| Metric | SPY | PQTAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 6.48% | -0.95% |
| CAGR﹪ | 13.27% | -1.89% |
| Sharpe | 0.78 | -0.59 |
| Prob. Sharpe Ratio | 70.87% | 33.59% |
| Smart Sharpe | 0.75 | -0.58 |
| Sortino | 1.14 | -0.75 |
| Smart Sortino | 1.09 | -0.74 |
| Sortino/√2 | 0.8 | -0.53 |
| Smart Sortino/√2 | 0.77 | -0.53 |
| Omega | 1.19 | 0.97 |
| Max Drawdown | -4.49% | -5.41% |
| Max DD Date | 2026-06-10 | 2026-08-05 |
| Max DD Period Start | 2026-06-03 | 2026-05-19 |
| Max DD Period End | 2026-07-31 | 2026-09-08 |
| Longest DD Days | 59 | 113 |
| Volatility (ann.) | 12.4% | 8.64% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 2.95 | -0.35 |
| Skew | -0.15 | -0.97 |
| Kurtosis | 0.59 | 2.67 |
| Ulcer Performance Index | 3.89 | -0.47 |
| Risk-Adjusted Return | 13.27% | -2.03% |
| Risk-Return Ratio | 0.07 | -0.01 |
| Avg. Return | 0.04% | -0.01% |
| Avg. Win | 0.59% | 0.37% |
| Avg. Loss | -0.67% | -0.5% |
| Win/Loss Ratio | 0.88 | 0.74 |
| Profit Ratio | 1.15 | 0.64 |
| Expected Daily | 0.05% | -0.01% |
| Expected Monthly | 0.9% | -0.14% |
| Expected Yearly | 6.48% | -0.95% |
| Kelly Criterion | -5.91% | -14.32% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.9% |
| Expected Shortfall (cVaR) | -1.63% | -1.4% |
| Max Consecutive Wins | 4 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.19 | -0.03 |
| Gain/Pain (1M) | 3.26 | -0.11 |
| Payoff Ratio | 0.88 | 0.74 |
| Profit Factor | 1.19 | 0.97 |
| Common Sense Ratio | 1.47 | 0.94 |
| CPC Index | 0.53 | 0.37 |
| Tail Ratio | 1.23 | 0.97 |
| Outlier Win Ratio | 2.66 | 2.43 |
| Outlier Loss Ratio | 3.07 | 3.65 |
| MTD | 1.47% | -4.26% |
| 3M | 1.46% | 1.53% |
| 6M | 6.48% | -0.95% |
| YTD | 6.48% | -0.95% |
| 1Y | 6.48% | -0.95% |
| 3Y (ann.) | 13.27% | -1.89% |
| 5Y (ann.) | 13.27% | -1.89% |
| 10Y (ann.) | 13.27% | -1.89% |
| All-time (ann.) | 13.27% | -1.89% |
| Best Day | 1.8% | 1.01% |
| Worst Day | -2.58% | -2.4% |
| Best Month | 4.52% | 2.75% |
| Worst Month | -1.03% | -4.26% |
| Best Year | 6.48% | -0.95% |
| Worst Year | 6.48% | -0.95% |
| Avg. Drawdown | -1.57% | -1.63% |
| Avg. Drawdown Days | 17 | 18 |
| Recovery Factor | 1.48 | 0.14 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.91 | -0.05 |
| Avg. Up Month | 3.6% | 1.65% |
| Avg. Down Month | -1.03% | -0.5% |
| Win Days | 50.39% | 51.28% |
| Win Month | 57.14% | 57.14% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 0.0% |
| Beta | - | -0.07 |
| Alpha | - | -0.01 |
| Correlation | - | -10.02% |
| Treynor Ratio | - | 13.67% |
| Year | SPY | PQTAX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | -0.95 | -0.15 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-19 | 2026-09-08 | -5.41 | 113 |
| 2026-10-15 | 2026-11-04 | -5.29 | 21 |
| 2026-09-16 | 2026-09-30 | -1.45 | 15 |
| 2026-05-14 | 2026-05-15 | -0.81 | 2 |
| 2026-05-06 | 2026-05-08 | -0.55 | 3 |
| 2026-10-13 | 2026-10-13 | -0.45 | 1 |
| 2026-10-06 | 2026-10-06 | -0.36 | 1 |
| 2026-10-09 | 2026-10-09 | -0.27 | 1 |
| 2026-10-02 | 2026-10-02 | -0.09 | 1 |