| Metric | SPY | QMFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 14.0% | 12.83% |
| CAGR﹪ | 14.24% | 13.05% |
| Sharpe | 0.81 | 0.68 |
| Prob. Sharpe Ratio | 78.94% | 74.93% |
| Smart Sharpe | 0.81 | 0.61 |
| Sortino | 1.19 | 0.97 |
| Smart Sortino | 1.18 | 0.86 |
| Sortino/√2 | 0.84 | 0.68 |
| Smart Sortino/√2 | 0.83 | 0.61 |
| Omega | 1.2 | 1.17 |
| Max Drawdown | -8.88% | -10.27% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-02-03 |
| Max DD Period End | 2026-04-13 | 2026-04-29 |
| Longest DD Days | 76 | 86 |
| Volatility (ann.) | 12.91% | 14.09% |
| R^2 | 0.77 | 0.77 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 1.6 | 1.27 |
| Skew | -0.02 | -0.19 |
| Kurtosis | 0.75 | 0.68 |
| Ulcer Performance Index | 6.48 | 3.88 |
| Risk-Adjusted Return | 14.24% | 13.74% |
| Risk-Return Ratio | 0.07 | 0.06 |
| Avg. Return | 0.07% | 0.06% |
| Avg. Win | 0.73% | 0.78% |
| Avg. Loss | -0.72% | -0.83% |
| Win/Loss Ratio | 1.02 | 0.94 |
| Profit Ratio | 1.02 | 0.63 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.01% | 0.93% |
| Expected Yearly | 6.77% | 6.22% |
| Kelly Criterion | 4.81% | 7.86% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.41% |
| Expected Shortfall (cVaR) | -1.66% | -1.86% |
| Max Consecutive Wins | 7 | 12 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.2 | 0.17 |
| Gain/Pain (1M) | 1.74 | 0.86 |
| Payoff Ratio | 1.02 | 0.94 |
| Profit Factor | 1.2 | 1.17 |
| Common Sense Ratio | 1.19 | 1.14 |
| CPC Index | 0.63 | 0.61 |
| Tail Ratio | 0.99 | 0.98 |
| Outlier Win Ratio | 2.83 | 3.69 |
| Outlier Loss Ratio | 2.99 | 3.03 |
| MTD | 1.47% | -0.39% |
| 3M | 1.46% | 2.09% |
| 6M | 6.94% | 7.72% |
| YTD | 13.33% | 10.72% |
| 1Y | 14.0% | 12.83% |
| 3Y (ann.) | 14.24% | 13.05% |
| 5Y (ann.) | 14.24% | 13.05% |
| 10Y (ann.) | 14.24% | 13.05% |
| All-time (ann.) | 14.24% | 13.05% |
| Best Day | 2.91% | 2.66% |
| Worst Day | -2.58% | -2.82% |
| Best Month | 10.51% | 9.41% |
| Worst Month | -4.94% | -6.7% |
| Best Year | 13.33% | 10.72% |
| Worst Year | 0.59% | 1.9% |
| Avg. Drawdown | -1.74% | -2.8% |
| Avg. Drawdown Days | 13 | 18 |
| Recovery Factor | 1.57 | 1.27 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.92 | 0.48 |
| Avg. Up Month | 3.47% | 3.86% |
| Avg. Down Month | -1.93% | -3.73% |
| Win Days | 52.02% | 55.32% |
| Win Month | 53.85% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.96 |
| Alpha | - | -0.0 |
| Correlation | - | 87.93% |
| Treynor Ratio | - | 13.37% |
| Year | SPY | QMFIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.59 | 1.90 | 3.21 | + |
| 2026 | 13.33 | 10.72 | 0.80 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-03 | 2026-04-29 | -10.27 | 86 |
| 2026-10-13 | 2026-11-04 | -7.52 | 23 |
| 2026-06-03 | 2026-08-12 | -6.72 | 71 |
| 2026-01-08 | 2026-01-30 | -4.62 | 23 |
| 2025-11-13 | 2025-12-09 | -4.48 | 27 |
| 2025-12-12 | 2025-12-19 | -2.06 | 8 |
| 2026-08-14 | 2026-09-01 | -1.94 | 19 |
| 2026-05-15 | 2026-05-22 | -1.37 | 8 |
| 2025-11-06 | 2025-11-07 | -1.24 | 2 |
| 2025-12-29 | 2026-01-05 | -1.12 | 8 |