| Metric | SPY | QMFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 27.61% | 27.06% |
| CAGR﹪ | 19.8% | 19.42% |
| Sharpe | 1.21 | 1.09 |
| Prob. Sharpe Ratio | 91.86% | 89.37% |
| Smart Sharpe | 1.17 | 1.04 |
| Sortino | 1.77 | 1.56 |
| Smart Sortino | 1.71 | 1.49 |
| Sortino/√2 | 1.25 | 1.1 |
| Smart Sortino/√2 | 1.21 | 1.06 |
| Omega | 1.29 | 1.26 |
| 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.) | 12.21% | 13.47% |
| R^2 | 0.79 | 0.79 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 2.23 | 1.89 |
| Skew | -0.18 | -0.31 |
| Kurtosis | 1.22 | 1.26 |
| Ulcer Performance Index | 14.38 | 9.45 |
| Risk-Adjusted Return | 19.8% | 20.66% |
| Risk-Return Ratio | 0.1 | 0.09 |
| Avg. Return | 0.08% | 0.08% |
| Avg. Win | 0.69% | 0.76% |
| Avg. Loss | -0.66% | -0.75% |
| Win/Loss Ratio | 1.04 | 1.01 |
| Profit Ratio | 0.95 | 0.65 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.36% | 1.34% |
| Expected Yearly | 12.96% | 12.72% |
| Kelly Criterion | 9.57% | 10.71% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.19% | -1.32% |
| Expected Shortfall (cVaR) | -1.62% | -1.86% |
| Max Consecutive Wins | 7 | 12 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.29 | 0.26 |
| Gain/Pain (1M) | 3.17 | 1.65 |
| Payoff Ratio | 1.04 | 1.01 |
| Profit Factor | 1.29 | 1.26 |
| Common Sense Ratio | 1.27 | 1.27 |
| CPC Index | 0.73 | 0.7 |
| Tail Ratio | 0.98 | 1.01 |
| Outlier Win Ratio | 2.91 | 3.66 |
| Outlier Loss Ratio | 3.21 | 3.58 |
| MTD | 1.47% | -0.39% |
| 3M | 1.46% | 2.09% |
| 6M | 6.94% | 7.72% |
| YTD | 13.33% | 10.72% |
| 1Y | 13.04% | 11.74% |
| 3Y (ann.) | 19.8% | 19.42% |
| 5Y (ann.) | 19.8% | 19.42% |
| 10Y (ann.) | 19.8% | 19.42% |
| All-time (ann.) | 19.8% | 19.42% |
| 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 | 13.33% | 14.76% |
| Worst Year | 12.6% | 10.72% |
| Avg. Drawdown | -1.39% | -1.9% |
| Avg. Drawdown Days | 11 | 12 |
| Recovery Factor | 2.86 | 2.45 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.91 | 1.11 |
| Avg. Up Month | 3.2% | 3.54% |
| Avg. Down Month | -1.93% | -3.73% |
| Win Days | 53.82% | 55.21% |
| Win Month | 66.67% | 66.67% |
| Win Quarter | 85.71% | 71.43% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.98 |
| Alpha | - | 0.0 |
| Correlation | - | 88.62% |
| Treynor Ratio | - | 27.67% |
| Year | SPY | QMFIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 12.60 | 14.76 | 1.17 | + |
| 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 | 2025-12-04 | -4.48 | 22 |
| 2025-10-02 | 2025-10-23 | -3.97 | 22 |
| 2025-07-30 | 2025-08-05 | -2.92 | 7 |
| 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 |