| Metric | SPY | QMNIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 74.99% | 137.61% |
| CAGR﹪ | 11.91% | 19.01% |
| Sharpe | 0.52 | 1.53 |
| Prob. Sharpe Ratio | 87.6% | 99.96% |
| Smart Sharpe | 0.5 | 1.28 |
| Sortino | 0.74 | 2.24 |
| Smart Sortino | 0.72 | 1.87 |
| Sortino/√2 | 0.53 | 1.58 |
| Smart Sortino/√2 | 0.51 | 1.32 |
| Omega | 1.14 | 1.4 |
| Max Drawdown | -24.5% | -13.86% |
| Max DD Date | 2022-10-12 | 2022-08-08 |
| Max DD Period Start | 2022-01-04 | 2022-06-15 |
| Max DD Period End | 2023-12-12 | 2023-01-30 |
| Longest DD Days | 708 | 318 |
| Volatility (ann.) | 17.19% | 9.12% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.49 | 1.37 |
| Skew | 0.33 | -0.4 |
| Kurtosis | 8.98 | 3.03 |
| Ulcer Performance Index | 8.86 | 33.75 |
| Risk-Adjusted Return | 11.91% | 20.89% |
| Risk-Return Ratio | 0.05 | 0.12 |
| Avg. Return | 0.03% | 0.08% |
| Avg. Win | 0.7% | 0.41% |
| Avg. Loss | -0.79% | -0.46% |
| Win/Loss Ratio | 0.88 | 0.89 |
| Profit Ratio | 0.86 | 0.49 |
| Expected Daily | 0.04% | 0.07% |
| Expected Monthly | 0.92% | 1.43% |
| Expected Yearly | 9.77% | 15.52% |
| Kelly Criterion | 0.88% | 12.8% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.87% |
| Expected Shortfall (cVaR) | -2.58% | -1.22% |
| Max Consecutive Wins | 10 | 12 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.14 | 0.4 |
| Gain/Pain (1M) | 0.79 | 2.28 |
| Payoff Ratio | 0.88 | 0.89 |
| Profit Factor | 1.14 | 1.4 |
| Common Sense Ratio | 1.15 | 1.43 |
| CPC Index | 0.54 | 0.73 |
| Tail Ratio | 1.0 | 1.02 |
| Outlier Win Ratio | 3.4 | 3.66 |
| Outlier Loss Ratio | 3.8 | 2.89 |
| MTD | 1.47% | -2.35% |
| 3M | 1.46% | -1.28% |
| 6M | 6.94% | 0.0% |
| YTD | 13.33% | -7.05% |
| 1Y | 13.43% | -3.1% |
| 3Y (ann.) | 20.78% | 13.11% |
| 5Y (ann.) | 12.86% | 18.13% |
| 10Y (ann.) | 11.91% | 19.01% |
| All-time (ann.) | 11.91% | 19.01% |
| Best Day | 10.5% | 2.32% |
| Worst Day | -5.85% | -3.13% |
| Best Month | 10.51% | 11.07% |
| Worst Month | -9.24% | -4.73% |
| Best Year | 26.18% | 27.22% |
| Worst Year | -18.18% | -7.05% |
| Avg. Drawdown | -1.94% | -1.26% |
| Avg. Drawdown Days | 21 | 17 |
| Recovery Factor | 2.58 | 6.39 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.43 | 1.23 |
| Avg. Up Month | 3.81% | 2.8% |
| Avg. Down Month | -4.06% | -1.96% |
| Win Days | 53.48% | 59.0% |
| Win Month | 62.3% | 70.49% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 83.33% | 83.33% |
| Beta | - | -0.08 |
| Alpha | - | 0.19 |
| Correlation | - | -14.9% |
| Treynor Ratio | - | -1741.53% |
| Year | SPY | QMNIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 8.21 | 4.75 | + |
| 2022 | -18.18 | 27.22 | -1.50 | + |
| 2023 | 26.18 | 16.58 | 0.63 | - |
| 2024 | 24.89 | 25.88 | 1.04 | + |
| 2025 | 17.72 | 26.53 | 1.50 | + |
| 2026 | 13.33 | -7.05 | -0.53 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-15 | 2023-01-30 | -13.86 | 230 |
| 2025-12-22 | 2026-11-04 | -9.82 | 318 |
| 2022-03-15 | 2022-04-27 | -8.26 | 44 |
| 2023-03-02 | 2023-07-19 | -6.65 | 140 |
| 2022-02-24 | 2022-03-11 | -5.21 | 16 |
| 2024-06-03 | 2024-10-16 | -4.47 | 136 |
| 2023-11-14 | 2024-01-05 | -3.98 | 53 |
| 2025-06-04 | 2025-08-19 | -3.57 | 77 |
| 2022-01-28 | 2022-02-02 | -3.10 | 6 |
| 2025-04-03 | 2025-04-15 | -2.54 | 13 |