| Metric | SPY | QHFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 28.09% | 23.3% |
| CAGR﹪ | 19.88% | 16.58% |
| Sharpe | 1.22 | 0.78 |
| Prob. Sharpe Ratio | 92.11% | 81.61% |
| Smart Sharpe | 1.18 | 0.72 |
| Sortino | 1.78 | 1.11 |
| Smart Sortino | 1.72 | 1.03 |
| Sortino/√2 | 1.26 | 0.78 |
| Smart Sortino/√2 | 1.22 | 0.73 |
| Omega | 1.29 | 1.19 |
| 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.) | 12.17% | 16.28% |
| R^2 | 0.53 | 0.53 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 2.24 | 1.2 |
| Skew | -0.18 | -0.21 |
| Kurtosis | 1.22 | 0.64 |
| Ulcer Performance Index | 14.71 | 4.84 |
| Risk-Adjusted Return | 19.88% | 17.46% |
| Risk-Return Ratio | 0.1 | 0.06 |
| Avg. Return | 0.08% | 0.07% |
| Avg. Win | 0.69% | 0.9% |
| Avg. Loss | -0.68% | -0.95% |
| Win/Loss Ratio | 1.02 | 0.95 |
| Profit Ratio | 0.96 | 0.59 |
| Expected Daily | 0.07% | 0.06% |
| Expected Monthly | 1.38% | 1.17% |
| Expected Yearly | 13.18% | 11.04% |
| Kelly Criterion | 8.4% | 9.98% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.19% | -1.62% |
| Expected Shortfall (cVaR) | -1.62% | -2.17% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.29 | 0.19 |
| Gain/Pain (1M) | 3.32 | 0.93 |
| Payoff Ratio | 1.02 | 0.95 |
| Profit Factor | 1.29 | 1.19 |
| Common Sense Ratio | 1.26 | 1.16 |
| CPC Index | 0.71 | 0.63 |
| Tail Ratio | 0.97 | 0.97 |
| Outlier Win Ratio | 2.9 | 3.57 |
| Outlier Loss Ratio | 3.22 | 3.22 |
| MTD | 1.47% | -1.99% |
| 3M | 1.46% | 4.14% |
| 6M | 6.94% | 9.99% |
| YTD | 13.33% | 4.23% |
| 1Y | 13.43% | 7.12% |
| 3Y (ann.) | 19.88% | 16.58% |
| 5Y (ann.) | 19.88% | 16.58% |
| 10Y (ann.) | 19.88% | 16.58% |
| All-time (ann.) | 19.88% | 16.58% |
| Best Day | 2.91% | 3.13% |
| Worst Day | -2.7% | -3.11% |
| Best Month | 10.51% | 7.78% |
| Worst Month | -4.94% | -7.68% |
| Best Year | 13.33% | 18.3% |
| Worst Year | 13.03% | 4.23% |
| Avg. Drawdown | -1.41% | -2.57% |
| Avg. Drawdown Days | 11 | 16 |
| Recovery Factor | 2.9 | 1.64 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 1.94 | 0.45 |
| Avg. Up Month | 3.15% | 4.56% |
| Avg. Down Month | -1.93% | -4.78% |
| Win Days | 53.78% | 56.17% |
| Win Month | 72.22% | 55.56% |
| Win Quarter | 85.71% | 71.43% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.97 |
| Alpha | - | -0.02 |
| Correlation | - | 72.51% |
| Treynor Ratio | - | 24.02% |
| Year | SPY | QHFIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 13.03 | 18.30 | 1.40 | + |
| 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 |
| 2025-07-07 | 2025-08-12 | -4.89 | 37 |
| 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 |
| 2025-08-15 | 2025-08-21 | -1.36 | 7 |
| 2025-12-29 | 2026-01-05 | -1.17 | 8 |