| Metric | SPY | QMHIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 82.06% | 144.36% |
| CAGR﹪ | 12.83% | 19.72% |
| Sharpe | 0.57 | 0.91 |
| Prob. Sharpe Ratio | 89.78% | 97.76% |
| Smart Sharpe | 0.55 | 0.91 |
| Sortino | 0.82 | 1.28 |
| Smart Sortino | 0.79 | 1.28 |
| Sortino/√2 | 0.58 | 0.91 |
| Smart Sortino/√2 | 0.56 | 0.91 |
| Omega | 1.15 | 1.22 |
| 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.) | 17.2% | 17.19% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.52 | 1.03 |
| Skew | 0.32 | -0.32 |
| Kurtosis | 8.97 | 11.3 |
| Ulcer Performance Index | 9.66 | 19.54 |
| Risk-Adjusted Return | 12.83% | 20.76% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.06% | 0.08% |
| Avg. Win | 0.65% | 0.72% |
| Avg. Loss | -0.74% | -0.82% |
| Win/Loss Ratio | 0.88 | 0.88 |
| Profit Ratio | 0.83 | 0.57 |
| Expected Daily | 0.05% | 0.07% |
| Expected Monthly | 0.99% | 1.48% |
| Expected Yearly | 10.5% | 16.06% |
| Kelly Criterion | 1.66% | 8.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.7% |
| Expected Shortfall (cVaR) | -2.58% | -2.73% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.15 | 0.22 |
| Gain/Pain (1M) | 0.82 | 1.25 |
| Payoff Ratio | 0.88 | 0.88 |
| Profit Factor | 1.15 | 1.22 |
| Common Sense Ratio | 1.17 | 1.23 |
| CPC Index | 0.55 | 0.61 |
| Tail Ratio | 1.01 | 1.01 |
| Outlier Win Ratio | 3.42 | 3.24 |
| Outlier Loss Ratio | 3.77 | 3.35 |
| MTD | 1.08% | 6.02% |
| 3M | 3.82% | 8.28% |
| 6M | 19.85% | 8.19% |
| YTD | 14.3% | 23.45% |
| 1Y | 14.93% | 33.37% |
| 3Y (ann.) | 23.88% | 15.81% |
| 5Y (ann.) | 12.51% | 18.42% |
| 10Y (ann.) | 12.83% | 19.72% |
| All-time (ann.) | 12.83% | 19.72% |
| 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% | -2.35% |
| Avg. Drawdown | -1.87% | -3.07% |
| Avg. Drawdown Days | 22 | 32 |
| Recovery Factor | 2.75 | 5.08 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 0.45 | 0.95 |
| Avg. Up Month | 3.17% | 4.39% |
| Avg. Down Month | -0.9% | -4.49% |
| Win Days | 53.96% | 57.01% |
| Win Month | 62.3% | 63.93% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 83.33% | 66.67% |
| Beta | - | -0.14 |
| Alpha | - | 0.21 |
| Correlation | - | -13.69% |
| Treynor Ratio | - | -1055.29% |
| Year | SPY | QMHIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -2.35 | -0.31 | - |
| 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 | 14.30 | 23.45 | 1.64 | + |
| 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 |
| 2021-10-22 | 2021-12-22 | -9.81 | 62 |
| 2021-12-27 | 2022-01-26 | -9.28 | 31 |
| 2026-06-04 | 2026-09-03 | -8.78 | 92 |
| 2022-09-28 | 2022-10-18 | -5.60 | 21 |
| 2022-05-09 | 2022-06-03 | -5.17 | 26 |
| 2022-02-15 | 2022-03-02 | -5.01 | 16 |
| 2026-04-08 | 2026-04-28 | -4.04 | 21 |