| Metric | SPY | PQTAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 206.09% | 38.71% |
| CAGR﹪ | 16.33% | 4.52% |
| Sharpe | 0.73 | 0.21 |
| Prob. Sharpe Ratio | 97.49% | 71.29% |
| Smart Sharpe | 0.63 | 0.18 |
| Sortino | 1.02 | 0.28 |
| Smart Sortino | 0.88 | 0.25 |
| Sortino/√2 | 0.72 | 0.2 |
| Smart Sortino/√2 | 0.63 | 0.18 |
| Omega | 1.18 | 1.09 |
| Max Drawdown | -33.72% | -28.39% |
| Max DD Date | 2020-03-23 | 2025-05-14 |
| Max DD Period Start | 2020-02-20 | 2022-10-21 |
| Max DD Period End | 2020-08-07 | 2026-11-04 |
| Longest DD Days | 708 | 1476 |
| Volatility (ann.) | 19.46% | 9.82% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.48 | 0.16 |
| Skew | -0.29 | -0.38 |
| Kurtosis | 13.92 | 6.45 |
| Ulcer Performance Index | 26.04 | 2.9 |
| Risk-Adjusted Return | 16.33% | 4.86% |
| Risk-Return Ratio | 0.06 | 0.03 |
| Avg. Return | 0.08% | 0.02% |
| Avg. Win | 0.69% | 0.4% |
| Avg. Loss | -0.77% | -0.46% |
| Win/Loss Ratio | 0.89 | 0.86 |
| Profit Ratio | 0.78 | 0.52 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.36% |
| Expected Yearly | 15.01% | 4.17% |
| Kelly Criterion | 5.16% | 4.44% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.0% |
| Expected Shortfall (cVaR) | -3.2% | -1.55% |
| Max Consecutive Wins | 11 | 16 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.18 | 0.09 |
| Gain/Pain (1M) | 1.16 | 0.4 |
| Payoff Ratio | 0.89 | 0.86 |
| Profit Factor | 1.18 | 1.09 |
| Common Sense Ratio | 1.13 | 0.93 |
| CPC Index | 0.58 | 0.52 |
| Tail Ratio | 0.96 | 0.85 |
| Outlier Win Ratio | 3.69 | 3.76 |
| Outlier Loss Ratio | 4.11 | 3.78 |
| 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.) | 16.33% | 4.52% |
| All-time (ann.) | 16.33% | 4.52% |
| Best Day | 10.5% | 4.64% |
| Worst Day | -10.94% | -4.01% |
| Best Month | 12.7% | 6.84% |
| Worst Month | -12.49% | -9.02% |
| Best Year | 28.73% | 14.51% |
| Worst Year | -18.18% | -4.52% |
| Avg. Drawdown | -1.79% | -2.14% |
| Avg. Drawdown Days | 16 | 52 |
| Recovery Factor | 3.74 | 1.28 |
| Ulcer Index | 0.08 | 0.13 |
| Serenity Index | 1.03 | 0.07 |
| Avg. Up Month | 3.87% | 2.1% |
| Avg. Down Month | -2.31% | -2.13% |
| Win Days | 55.21% | 55.85% |
| Win Month | 65.56% | 60.0% |
| Win Quarter | 77.42% | 61.29% |
| Win Year | 87.5% | 75.0% |
| Beta | - | -0.11 |
| Alpha | - | 0.07 |
| Correlation | - | -21.8% |
| Treynor Ratio | - | -351.75% |
| Year | SPY | PQTAX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 2.41 | 0.15 | - |
| 2020 | 18.33 | 8.50 | 0.46 | - |
| 2021 | 28.73 | 14.51 | 0.51 | - |
| 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 |
| 2020-03-24 | 2021-04-23 | -10.97 | 396 |
| 2019-09-04 | 2020-03-06 | -6.77 | 185 |
| 2021-10-27 | 2022-02-22 | -5.42 | 119 |
| 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 |
| 2021-06-11 | 2021-07-01 | -2.64 | 21 |
| 2020-03-13 | 2020-03-13 | -2.33 | 1 |