| Metric | SPY | QMHIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 11.62% | 19.99% |
| CAGR﹪ | 11.82% | 20.34% |
| Sharpe | 0.65 | 1.11 |
| Prob. Sharpe Ratio | 74.04% | 86.2% |
| Smart Sharpe | 0.65 | 1.08 |
| Sortino | 0.94 | 1.61 |
| Smart Sortino | 0.94 | 1.57 |
| Sortino/√2 | 0.67 | 1.14 |
| Smart Sortino/√2 | 0.66 | 1.11 |
| Omega | 1.17 | 1.24 |
| Max Drawdown | -9.25% | -8.95% |
| Max DD Date | 2026-03-30 | 2026-11-04 |
| Max DD Period Start | 2025-11-13 | 2026-09-25 |
| Max DD Period End | 2026-04-14 | 2026-11-04 |
| Longest DD Days | 153 | 92 |
| Volatility (ann.) | 12.8% | 14.37% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 1.28 | 2.27 |
| Skew | -0.02 | -0.18 |
| Kurtosis | 0.84 | 0.13 |
| Ulcer Performance Index | 4.86 | 6.71 |
| Risk-Adjusted Return | 11.82% | 20.97% |
| Risk-Return Ratio | 0.06 | 0.09 |
| Avg. Return | 0.06% | 0.08% |
| Avg. Win | 0.55% | 0.65% |
| Avg. Loss | -0.63% | -0.78% |
| Win/Loss Ratio | 0.86 | 0.84 |
| Profit Ratio | 1.03 | 0.65 |
| Expected Daily | 0.04% | 0.07% |
| Expected Monthly | 0.85% | 1.41% |
| Expected Yearly | 5.65% | 9.54% |
| Kelly Criterion | -4.52% | 4.47% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.41% |
| Expected Shortfall (cVaR) | -1.66% | -1.88% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.17 | 0.24 |
| Gain/Pain (1M) | 1.27 | 1.51 |
| Payoff Ratio | 0.86 | 0.84 |
| Profit Factor | 1.17 | 1.24 |
| Common Sense Ratio | 1.09 | 1.27 |
| CPC Index | 0.52 | 0.59 |
| Tail Ratio | 0.94 | 1.02 |
| Outlier Win Ratio | 2.88 | 3.12 |
| Outlier Loss Ratio | 3.01 | 2.94 |
| MTD | 1.47% | -3.06% |
| 3M | 1.46% | 3.55% |
| 6M | 6.94% | 0.09% |
| YTD | 13.33% | 15.63% |
| 1Y | 11.62% | 19.99% |
| 3Y (ann.) | 11.82% | 20.34% |
| 5Y (ann.) | 11.82% | 20.34% |
| 10Y (ann.) | 11.82% | 20.34% |
| All-time (ann.) | 11.82% | 20.34% |
| Best Day | 2.91% | 2.69% |
| Worst Day | -2.58% | -2.59% |
| Best Month | 10.51% | 8.2% |
| Worst Month | -4.94% | -5.32% |
| Best Year | 13.33% | 15.63% |
| Worst Year | -1.51% | 3.77% |
| Avg. Drawdown | -1.77% | -2.66% |
| Avg. Drawdown Days | 21 | 16 |
| Recovery Factor | 1.28 | 2.15 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.66 | 0.86 |
| Avg. Up Month | 2.95% | 3.47% |
| Avg. Down Month | -0.97% | -4.43% |
| Win Days | 51.61% | 56.49% |
| Win Month | 53.85% | 69.23% |
| Win Quarter | 60.0% | 60.0% |
| Win Year | 50.0% | 100.0% |
| Beta | - | -0.09 |
| Alpha | - | 0.21 |
| Correlation | - | -8.1% |
| Treynor Ratio | - | -219.76% |
| Year | SPY | QMHIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | -1.51 | 3.77 | -2.50 | + |
| 2026 | 13.33 | 15.63 | 1.17 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-25 | 2026-11-04 | -8.95 | 41 |
| 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 |
| 2026-09-16 | 2026-09-23 | -2.17 | 8 |
| 2026-02-26 | 2026-03-17 | -2.17 | 20 |
| 2026-02-12 | 2026-02-19 | -2.02 | 8 |
| 2026-04-30 | 2026-05-08 | -1.91 | 9 |