| Metric | SPY | QMHIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 70.75% | 130.23% |
| CAGR﹪ | 11.38% | 18.29% |
| Sharpe | 0.49 | 0.84 |
| Prob. Sharpe Ratio | 86.27% | 96.83% |
| Smart Sharpe | 0.47 | 0.84 |
| Sortino | 0.7 | 1.19 |
| Smart Sortino | 0.68 | 1.18 |
| Sortino/√2 | 0.5 | 0.84 |
| Smart Sortino/√2 | 0.48 | 0.84 |
| Omega | 1.14 | 1.21 |
| Max Drawdown | -24.5% | -19.06% |
| Max DD Date | 2022-10-12 | 2024-08-05 |
| Max DD Period Start | 2022-01-04 | 2024-04-29 |
| Max DD Period End | 2023-12-12 | 2025-09-08 |
| Longest DD Days | 708 | 498 |
| Volatility (ann.) | 17.19% | 17.08% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.46 | 0.96 |
| Skew | 0.33 | -0.3 |
| Kurtosis | 9.01 | 11.59 |
| Ulcer Performance Index | 8.33 | 17.8 |
| Risk-Adjusted Return | 11.38% | 19.25% |
| Risk-Return Ratio | 0.04 | 0.07 |
| Avg. Return | 0.05% | 0.08% |
| Avg. Win | 0.65% | 0.72% |
| Avg. Loss | -0.74% | -0.82% |
| Win/Loss Ratio | 0.87 | 0.88 |
| Profit Ratio | 0.86 | 0.58 |
| Expected Daily | 0.04% | 0.07% |
| Expected Monthly | 0.88% | 1.38% |
| Expected Yearly | 9.33% | 14.91% |
| Kelly Criterion | 0.0% | 7.29% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.7% |
| Expected Shortfall (cVaR) | -2.58% | -2.72% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.21 |
| Gain/Pain (1M) | 0.74 | 1.14 |
| Payoff Ratio | 0.87 | 0.88 |
| Profit Factor | 1.14 | 1.21 |
| Common Sense Ratio | 1.14 | 1.22 |
| CPC Index | 0.53 | 0.6 |
| Tail Ratio | 1.01 | 1.01 |
| Outlier Win Ratio | 3.41 | 3.27 |
| Outlier Loss Ratio | 3.8 | 3.38 |
| MTD | 1.47% | -3.06% |
| 3M | 1.46% | 3.55% |
| 6M | 6.94% | 0.09% |
| YTD | 13.33% | 15.63% |
| 1Y | 10.68% | 19.03% |
| 3Y (ann.) | 19.83% | 16.4% |
| 5Y (ann.) | 12.32% | 19.29% |
| 10Y (ann.) | 11.38% | 18.29% |
| All-time (ann.) | 11.38% | 18.29% |
| Best Day | 10.5% | 10.0% |
| Worst Day | -5.85% | -9.13% |
| Best Month | 10.51% | 12.75% |
| Worst Month | -9.24% | -8.85% |
| Best Year | 26.18% | 50.0% |
| Worst Year | -18.18% | -1.78% |
| Avg. Drawdown | -1.92% | -3.18% |
| Avg. Drawdown Days | 23 | 31 |
| Recovery Factor | 2.48 | 4.76 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 0.41 | 0.9 |
| Avg. Up Month | 3.07% | 4.23% |
| Avg. Down Month | -1.29% | -3.41% |
| Win Days | 53.4% | 56.67% |
| Win Month | 60.66% | 60.66% |
| Win Quarter | 71.43% | 57.14% |
| Win Year | 83.33% | 66.67% |
| Beta | - | -0.14 |
| Alpha | - | 0.2 |
| Correlation | - | -13.81% |
| Treynor Ratio | - | -948.97% |
| Year | SPY | QMHIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -1.78 | -1.03 | - |
| 2022 | -18.18 | 50.00 | -2.75 | + |
| 2023 | 26.18 | -0.19 | -0.01 | - |
| 2024 | 24.89 | 10.79 | 0.43 | - |
| 2025 | 14.87 | 22.22 | 1.49 | + |
| 2026 | 13.33 | 15.63 | 1.17 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-29 | 2025-09-08 | -19.06 | 498 |
| 2022-10-21 | 2024-02-22 | -17.14 | 490 |
| 2022-06-15 | 2022-09-22 | -13.08 | 100 |
| 2021-12-27 | 2022-01-26 | -9.28 | 31 |
| 2026-09-25 | 2026-11-04 | -8.95 | 41 |
| 2026-06-04 | 2026-09-03 | -8.78 | 92 |
| 2022-09-28 | 2022-10-13 | -5.60 | 16 |
| 2021-11-24 | 2021-12-22 | -5.43 | 29 |
| 2022-05-09 | 2022-06-03 | -5.17 | 26 |
| 2022-02-15 | 2022-03-02 | -5.01 | 16 |