| Metric | SPY | PQTAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 75.63% | 7.29% |
| CAGR﹪ | 12.01% | 1.43% |
| Sharpe | 0.52 | -0.19 |
| Prob. Sharpe Ratio | 87.82% | 33.34% |
| Smart Sharpe | 0.51 | -0.16 |
| Sortino | 0.75 | -0.25 |
| Smart Sortino | 0.73 | -0.21 |
| Sortino/√2 | 0.53 | -0.18 |
| Smart Sortino/√2 | 0.52 | -0.15 |
| Omega | 1.14 | 1.03 |
| Max Drawdown | -24.5% | -28.39% |
| Max DD Date | 2022-10-12 | 2025-05-14 |
| Max DD Period Start | 2022-01-04 | 2022-10-21 |
| Max DD Period End | 2023-12-12 | 2026-11-04 |
| Longest DD Days | 708 | 1476 |
| Volatility (ann.) | 17.2% | 10.05% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.05 |
| Skew | 0.33 | -0.86 |
| Kurtosis | 8.96 | 4.84 |
| Ulcer Performance Index | 8.93 | 0.46 |
| Risk-Adjusted Return | 12.01% | 1.53% |
| Risk-Return Ratio | 0.05 | 0.01 |
| Avg. Return | 0.06% | 0.01% |
| Avg. Win | 0.67% | 0.42% |
| Avg. Loss | -0.74% | -0.47% |
| Win/Loss Ratio | 0.91 | 0.88 |
| Profit Ratio | 0.85 | 0.54 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 0.93% | 0.12% |
| Expected Yearly | 9.84% | 1.18% |
| Kelly Criterion | 2.25% | 3.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.03% |
| Expected Shortfall (cVaR) | -2.58% | -1.68% |
| Max Consecutive Wins | 10 | 16 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.14 | 0.03 |
| Gain/Pain (1M) | 0.8 | 0.13 |
| Payoff Ratio | 0.91 | 0.88 |
| Profit Factor | 1.14 | 1.03 |
| Common Sense Ratio | 1.15 | 0.89 |
| CPC Index | 0.55 | 0.5 |
| Tail Ratio | 1.01 | 0.86 |
| Outlier Win Ratio | 3.4 | 3.54 |
| Outlier Loss Ratio | 3.79 | 3.82 |
| MTD | 1.47% | -4.26% |
| 3M | 1.46% | 1.53% |
| 6M | 6.94% | -0.59% |
| YTD | 13.33% | 3.99% |
| 1Y | 13.84% | 7.92% |
| 3Y (ann.) | 21.0% | 2.17% |
| 5Y (ann.) | 12.96% | 2.08% |
| 10Y (ann.) | 12.01% | 1.43% |
| All-time (ann.) | 12.01% | 1.43% |
| Best Day | 10.5% | 2.95% |
| Worst Day | -5.85% | -4.01% |
| Best Month | 10.51% | 6.84% |
| Worst Month | -9.24% | -9.02% |
| Best Year | 26.18% | 11.05% |
| Worst Year | -18.18% | -4.52% |
| Avg. Drawdown | -1.93% | -3.85% |
| Avg. Drawdown Days | 21 | 110 |
| Recovery Factor | 2.6 | 0.34 |
| Ulcer Index | 0.08 | 0.16 |
| Serenity Index | 0.43 | 0.01 |
| Avg. Up Month | 3.72% | 2.22% |
| Avg. Down Month | -2.72% | -2.11% |
| Win Days | 53.56% | 54.58% |
| Win Month | 62.3% | 55.74% |
| Win Quarter | 71.43% | 52.38% |
| Win Year | 83.33% | 50.0% |
| Beta | - | -0.09 |
| Alpha | - | 0.03 |
| Correlation | - | -15.54% |
| Treynor Ratio | - | -80.24% |
| Year | SPY | PQTAX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -1.57 | -0.91 | - |
| 2022 | -18.18 | 11.05 | -0.61 | + |
| 2023 | 26.18 | -4.52 | -0.17 | - |
| 2024 | 24.89 | -3.31 | -0.13 | - |
| 2025 | 18.15 | 2.25 | 0.12 | - |
| 2026 | 13.33 | 3.99 | 0.30 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-10-21 | 2026-11-04 | -28.39 | 1476 |
| 2022-06-15 | 2022-10-13 | -11.29 | 121 |
| 2021-11-26 | 2022-02-14 | -5.34 | 81 |
| 2022-05-13 | 2022-06-08 | -4.43 | 27 |
| 2022-03-09 | 2022-03-22 | -3.12 | 14 |
| 2022-03-28 | 2022-04-07 | -2.68 | 11 |
| 2022-10-17 | 2022-10-18 | -1.45 | 2 |
| 2022-04-22 | 2022-04-27 | -0.91 | 6 |
| 2021-11-17 | 2021-11-22 | -0.84 | 6 |
| 2022-02-16 | 2022-02-22 | -0.76 | 7 |