| Metric | SPY | QMFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 28.7% | 33.16% |
| CAGR﹪ | 22.85% | 26.31% |
| Sharpe | 1.4 | 1.5 |
| Prob. Sharpe Ratio | 93.73% | 94.9% |
| Smart Sharpe | 1.33 | 1.49 |
| Sortino | 2.06 | 2.21 |
| Smart Sortino | 1.97 | 2.2 |
| Sortino/√2 | 1.46 | 1.56 |
| Smart Sortino/√2 | 1.39 | 1.56 |
| Omega | 1.34 | 1.35 |
| 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.) | 12.3% | 13.43% |
| R^2 | 0.79 | 0.79 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 2.57 | 2.56 |
| Skew | -0.18 | -0.25 |
| Kurtosis | 1.28 | 1.26 |
| Ulcer Performance Index | 14.69 | 11.6 |
| Risk-Adjusted Return | 22.85% | 28.29% |
| Risk-Return Ratio | 0.11 | 0.11 |
| Avg. Return | 0.09% | 0.1% |
| Avg. Win | 0.7% | 0.78% |
| Avg. Loss | -0.67% | -0.74% |
| Win/Loss Ratio | 1.06 | 1.05 |
| Profit Ratio | 0.94 | 0.64 |
| Expected Daily | 0.08% | 0.09% |
| Expected Monthly | 1.59% | 1.81% |
| Expected Yearly | 13.45% | 15.4% |
| Kelly Criterion | 11.14% | 13.95% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.19% | -1.3% |
| Expected Shortfall (cVaR) | -1.62% | -1.87% |
| Max Consecutive Wins | 7 | 12 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.34 | 0.35 |
| Gain/Pain (1M) | 3.81 | 2.75 |
| Payoff Ratio | 1.06 | 1.05 |
| Profit Factor | 1.34 | 1.35 |
| Common Sense Ratio | 1.37 | 1.52 |
| CPC Index | 0.77 | 0.8 |
| Tail Ratio | 1.03 | 1.12 |
| Outlier Win Ratio | 2.9 | 3.72 |
| Outlier Loss Ratio | 3.22 | 3.35 |
| MTD | 1.08% | 3.98% |
| 3M | 3.82% | 7.17% |
| 6M | 19.85% | 23.93% |
| YTD | 14.3% | 16.04% |
| 1Y | 17.38% | 22.16% |
| 3Y (ann.) | 22.85% | 26.31% |
| 5Y (ann.) | 22.85% | 26.31% |
| 10Y (ann.) | 22.85% | 26.31% |
| All-time (ann.) | 22.85% | 26.31% |
| 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 | 12.6% | 14.76% |
| Avg. Drawdown | -1.33% | -1.79% |
| Avg. Drawdown Days | 10 | 12 |
| Recovery Factor | 2.95 | 2.9 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.92 | 1.31 |
| Avg. Up Month | 3.01% | 3.58% |
| Avg. Down Month | -2.28% | -3.62% |
| Win Days | 54.37% | 55.94% |
| Win Month | 75.0% | 75.0% |
| Win Quarter | 83.33% | 83.33% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.97 |
| Alpha | - | 0.04 |
| Correlation | - | 88.81% |
| Treynor Ratio | - | 34.18% |
| Year | SPY | QMFIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 12.60 | 14.76 | 1.17 | + |
| 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 |
| 2025-07-30 | 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 |
| 2026-05-15 | 2026-05-22 | -1.37 | 8 |