| Metric | SPY | QHFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 14.39% | 8.35% |
| CAGR﹪ | 14.51% | 8.42% |
| Sharpe | 0.83 | 0.34 |
| Prob. Sharpe Ratio | 79.61% | 63.34% |
| Smart Sharpe | 0.82 | 0.3 |
| Sortino | 1.22 | 0.48 |
| Smart Sortino | 1.2 | 0.42 |
| Sortino/√2 | 0.86 | 0.34 |
| Smart Sortino/√2 | 0.85 | 0.3 |
| Omega | 1.2 | 1.1 |
| 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.) | 12.86% | 17.12% |
| R^2 | 0.5 | 0.5 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 1.63 | 0.61 |
| Skew | -0.02 | -0.12 |
| Kurtosis | 0.78 | 0.27 |
| Ulcer Performance Index | 6.68 | 1.5 |
| Risk-Adjusted Return | 14.51% | 8.77% |
| Risk-Return Ratio | 0.07 | 0.04 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.74% | 0.93% |
| Avg. Loss | -0.73% | -1.03% |
| Win/Loss Ratio | 1.01 | 0.9 |
| Profit Ratio | 1.02 | 0.59 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.04% | 0.62% |
| Expected Yearly | 6.95% | 4.09% |
| Kelly Criterion | 4.26% | 6.21% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.74% |
| Expected Shortfall (cVaR) | -1.66% | -2.18% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.2 | 0.1 |
| Gain/Pain (1M) | 1.83 | 0.4 |
| Payoff Ratio | 1.01 | 0.9 |
| Profit Factor | 1.2 | 1.1 |
| Common Sense Ratio | 1.19 | 1.07 |
| CPC Index | 0.63 | 0.55 |
| Tail Ratio | 0.99 | 0.97 |
| Outlier Win Ratio | 2.84 | 3.42 |
| Outlier Loss Ratio | 3.01 | 2.86 |
| MTD | 1.47% | -1.99% |
| 3M | 1.46% | 4.14% |
| 6M | 6.94% | 9.99% |
| YTD | 13.33% | 4.23% |
| 1Y | 14.39% | 8.35% |
| 3Y (ann.) | 14.51% | 8.42% |
| 5Y (ann.) | 14.51% | 8.42% |
| 10Y (ann.) | 14.51% | 8.42% |
| All-time (ann.) | 14.51% | 8.42% |
| Best Day | 2.91% | 3.13% |
| Worst Day | -2.58% | -3.11% |
| Best Month | 10.51% | 7.44% |
| Worst Month | -4.94% | -7.68% |
| Best Year | 13.33% | 4.23% |
| Worst Year | 0.94% | 3.95% |
| Avg. Drawdown | -1.74% | -3.38% |
| Avg. Drawdown Days | 14 | 22 |
| Recovery Factor | 1.61 | 0.68 |
| Ulcer Index | 0.02 | 0.06 |
| Serenity Index | 0.94 | 0.16 |
| Avg. Up Month | 3.71% | 5.4% |
| Avg. Down Month | -1.93% | -4.78% |
| Win Days | 52.0% | 55.65% |
| Win Month | 61.54% | 46.15% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.94 |
| Alpha | - | -0.04 |
| Correlation | - | 70.92% |
| Treynor Ratio | - | 8.84% |
| Year | SPY | QHFIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 3.95 | 4.22 | + |
| 2026 | 13.33 | 4.23 | 0.32 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-08 | 2026-05-29 | -13.85 | 142 |
| 2026-10-13 | 2026-11-04 | -9.70 | 23 |
| 2026-06-02 | 2026-08-11 | -9.19 | 71 |
| 2025-11-13 | 2025-12-09 | -5.10 | 27 |
| 2026-08-18 | 2026-09-01 | -2.63 | 15 |
| 2025-11-06 | 2025-11-07 | -1.49 | 2 |
| 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 | 2026-09-23 | -0.82 | 2 |