| Metric | SPY | QMHIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 197.58% | 125.8% |
| CAGR﹪ | 15.89% | 11.64% |
| Sharpe | 0.71 | 0.58 |
| Prob. Sharpe Ratio | 97.18% | 94.26% |
| Smart Sharpe | 0.61 | 0.58 |
| Sortino | 1.0 | 0.81 |
| Smart Sortino | 0.86 | 0.8 |
| Sortino/√2 | 0.71 | 0.57 |
| Smart Sortino/√2 | 0.61 | 0.57 |
| Omega | 1.18 | 1.14 |
| Max Drawdown | -33.72% | -19.06% |
| Max DD Date | 2020-03-23 | 2024-08-05 |
| Max DD Period Start | 2020-02-20 | 2024-04-29 |
| Max DD Period End | 2020-08-07 | 2025-09-08 |
| Longest DD Days | 708 | 912 |
| Volatility (ann.) | 19.45% | 16.16% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.47 | 0.61 |
| Skew | -0.28 | -0.37 |
| Kurtosis | 13.95 | 10.42 |
| Ulcer Performance Index | 24.9 | 13.6 |
| Risk-Adjusted Return | 15.89% | 12.38% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.69% | 0.69% |
| Avg. Loss | -0.75% | -0.82% |
| Win/Loss Ratio | 0.92 | 0.84 |
| Profit Ratio | 0.78 | 0.57 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.22% | 0.91% |
| Expected Yearly | 14.6% | 10.72% |
| Kelly Criterion | 6.15% | 2.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.63% |
| Expected Shortfall (cVaR) | -3.2% | -2.54% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.14 |
| Gain/Pain (1M) | 1.11 | 0.72 |
| Payoff Ratio | 0.92 | 0.84 |
| Profit Factor | 1.18 | 1.14 |
| Common Sense Ratio | 1.13 | 1.12 |
| CPC Index | 0.6 | 0.53 |
| Tail Ratio | 0.96 | 0.98 |
| Outlier Win Ratio | 3.7 | 3.42 |
| Outlier Loss Ratio | 4.12 | 3.42 |
| 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.) | 15.89% | 11.64% |
| All-time (ann.) | 15.89% | 11.64% |
| Best Day | 10.5% | 10.0% |
| Worst Day | -10.94% | -9.13% |
| Best Month | 12.7% | 12.75% |
| Worst Month | -12.49% | -8.85% |
| Best Year | 28.73% | 50.0% |
| Worst Year | -18.18% | -3.06% |
| Avg. Drawdown | -1.78% | -3.03% |
| Avg. Drawdown Days | 16 | 46 |
| Recovery Factor | 3.65 | 4.78 |
| Ulcer Index | 0.08 | 0.09 |
| Serenity Index | 1.01 | 0.59 |
| Avg. Up Month | 3.38% | 3.68% |
| Avg. Down Month | -2.02% | -3.63% |
| Win Days | 55.1% | 55.58% |
| Win Month | 64.44% | 57.78% |
| Win Quarter | 77.42% | 54.84% |
| Win Year | 87.5% | 62.5% |
| Beta | - | -0.1 |
| Alpha | - | 0.14 |
| Correlation | - | -12.19% |
| Treynor Ratio | - | -1241.44% |
| Year | SPY | QMHIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 0.02 | 0.00 | - |
| 2020 | 18.33 | -0.65 | -0.04 | - |
| 2021 | 28.73 | -3.06 | -0.11 | - |
| 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 |
| 2019-09-04 | 2022-03-03 | -18.63 | 912 |
| 2022-10-21 | 2024-02-22 | -17.14 | 490 |
| 2022-06-15 | 2022-09-22 | -13.08 | 100 |
| 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 |
| 2022-05-09 | 2022-06-03 | -5.17 | 26 |
| 2026-04-08 | 2026-04-28 | -4.04 | 21 |
| 2022-03-28 | 2022-04-07 | -3.71 | 11 |