| Metric | SPY | QHFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 18.6% | 24.16% |
| CAGR﹪ | 40.67% | 54.15% |
| Sharpe | 2.32 | 2.3 |
| Prob. Sharpe Ratio | 95.04% | 94.72% |
| Smart Sharpe | 2.3 | 2.04 |
| Sortino | 3.78 | 3.64 |
| Smart Sortino | 3.75 | 3.22 |
| Sortino/√2 | 2.67 | 2.57 |
| Smart Sortino/√2 | 2.65 | 2.28 |
| Omega | 1.54 | 1.52 |
| Max Drawdown | -4.49% | -9.19% |
| Max DD Date | 2026-06-10 | 2026-07-02 |
| Max DD Period Start | 2026-06-03 | 2026-06-02 |
| Max DD Period End | 2026-07-31 | 2026-08-11 |
| Longest DD Days | 59 | 71 |
| Volatility (ann.) | 13.55% | 17.93% |
| R^2 | 0.44 | 0.44 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 9.05 | 5.89 |
| Skew | 0.1 | -0.06 |
| Kurtosis | 1.12 | 0.35 |
| Ulcer Performance Index | 11.86 | 6.71 |
| Risk-Adjusted Return | 40.67% | 55.83% |
| Risk-Return Ratio | 0.16 | 0.16 |
| Avg. Return | 0.15% | 0.19% |
| Avg. Win | 0.84% | 1.05% |
| Avg. Loss | -0.69% | -0.96% |
| Win/Loss Ratio | 1.21 | 1.09 |
| Profit Ratio | 1.12 | 0.62 |
| Expected Daily | 0.14% | 0.17% |
| Expected Monthly | 2.47% | 3.14% |
| Expected Yearly | 18.6% | 24.16% |
| Kelly Criterion | 15.94% | 22.35% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.68% |
| Expected Shortfall (cVaR) | -1.77% | -2.25% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.54 | 0.52 |
| Gain/Pain (1M) | 10.92 | 3.88 |
| Payoff Ratio | 1.21 | 1.09 |
| Profit Factor | 1.54 | 1.52 |
| Common Sense Ratio | 2.01 | 1.77 |
| CPC Index | 1.01 | 0.99 |
| Tail Ratio | 1.3 | 1.17 |
| Outlier Win Ratio | 3.21 | 3.07 |
| Outlier Loss Ratio | 3.16 | 2.84 |
| MTD | 1.08% | 6.16% |
| 3M | 3.82% | 11.24% |
| 6M | 18.6% | 24.16% |
| YTD | 18.6% | 24.16% |
| 1Y | 18.6% | 24.16% |
| 3Y (ann.) | 40.67% | 54.15% |
| 5Y (ann.) | 40.67% | 54.15% |
| 10Y (ann.) | 40.67% | 54.15% |
| All-time (ann.) | 40.67% | 54.15% |
| Best Day | 2.91% | 3.13% |
| Worst Day | -2.58% | -3.11% |
| Best Month | 10.51% | 7.44% |
| Worst Month | -1.03% | -5.0% |
| Best Year | 18.6% | 24.16% |
| Worst Year | 18.6% | 24.16% |
| Avg. Drawdown | -1.13% | -1.79% |
| Avg. Drawdown Days | 9 | 10 |
| Recovery Factor | 3.9 | 2.44 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 2.75 | 0.89 |
| Avg. Up Month | 3.91% | 5.71% |
| Avg. Down Month | -0.9% | -2.97% |
| Win Days | 53.97% | 59.5% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.88 |
| Alpha | - | 0.14 |
| Correlation | - | 66.13% |
| Treynor Ratio | - | 27.6% |
| Year | SPY | QHFIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 24.16 | 1.30 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-02 | 2026-08-11 | -9.19 | 71 |
| 2026-04-09 | 2026-04-27 | -3.27 | 19 |
| 2026-03-26 | 2026-03-31 | -3.26 | 6 |
| 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 | 2026-09-22 | -0.82 | 1 |
| 2026-05-19 | 2026-05-22 | -0.68 | 4 |
| 2026-04-07 | 2026-04-07 | -0.46 | 1 |
| 2026-09-15 | 2026-09-16 | -0.46 | 2 |