% |
| Risk-Return Ratio | 0.09 | 0.09 |
| Avg. Return | 0.08% | 0.05% |
| Avg. Win | 0.61% | 0.46% |
| Avg. Loss | -0.65% | -0.53% |
| Win/Loss Ratio | 0.93 | 0.86 |
| Profit Ratio | 0.91 | 0.45 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.3% | 0.92% |
| Expected Yearly | 8.77% | 6.1% |
| Kelly Criterion | 4.7% | 12.31% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.86% |
| Expected Shortfall (cVaR) | -1.72% | -1.31% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.26 | 0.26 |
| Gain/Pain (1M) | 2.66 | 2.1 |
| Payoff Ratio | 0.93 | 0.86 |
| Profit Factor | 1.26 | 1.26 |
| Common Sense Ratio | 1.25 | 1.29 |
| CPC Index | 0.63 | 0.65 |
| Tail Ratio | 0.99 | 1.02 |
| Outlier Win Ratio | 2.88 | 3.17 |
| Outlier Loss Ratio | 3.16 | 3.17 |
| MTD | 1.08% | 1.15% |
| 3M | 3.82% | 1.34% |
| 6M | 19.85% | 2.32% |
| YTD | 14.3% | 6.64% |
| 1Y | 18.3% | 12.58% |
| 3Y (ann.) | 18.62% | 12.79% |
| 5Y (ann.) | 18.62% | 12.79% |
| 10Y (ann.) | 18.62% | 12.79% |
| All-time (ann.) | 18.62% | 12.79% |
| Best Day | 2.91% | 1.31% |
| Worst Day | -2.7% | -2.21% |
| Best Month | 10.51% | 3.72% |
| Worst Month | -4.94% | -3.05% |
| Best Year | 14.3% | 6.64% |
| Worst Year | 3.5% | 5.56% |
| Avg. Drawdown | -1.69% | -1.3% |
| Avg. Drawdown Days | 13 | 19 |
| Recovery Factor | 1.99 | 2.1 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.19 | 0.67 |
| Avg. Up Month | 3.0% | 1.79% |
| Avg. Down Month | -2.98% | -1.77% |
| Win Days | 54.03% | 59.39% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.05 |
| Alpha | - | 0.12 |
| Correlation | - | 6.82% |
| Treynor Ratio | - | 274.09% |
| Year | SPY | PQTAX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.50 | 5.56 | 1.59 | + |
| 2026 | 14.30 | 6.64 | 0.46 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-09-09 | -5.83 | 192 |
| 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 | 2026-09-22 | -1.45 | 7 |
| 2025-10-09 | 2025-10-15 | -1.19 | 7 |
| 2025-09-24 | 2025-09-30 | -1.11 | 7 |
| 2025-10-28 | 2025-11-07 | -1.09 | 11 |
| 2025-10-17 | 2025-10-17 | -0.79 | 1 |
| 2026-01-16 | 2026-01-20 | -0.66 | 5 |