| Metric | SPY | QHFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 6.48% | 9.5% |
| CAGR﹪ | 13.27% | 19.74% |
| Sharpe | 0.78 | 0.91 |
| Prob. Sharpe Ratio | 70.87% | 73.84% |
| Smart Sharpe | 0.75 | 0.73 |
| Sortino | 1.14 | 1.3 |
| Smart Sortino | 1.09 | 1.05 |
| Sortino/√2 | 0.8 | 0.92 |
| Smart Sortino/√2 | 0.77 | 0.74 |
| Omega | 1.19 | 1.21 |
| Max Drawdown | -4.49% | -9.7% |
| Max DD Date | 2026-06-10 | 2026-11-03 |
| Max DD Period Start | 2026-06-03 | 2026-10-13 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 71 |
| Volatility (ann.) | 12.4% | 17.62% |
| R^2 | 0.48 | 0.48 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 2.95 | 2.04 |
| Skew | -0.15 | -0.2 |
| Kurtosis | 0.59 | 0.59 |
| Ulcer Performance Index | 3.89 | 2.38 |
| Risk-Adjusted Return | 13.27% | 20.35% |
| Risk-Return Ratio | 0.07 | 0.07 |
| Avg. Return | 0.06% | 0.08% |
| Avg. Win | 0.75% | 0.92% |
| Avg. Loss | -0.66% | -0.95% |
| Win/Loss Ratio | 1.13 | 0.96 |
| Profit Ratio | 1.15 | 0.66 |
| Expected Daily | 0.05% | 0.07% |
| Expected Monthly | 0.9% | 1.31% |
| Expected Yearly | 6.48% | 9.5% |
| Kelly Criterion | 6.52% | 10.54% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -1.75% |
| Expected Shortfall (cVaR) | -1.63% | -2.29% |
| Max Consecutive Wins | 4 | 5 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.19 | 0.21 |
| Gain/Pain (1M) | 3.26 | 0.79 |
| Payoff Ratio | 1.13 | 0.96 |
| Profit Factor | 1.19 | 1.21 |
| Common Sense Ratio | 1.47 | 1.12 |
| CPC Index | 0.68 | 0.65 |
| Tail Ratio | 1.23 | 0.93 |
| Outlier Win Ratio | 2.66 | 3.3 |
| Outlier Loss Ratio | 3.07 | 3.01 |
| MTD | 1.47% | -1.99% |
| 3M | 1.46% | 4.14% |
| 6M | 6.48% | 9.5% |
| YTD | 6.48% | 9.5% |
| 1Y | 6.48% | 9.5% |
| 3Y (ann.) | 13.27% | 19.74% |
| 5Y (ann.) | 13.27% | 19.74% |
| 10Y (ann.) | 13.27% | 19.74% |
| All-time (ann.) | 13.27% | 19.74% |
| Best Day | 1.8% | 3.13% |
| Worst Day | -2.58% | -3.11% |
| Best Month | 4.52% | 6.84% |
| Worst Month | -1.03% | -5.56% |
| Best Year | 6.48% | 9.5% |
| Worst Year | 6.48% | 9.5% |
| Avg. Drawdown | -1.57% | -2.21% |
| Avg. Drawdown Days | 17 | 11 |
| Recovery Factor | 1.48 | 1.02 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 0.91 | 0.32 |
| Avg. Up Month | 2.41% | 5.32% |
| Avg. Down Month | -0.97% | -5.28% |
| Win Days | 50.39% | 56.1% |
| Win Month | 57.14% | 57.14% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.98 |
| Alpha | - | 0.07 |
| Correlation | - | 69.07% |
| Treynor Ratio | - | 9.68% |
| Year | SPY | QHFIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 9.50 | 1.47 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-10-13 | 2026-11-04 | -9.70 | 23 |
| 2026-06-02 | 2026-08-11 | -9.19 | 71 |
| 2026-08-18 | 2026-09-01 | -2.63 | 15 |
| 2026-05-27 | 2026-05-27 | -1.02 | 1 |
| 2026-09-04 | 2026-09-09 | -0.86 | 6 |
| 2026-09-22 | 2026-09-24 | -0.82 | 3 |
| 2026-05-19 | 2026-05-22 | -0.68 | 4 |
| 2026-09-28 | 2026-09-30 | -0.52 | 3 |
| 2026-09-15 | 2026-09-16 | -0.46 | 2 |
| 2026-08-14 | 2026-08-14 | -0.24 | 1 |