| Metric | SPY | QGMIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 14.39% | 3.66% |
| CAGR﹪ | 14.51% | 3.69% |
| Sharpe | 0.83 | 0.02 |
| Prob. Sharpe Ratio | 79.61% | 50.91% |
| Smart Sharpe | 0.82 | 0.02 |
| Sortino | 1.22 | 0.03 |
| Smart Sortino | 1.2 | 0.03 |
| Sortino/√2 | 0.86 | 0.02 |
| Smart Sortino/√2 | 0.85 | 0.02 |
| Omega | 1.2 | 1.11 |
| Max Drawdown | -8.88% | -5.57% |
| Max DD Date | 2026-03-30 | 2026-08-04 |
| Max DD Period Start | 2026-01-28 | 2026-02-12 |
| Max DD Period End | 2026-04-13 | 2026-09-09 |
| Longest DD Days | 76 | 210 |
| Volatility (ann.) | 12.86% | 5.85% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.63 | 0.66 |
| Skew | -0.02 | -0.08 |
| Kurtosis | 0.78 | 0.09 |
| Ulcer Performance Index | 6.68 | 1.3 |
| Risk-Adjusted Return | 14.51% | 4.1% |
| Risk-Return Ratio | 0.07 | 0.04 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.59% | 0.33% |
| Avg. Loss | -0.65% | -0.36% |
| Win/Loss Ratio | 0.91 | 0.92 |
| Profit Ratio | 1.02 | 0.58 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.04% | 0.28% |
| Expected Yearly | 6.95% | 1.82% |
| Kelly Criterion | -0.67% | 2.67% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.59% |
| Expected Shortfall (cVaR) | -1.66% | -0.8% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.11 |
| Gain/Pain (1M) | 1.83 | 0.5 |
| Payoff Ratio | 0.91 | 0.92 |
| Profit Factor | 1.2 | 1.11 |
| Common Sense Ratio | 1.19 | 1.27 |
| CPC Index | 0.57 | 0.54 |
| Tail Ratio | 0.99 | 1.15 |
| Outlier Win Ratio | 2.84 | 3.14 |
| Outlier Loss Ratio | 3.01 | 2.75 |
| MTD | 1.47% | -1.15% |
| 3M | 1.46% | 5.64% |
| 6M | 6.94% | 3.41% |
| YTD | 13.33% | 5.32% |
| 1Y | 14.39% | 3.66% |
| 3Y (ann.) | 14.51% | 3.69% |
| 5Y (ann.) | 14.51% | 3.69% |
| 10Y (ann.) | 14.51% | 3.69% |
| All-time (ann.) | 14.51% | 3.69% |
| Best Day | 2.91% | 1.18% |
| Worst Day | -2.58% | -1.1% |
| Best Month | 10.51% | 4.53% |
| Worst Month | -4.94% | -2.08% |
| Best Year | 13.33% | 5.32% |
| Worst Year | 0.94% | -1.57% |
| Avg. Drawdown | -1.74% | -1.26% |
| Avg. Drawdown Days | 14 | 28 |
| Recovery Factor | 1.61 | 0.68 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.94 | 0.1 |
| Avg. Up Month | 2.95% | 1.29% |
| Avg. Down Month | -2.28% | -1.07% |
| Win Days | 52.0% | 53.33% |
| Win Month | 61.54% | 53.85% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | -0.05 |
| Alpha | - | 0.05 |
| Correlation | - | -11.29% |
| Treynor Ratio | - | -71.38% |
| Year | SPY | QGMIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | -1.57 | -1.67 | - |
| 2026 | 13.33 | 5.32 | 0.40 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-12 | 2026-09-09 | -5.57 | 210 |
| 2025-11-06 | 2026-01-08 | -3.37 | 64 |
| 2026-10-15 | 2026-11-04 | -2.09 | 21 |
| 2026-01-30 | 2026-02-10 | -1.47 | 12 |
| 2026-09-25 | 2026-10-08 | -0.76 | 14 |
| 2026-10-13 | 2026-10-13 | -0.57 | 1 |
| 2026-01-20 | 2026-01-21 | -0.50 | 2 |
| 2026-09-16 | 2026-09-17 | -0.39 | 2 |
| 2026-01-12 | 2026-01-12 | -0.10 | 1 |
| 2026-01-15 | 2026-01-15 | -0.10 | 1 |