| Metric | SPY | QGMIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 86.58% | 34.25% |
| CAGR﹪ | 13.36% | 6.1% |
| Sharpe | 0.59 | 0.27 |
| Prob. Sharpe Ratio | 90.85% | 72.35% |
| Smart Sharpe | 0.58 | 0.24 |
| Sortino | 0.86 | 0.37 |
| Smart Sortino | 0.83 | 0.34 |
| Sortino/√2 | 0.61 | 0.26 |
| Smart Sortino/√2 | 0.59 | 0.24 |
| Omega | 1.16 | 1.12 |
| Max Drawdown | -24.5% | -13.48% |
| Max DD Date | 2022-10-12 | 2024-08-05 |
| Max DD Period Start | 2022-01-04 | 2024-04-11 |
| Max DD Period End | 2023-12-12 | 2026-09-09 |
| Longest DD Days | 708 | 882 |
| Volatility (ann.) | 17.2% | 9.78% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.55 | 0.45 |
| Skew | 0.32 | -0.16 |
| Kurtosis | 8.95 | 5.31 |
| Ulcer Performance Index | 10.24 | 6.02 |
| Risk-Adjusted Return | 13.36% | 6.56% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.63% | 0.41% |
| Avg. Loss | -0.71% | -0.53% |
| Win/Loss Ratio | 0.89 | 0.77 |
| Profit Ratio | 0.83 | 0.64 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.48% |
| Expected Yearly | 10.95% | 5.03% |
| Kelly Criterion | 2.11% | -7.81% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.99% |
| Expected Shortfall (cVaR) | -2.58% | -1.48% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.12 |
| Gain/Pain (1M) | 0.87 | 0.62 |
| Payoff Ratio | 0.89 | 0.77 |
| Profit Factor | 1.16 | 1.12 |
| Common Sense Ratio | 1.17 | 1.15 |
| CPC Index | 0.55 | 0.46 |
| Tail Ratio | 1.01 | 1.02 |
| Outlier Win Ratio | 3.41 | 3.67 |
| Outlier Loss Ratio | 3.77 | 3.26 |
| MTD | 1.08% | 4.03% |
| 3M | 3.82% | 4.87% |
| 6M | 19.85% | 3.51% |
| YTD | 14.3% | 5.62% |
| 1Y | 17.78% | 4.17% |
| 3Y (ann.) | 24.86% | 3.75% |
| 5Y (ann.) | 13.06% | 6.25% |
| 10Y (ann.) | 13.36% | 6.1% |
| All-time (ann.) | 13.36% | 6.1% |
| Best Day | 10.5% | 4.45% |
| Worst Day | -5.85% | -3.49% |
| Best Month | 10.51% | 6.68% |
| Worst Month | -9.24% | -7.12% |
| Best Year | 26.18% | 29.28% |
| Worst Year | -18.18% | -4.54% |
| Avg. Drawdown | -1.89% | -2.75% |
| Avg. Drawdown Days | 20 | 66 |
| Recovery Factor | 2.85 | 2.36 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 0.47 | 0.31 |
| Avg. Up Month | 4.17% | 1.79% |
| Avg. Down Month | -1.82% | -1.97% |
| Win Days | 54.04% | 53.25% |
| Win Month | 63.93% | 55.74% |
| Win Quarter | 66.67% | 57.14% |
| Win Year | 83.33% | 50.0% |
| Beta | - | -0.13 |
| Alpha | - | 0.08 |
| Correlation | - | -23.64% |
| Treynor Ratio | - | -254.84% |
| Year | SPY | QGMIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -4.54 | -0.60 | - |
| 2022 | -18.18 | 29.28 | -1.61 | + |
| 2023 | 26.18 | -0.02 | -0.00 | - |
| 2024 | 24.89 | -0.95 | -0.04 | - |
| 2025 | 17.72 | 4.00 | 0.23 | - |
| 2026 | 14.30 | 5.62 | 0.39 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-11 | 2026-09-09 | -13.48 | 882 |
| 2023-03-02 | 2024-03-27 | -10.15 | 392 |
| 2022-11-07 | 2023-02-17 | -7.20 | 103 |
| 2021-10-21 | 2022-02-09 | -6.87 | 112 |
| 2022-06-14 | 2022-08-19 | -4.16 | 67 |
| 2022-02-15 | 2022-03-04 | -3.90 | 18 |
| 2022-04-22 | 2022-06-09 | -3.56 | 49 |
| 2022-10-21 | 2022-11-02 | -3.42 | 13 |
| 2022-03-15 | 2022-03-24 | -2.96 | 10 |
| 2022-03-28 | 2022-04-14 | -2.36 | 18 |