| Metric | SPY | QMHIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 15.01% | 32.53% |
| CAGR﹪ | 15.27% | 33.14% |
| Sharpe | 0.86 | 1.77 |
| Prob. Sharpe Ratio | 80.13% | 95.72% |
| Smart Sharpe | 0.82 | 1.69 |
| Sortino | 1.24 | 2.58 |
| Smart Sortino | 1.19 | 2.47 |
| Sortino/√2 | 0.87 | 1.83 |
| Smart Sortino/√2 | 0.84 | 1.75 |
| Omega | 1.21 | 1.38 |
| Max Drawdown | -9.78% | -8.78% |
| Max DD Date | 2026-03-30 | 2026-07-02 |
| Max DD Period Start | 2025-10-30 | 2026-06-04 |
| Max DD Period End | 2026-04-15 | 2026-09-03 |
| Longest DD Days | 168 | 92 |
| Volatility (ann.) | 12.93% | 14.56% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 1.56 | 3.77 |
| Skew | -0.15 | -0.35 |
| Kurtosis | 1.11 | 0.23 |
| Ulcer Performance Index | 5.71 | 11.76 |
| Risk-Adjusted Return | 15.27% | 34.16% |
| Risk-Return Ratio | 0.07 | 0.13 |
| Avg. Return | 0.06% | 0.12% |
| Avg. Win | 0.55% | 0.67% |
| Avg. Loss | -0.63% | -0.81% |
| Win/Loss Ratio | 0.87 | 0.83 |
| Profit Ratio | 0.94 | 0.55 |
| Expected Daily | 0.06% | 0.11% |
| Expected Monthly | 1.08% | 2.19% |
| Expected Yearly | 7.24% | 15.12% |
| Kelly Criterion | -0.56% | 12.06% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.39% |
| Expected Shortfall (cVaR) | -1.72% | -1.92% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.21 | 0.38 |
| Gain/Pain (1M) | 1.68 | 6.92 |
| Payoff Ratio | 0.87 | 0.83 |
| Profit Factor | 1.21 | 1.38 |
| Common Sense Ratio | 1.14 | 1.33 |
| CPC Index | 0.56 | 0.69 |
| Tail Ratio | 0.94 | 0.97 |
| Outlier Win Ratio | 2.92 | 3.08 |
| Outlier Loss Ratio | 3.2 | 2.91 |
| MTD | 1.08% | 6.02% |
| 3M | 3.82% | 8.28% |
| 6M | 19.85% | 8.19% |
| YTD | 14.3% | 23.45% |
| 1Y | 15.01% | 32.53% |
| 3Y (ann.) | 15.27% | 33.14% |
| 5Y (ann.) | 15.27% | 33.14% |
| 10Y (ann.) | 15.27% | 33.14% |
| All-time (ann.) | 15.27% | 33.14% |
| Best Day | 2.91% | 2.69% |
| Worst Day | -2.7% | -2.59% |
| Best Month | 10.51% | 6.9% |
| Worst Month | -4.94% | -3.54% |
| Best Year | 14.3% | 23.45% |
| Worst Year | 0.63% | 7.36% |
| Avg. Drawdown | -1.57% | -1.94% |
| Avg. Drawdown Days | 18 | 12 |
| Recovery Factor | 1.51 | 3.33 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 0.69 | 1.49 |
| Avg. Up Month | 2.34% | 3.3% |
| Avg. Down Month | -1.03% | -3.54% |
| Win Days | 53.23% | 60.0% |
| Win Month | 69.23% | 84.62% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.01 |
| Alpha | - | 0.3 |
| Correlation | - | 0.82% |
| Treynor Ratio | - | 3524.79% |
| Year | SPY | QMHIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.63 | 7.36 | 11.74 | + |
| 2026 | 14.30 | 23.45 | 1.64 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-04 | 2026-09-03 | -8.78 | 92 |
| 2026-04-08 | 2026-04-28 | -4.04 | 21 |
| 2026-05-14 | 2026-06-02 | -3.58 | 20 |
| 2025-11-13 | 2025-12-19 | -3.06 | 37 |
| 2026-01-30 | 2026-02-06 | -2.96 | 8 |
| 2025-10-03 | 2025-10-24 | -2.47 | 22 |
| 2026-09-16 | 2026-09-22 | -2.17 | 7 |
| 2026-02-26 | 2026-03-11 | -2.17 | 14 |
| 2026-02-12 | 2026-02-19 | -2.02 | 8 |
| 2026-04-30 | 2026-05-08 | -1.91 | 9 |