| Metric | SPY | QGMIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 17.87% | 3.76% |
| CAGR﹪ | 18.02% | 3.79% |
| Sharpe | 1.04 | -0.01 |
| Prob. Sharpe Ratio | 84.73% | 49.51% |
| Smart Sharpe | 1.01 | -0.01 |
| Sortino | 1.51 | -0.02 |
| Smart Sortino | 1.47 | -0.02 |
| Sortino/√2 | 1.07 | -0.01 |
| Smart Sortino/√2 | 1.04 | -0.01 |
| Omega | 1.25 | 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.) | 12.99% | 5.87% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 2.03 | 0.68 |
| Skew | -0.15 | -0.12 |
| Kurtosis | 1.05 | 0.1 |
| Ulcer Performance Index | 8.3 | 1.3 |
| Risk-Adjusted Return | 18.02% | 4.12% |
| Risk-Return Ratio | 0.08 | 0.04 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.57% | 0.33% |
| Avg. Loss | -0.72% | -0.34% |
| Win/Loss Ratio | 0.8 | 0.95 |
| Profit Ratio | 0.94 | 0.6 |
| Expected Daily | 0.07% | 0.01% |
| Expected Monthly | 1.27% | 0.28% |
| Expected Yearly | 8.57% | 1.86% |
| Kelly Criterion | -4.39% | 4.59% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.59% |
| Expected Shortfall (cVaR) | -1.72% | -0.79% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.11 |
| Gain/Pain (1M) | 2.6 | 0.55 |
| Payoff Ratio | 0.8 | 0.95 |
| Profit Factor | 1.25 | 1.11 |
| Common Sense Ratio | 1.24 | 1.3 |
| CPC Index | 0.54 | 0.56 |
| Tail Ratio | 0.99 | 1.17 |
| Outlier Win Ratio | 2.88 | 2.97 |
| Outlier Loss Ratio | 3.19 | 2.76 |
| MTD | 1.08% | 4.03% |
| 3M | 3.82% | 4.87% |
| 6M | 19.85% | 3.51% |
| YTD | 14.3% | 5.62% |
| 1Y | 17.87% | 3.76% |
| 3Y (ann.) | 18.02% | 3.79% |
| 5Y (ann.) | 18.02% | 3.79% |
| 10Y (ann.) | 18.02% | 3.79% |
| All-time (ann.) | 18.02% | 3.79% |
| Best Day | 2.91% | 1.18% |
| Worst Day | -2.7% | -1.1% |
| Best Month | 10.51% | 4.03% |
| Worst Month | -4.94% | -2.28% |
| Best Year | 14.3% | 5.62% |
| Worst Year | 3.13% | -1.76% |
| Avg. Drawdown | -1.71% | -1.45% |
| Avg. Drawdown Days | 13 | 34 |
| Recovery Factor | 1.94 | 0.69 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.16 | 0.1 |
| Avg. Up Month | 2.6% | 1.56% |
| Avg. Down Month | -2.28% | -1.07% |
| Win Days | 53.6% | 53.51% |
| Win Month | 76.92% | 53.85% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | -0.03 |
| Alpha | - | 0.04 |
| Correlation | - | -5.81% |
| Treynor Ratio | - | -143.34% |
| Year | SPY | QGMIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | -1.76 | -0.56 | - |
| 2026 | 14.30 | 5.62 | 0.39 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-12 | 2026-09-09 | -5.57 | 210 |
| 2025-11-04 | 2026-01-13 | -3.94 | 71 |
| 2025-09-25 | 2025-10-15 | -1.58 | 21 |
| 2026-01-30 | 2026-02-10 | -1.47 | 12 |
| 2025-10-17 | 2025-10-31 | -0.79 | 15 |
| 2026-01-20 | 2026-01-21 | -0.50 | 2 |
| 2026-09-16 | 2026-09-17 | -0.39 | 2 |
| 2026-01-15 | 2026-01-15 | -0.10 | 1 |
| 2026-09-11 | 2026-09-11 | -0.10 | 1 |
| 2026-09-21 | 2026-09-21 | -0.10 | 1 |