| Metric | SPY | PQTAX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 208.72% | 42.25% |
| CAGR﹪ | 16.76% | 4.96% |
| Sharpe | 0.74 | 0.25 |
| Prob. Sharpe Ratio | 97.64% | 74.94% |
| Smart Sharpe | 0.64 | 0.22 |
| Sortino | 1.05 | 0.34 |
| Smart Sortino | 0.9 | 0.3 |
| Sortino/√2 | 0.74 | 0.24 |
| Smart Sortino/√2 | 0.64 | 0.21 |
| Omega | 1.19 | 1.1 |
| 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 | 2026-09-22 |
| Longest DD Days | 708 | 1433 |
| Volatility (ann.) | 19.57% | 9.79% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.5 | 0.17 |
| Skew | -0.29 | -0.35 |
| Kurtosis | 13.83 | 6.56 |
| Ulcer Performance Index | 26.16 | 3.15 |
| Risk-Adjusted Return | 16.76% | 5.34% |
| Risk-Return Ratio | 0.06 | 0.03 |
| Avg. Return | 0.08% | 0.02% |
| Avg. Win | 0.7% | 0.4% |
| Avg. Loss | -0.78% | -0.46% |
| Win/Loss Ratio | 0.89 | 0.86 |
| Profit Ratio | 0.77 | 0.52 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.29% | 0.4% |
| Expected Yearly | 15.13% | 4.5% |
| Kelly Criterion | 5.26% | 5.08% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -0.99% |
| Expected Shortfall (cVaR) | -3.2% | -1.54% |
| Max Consecutive Wins | 11 | 16 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.19 | 0.1 |
| Gain/Pain (1M) | 1.18 | 0.44 |
| Payoff Ratio | 0.89 | 0.86 |
| Profit Factor | 1.19 | 1.1 |
| Common Sense Ratio | 1.14 | 0.95 |
| CPC Index | 0.59 | 0.53 |
| Tail Ratio | 0.96 | 0.86 |
| Outlier Win Ratio | 3.69 | 3.78 |
| Outlier Loss Ratio | 4.1 | 3.75 |
| MTD | 1.08% | 1.15% |
| 3M | 3.82% | 1.34% |
| 6M | 19.85% | 2.32% |
| YTD | 14.3% | 6.64% |
| 1Y | 18.22% | 13.26% |
| 3Y (ann.) | 25.09% | 1.12% |
| 5Y (ann.) | 13.16% | 1.64% |
| 10Y (ann.) | 16.76% | 4.96% |
| All-time (ann.) | 16.76% | 4.96% |
| 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 | -1.78% | -2.14% |
| Avg. Drawdown Days | 16 | 51 |
| Recovery Factor | 3.76 | 1.36 |
| Ulcer Index | 0.08 | 0.13 |
| Serenity Index | 1.03 | 0.07 |
| Avg. Up Month | 3.8% | 2.07% |
| Avg. Down Month | -2.31% | -2.13% |
| Win Days | 55.32% | 56.01% |
| Win Month | 67.05% | 60.23% |
| Win Quarter | 76.67% | 63.33% |
| Win Year | 87.5% | 75.0% |
| Beta | - | -0.11 |
| Alpha | - | 0.07 |
| Correlation | - | -21.64% |
| Treynor Ratio | - | -390.36% |
| 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 | 14.30 | 6.64 | 0.46 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-10-21 | 2026-09-22 | -28.39 | 1433 |
| 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 |