| Metric | SPY | QGMIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 74.99% | 40.0% |
| CAGR﹪ | 11.91% | 7.0% |
| Sharpe | 0.52 | 0.35 |
| Prob. Sharpe Ratio | 87.6% | 78.07% |
| Smart Sharpe | 0.5 | 0.31 |
| Sortino | 0.74 | 0.49 |
| Smart Sortino | 0.72 | 0.44 |
| Sortino/√2 | 0.53 | 0.35 |
| Smart Sortino/√2 | 0.51 | 0.31 |
| Omega | 1.14 | 1.14 |
| 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.) | 17.19% | 9.69% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.49 | 0.52 |
| Skew | 0.33 | -0.15 |
| Kurtosis | 8.98 | 5.52 |
| Ulcer Performance Index | 8.86 | 7.12 |
| Risk-Adjusted Return | 11.91% | 7.53% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.63% | 0.41% |
| Avg. Loss | -0.7% | -0.53% |
| Win/Loss Ratio | 0.89 | 0.77 |
| Profit Ratio | 0.86 | 0.65 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.92% | 0.55% |
| Expected Yearly | 9.77% | 5.77% |
| Kelly Criterion | 1.42% | -7.09% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.98% |
| Expected Shortfall (cVaR) | -2.58% | -1.48% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.14 | 0.14 |
| Gain/Pain (1M) | 0.79 | 0.75 |
| Payoff Ratio | 0.89 | 0.77 |
| Profit Factor | 1.14 | 1.14 |
| Common Sense Ratio | 1.15 | 1.2 |
| CPC Index | 0.55 | 0.47 |
| Tail Ratio | 1.0 | 1.05 |
| Outlier Win Ratio | 3.4 | 3.68 |
| Outlier Loss Ratio | 3.8 | 3.31 |
| MTD | 1.47% | -1.15% |
| 3M | 1.46% | 5.64% |
| 6M | 6.94% | 3.41% |
| YTD | 13.33% | 5.32% |
| 1Y | 13.43% | 3.05% |
| 3Y (ann.) | 20.78% | 3.83% |
| 5Y (ann.) | 12.86% | 7.38% |
| 10Y (ann.) | 11.91% | 7.0% |
| All-time (ann.) | 11.91% | 7.0% |
| 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% | -0.95% |
| Avg. Drawdown | -1.94% | -2.19% |
| Avg. Drawdown Days | 21 | 50 |
| Recovery Factor | 2.58 | 2.67 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 0.43 | 0.35 |
| Avg. Up Month | 4.33% | 1.68% |
| Avg. Down Month | -1.89% | -1.75% |
| Win Days | 53.48% | 53.38% |
| Win Month | 62.3% | 57.38% |
| Win Quarter | 71.43% | 57.14% |
| Win Year | 83.33% | 50.0% |
| Beta | - | -0.14 |
| Alpha | - | 0.09 |
| Correlation | - | -23.99% |
| Treynor Ratio | - | -295.69% |
| Year | SPY | QGMIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -0.16 | -0.09 | - |
| 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 | 13.33 | 5.32 | 0.40 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-11 | 2026-09-09 | -13.48 | 882 |
| 2023-03-08 | 2024-03-27 | -10.15 | 386 |
| 2022-11-07 | 2023-02-17 | -7.20 | 103 |
| 2022-06-14 | 2022-08-19 | -4.16 | 67 |
| 2022-02-15 | 2022-03-04 | -3.90 | 18 |
| 2021-11-12 | 2022-01-04 | -3.76 | 54 |
| 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 |
| 2022-01-07 | 2022-01-26 | -2.48 | 20 |