| Metric | SPY | QHFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 29.19% | 32.6% |
| CAGR﹪ | 22.9% | 25.51% |
| Sharpe | 1.4 | 1.22 |
| Prob. Sharpe Ratio | 93.93% | 91.1% |
| Smart Sharpe | 1.34 | 1.17 |
| Sortino | 2.07 | 1.79 |
| Smart Sortino | 1.98 | 1.72 |
| Sortino/√2 | 1.46 | 1.27 |
| Smart Sortino/√2 | 1.4 | 1.21 |
| Omega | 1.34 | 1.28 |
| 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.) | 12.26% | 16.34% |
| R^2 | 0.53 | 0.53 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 2.58 | 1.84 |
| Skew | -0.18 | -0.16 |
| Kurtosis | 1.29 | 0.59 |
| Ulcer Performance Index | 15.03 | 6.66 |
| Risk-Adjusted Return | 22.9% | 27.13% |
| Risk-Return Ratio | 0.11 | 0.09 |
| Avg. Return | 0.08% | 0.1% |
| Avg. Win | 0.7% | 0.93% |
| Avg. Loss | -0.68% | -0.93% |
| Win/Loss Ratio | 1.03 | 1.01 |
| Profit Ratio | 0.95 | 0.6 |
| Expected Daily | 0.08% | 0.09% |
| Expected Monthly | 1.61% | 1.78% |
| Expected Yearly | 13.66% | 15.15% |
| Kelly Criterion | 9.79% | 13.92% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.19% | -1.6% |
| Expected Shortfall (cVaR) | -1.6% | -2.13% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.34 | 0.28 |
| Gain/Pain (1M) | 4.0 | 1.77 |
| Payoff Ratio | 1.03 | 1.01 |
| Profit Factor | 1.34 | 1.28 |
| Common Sense Ratio | 1.35 | 1.29 |
| CPC Index | 0.75 | 0.73 |
| Tail Ratio | 1.01 | 1.01 |
| Outlier Win Ratio | 2.9 | 3.49 |
| Outlier Loss Ratio | 3.22 | 3.28 |
| MTD | 1.08% | 6.16% |
| 3M | 3.82% | 11.24% |
| 6M | 19.85% | 24.16% |
| YTD | 14.3% | 12.09% |
| 1Y | 17.78% | 21.99% |
| 3Y (ann.) | 22.9% | 25.51% |
| 5Y (ann.) | 22.9% | 25.51% |
| 10Y (ann.) | 22.9% | 25.51% |
| All-time (ann.) | 22.9% | 25.51% |
| 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 | 14.3% | 18.3% |
| Worst Year | 13.03% | 12.09% |
| Avg. Drawdown | -1.35% | -2.45% |
| Avg. Drawdown Days | 10 | 17 |
| Recovery Factor | 2.99 | 2.16 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 1.98 | 0.58 |
| Avg. Up Month | 2.95% | 4.72% |
| Avg. Down Month | -2.28% | -4.52% |
| Win Days | 54.31% | 56.8% |
| Win Month | 81.25% | 62.5% |
| Win Quarter | 83.33% | 83.33% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.97 |
| Alpha | - | 0.03 |
| Correlation | - | 72.57% |
| Treynor Ratio | - | 33.71% |
| Year | SPY | QHFIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 13.03 | 18.30 | 1.40 | + |
| 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 |
| 2025-07-07 | 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 |
| 2025-12-12 | 2025-12-18 | -1.11 | 7 |