| Metric | SPY | QHFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 17.87% | 21.54% |
| CAGR﹪ | 18.02% | 21.73% |
| Sharpe | 1.04 | 1.01 |
| Prob. Sharpe Ratio | 84.73% | 84.18% |
| Smart Sharpe | 1.01 | 0.92 |
| Sortino | 1.51 | 1.48 |
| Smart Sortino | 1.47 | 1.35 |
| Sortino/√2 | 1.07 | 1.04 |
| Smart Sortino/√2 | 1.04 | 0.95 |
| Omega | 1.25 | 1.23 |
| Max Drawdown | -8.88% | -13.85% |
| Max DD Date | 2026-03-30 | 2026-03-27 |
| Max DD Period Start | 2026-01-28 | 2026-01-08 |
| Max DD Period End | 2026-04-13 | 2026-05-29 |
| Longest DD Days | 76 | 142 |
| Volatility (ann.) | 12.99% | 16.94% |
| R^2 | 0.52 | 0.52 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 2.03 | 1.57 |
| Skew | -0.15 | -0.14 |
| Kurtosis | 1.05 | 0.38 |
| Ulcer Performance Index | 8.3 | 3.97 |
| Risk-Adjusted Return | 18.02% | 22.64% |
| Risk-Return Ratio | 0.08 | 0.08 |
| Avg. Return | 0.07% | 0.09% |
| Avg. Win | 0.73% | 0.96% |
| Avg. Loss | -0.76% | -0.99% |
| Win/Loss Ratio | 0.96 | 0.96 |
| Profit Ratio | 0.94 | 0.6 |
| Expected Daily | 0.07% | 0.08% |
| Expected Monthly | 1.27% | 1.51% |
| Expected Yearly | 8.57% | 10.25% |
| Kelly Criterion | 5.5% | 12.13% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.67% |
| Expected Shortfall (cVaR) | -1.72% | -2.15% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.25 | 0.23 |
| Gain/Pain (1M) | 2.6 | 1.32 |
| Payoff Ratio | 0.96 | 0.96 |
| Profit Factor | 1.25 | 1.23 |
| Common Sense Ratio | 1.24 | 1.27 |
| CPC Index | 0.65 | 0.67 |
| Tail Ratio | 0.99 | 1.04 |
| Outlier Win Ratio | 2.88 | 3.33 |
| Outlier Loss Ratio | 3.19 | 3.03 |
| MTD | 1.08% | 6.16% |
| 3M | 3.82% | 11.24% |
| 6M | 19.85% | 24.16% |
| YTD | 14.3% | 12.09% |
| 1Y | 17.87% | 21.54% |
| 3Y (ann.) | 18.02% | 21.73% |
| 5Y (ann.) | 18.02% | 21.73% |
| 10Y (ann.) | 18.02% | 21.73% |
| All-time (ann.) | 18.02% | 21.73% |
| Best Day | 2.91% | 3.13% |
| Worst Day | -2.7% | -3.11% |
| Best Month | 10.51% | 7.44% |
| Worst Month | -4.94% | -7.68% |
| Best Year | 14.3% | 12.09% |
| Worst Year | 3.13% | 8.43% |
| Avg. Drawdown | -1.71% | -3.1% |
| Avg. Drawdown Days | 13 | 22 |
| Recovery Factor | 1.94 | 1.51 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 1.16 | 0.37 |
| Avg. Up Month | 2.81% | 4.64% |
| Avg. Down Month | -2.28% | -4.52% |
| Win Days | 53.6% | 56.9% |
| Win Month | 76.92% | 61.54% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.94 |
| Alpha | - | 0.05 |
| Correlation | - | 71.96% |
| Treynor Ratio | - | 22.96% |
| Year | SPY | QHFIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 8.43 | 2.70 | + |
| 2026 | 14.30 | 12.09 | 0.85 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-08 | 2026-05-29 | -13.85 | 142 |
| 2026-06-02 | 2026-08-11 | -9.19 | 71 |
| 2025-11-13 | 2025-12-09 | -5.10 | 27 |
| 2025-10-02 | 2025-10-24 | -4.59 | 23 |
| 2026-08-18 | 2026-09-01 | -2.63 | 15 |
| 2025-11-04 | 2025-11-11 | -2.61 | 8 |
| 2025-12-29 | 2026-01-05 | -1.17 | 8 |
| 2025-12-12 | 2025-12-18 | -1.11 | 7 |
| 2026-09-04 | 2026-09-09 | -0.86 | 6 |
| 2026-09-22 | 2026-09-22 | -0.82 | 1 |