| Metric | SPY | QMFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 17.47% | 22.05% |
| CAGR﹪ | 17.77% | 22.44% |
| Sharpe | 1.02 | 1.23 |
| Prob. Sharpe Ratio | 84.19% | 88.63% |
| Smart Sharpe | 0.99 | 1.18 |
| Sortino | 1.48 | 1.79 |
| Smart Sortino | 1.44 | 1.72 |
| Sortino/√2 | 1.05 | 1.27 |
| Smart Sortino/√2 | 1.02 | 1.21 |
| Omega | 1.24 | 1.29 |
| 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.) | 13.04% | 14.05% |
| R^2 | 0.79 | 0.79 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 2.0 | 2.18 |
| Skew | -0.15 | -0.24 |
| Kurtosis | 1.02 | 1.02 |
| Ulcer Performance Index | 8.08 | 6.94 |
| Risk-Adjusted Return | 17.77% | 24.13% |
| Risk-Return Ratio | 0.08 | 0.1 |
| Avg. Return | 0.08% | 0.09% |
| Avg. Win | 0.73% | 0.8% |
| Avg. Loss | -0.74% | -0.82% |
| Win/Loss Ratio | 0.99 | 0.98 |
| Profit Ratio | 0.93 | 0.59 |
| Expected Daily | 0.06% | 0.08% |
| Expected Monthly | 1.25% | 1.54% |
| Expected Yearly | 8.38% | 10.48% |
| Kelly Criterion | 6.6% | 12.19% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.37% |
| Expected Shortfall (cVaR) | -1.72% | -1.92% |
| Max Consecutive Wins | 7 | 12 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.24 | 0.29 |
| Gain/Pain (1M) | 2.47 | 1.93 |
| Payoff Ratio | 0.99 | 0.98 |
| Profit Factor | 1.24 | 1.29 |
| Common Sense Ratio | 1.24 | 1.35 |
| CPC Index | 0.66 | 0.71 |
| Tail Ratio | 0.99 | 1.05 |
| Outlier Win Ratio | 2.87 | 3.68 |
| Outlier Loss Ratio | 3.17 | 3.08 |
| MTD | 1.08% | 3.98% |
| 3M | 3.82% | 7.17% |
| 6M | 19.85% | 23.93% |
| YTD | 14.3% | 16.04% |
| 1Y | 17.47% | 22.05% |
| 3Y (ann.) | 17.77% | 22.44% |
| 5Y (ann.) | 17.77% | 22.44% |
| 10Y (ann.) | 17.77% | 22.44% |
| All-time (ann.) | 17.77% | 22.44% |
| Best Day | 2.91% | 2.66% |
| Worst Day | -2.7% | -3.1% |
| Best Month | 10.51% | 9.41% |
| Worst Month | -4.94% | -6.7% |
| Best Year | 14.3% | 16.04% |
| Worst Year | 2.77% | 5.18% |
| Avg. Drawdown | -1.71% | -2.48% |
| Avg. Drawdown Days | 13 | 17 |
| Recovery Factor | 1.91 | 2.03 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.14 | 0.8 |
| Avg. Up Month | 2.98% | 3.8% |
| Avg. Down Month | -2.28% | -3.62% |
| Win Days | 53.63% | 56.52% |
| Win Month | 69.23% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.96 |
| Alpha | - | 0.05 |
| Correlation | - | 88.74% |
| Treynor Ratio | - | 23.06% |
| Year | SPY | QMFIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 2.77 | 5.18 | 1.87 | + |
| 2026 | 14.30 | 16.04 | 1.12 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-03 | 2026-04-29 | -10.27 | 86 |
| 2026-06-03 | 2026-08-12 | -6.72 | 71 |
| 2026-01-08 | 2026-01-30 | -4.62 | 23 |
| 2025-11-13 | 2025-12-04 | -4.48 | 22 |
| 2025-10-02 | 2025-10-23 | -3.97 | 22 |
| 2025-11-04 | 2025-11-11 | -2.20 | 8 |
| 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 |
| 2025-12-29 | 2026-01-05 | -1.12 | 8 |