| Metric | SPY | QMNIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 204.97% | 100.49% |
| CAGR﹪ | 16.25% | 9.85% |
| Sharpe | 0.72 | 0.76 |
| Prob. Sharpe Ratio | 97.45% | 98.02% |
| Smart Sharpe | 0.63 | 0.66 |
| Sortino | 1.02 | 1.09 |
| Smart Sortino | 0.88 | 0.94 |
| Sortino/√2 | 0.72 | 0.77 |
| Smart Sortino/√2 | 0.62 | 0.66 |
| Omega | 1.18 | 1.2 |
| Max Drawdown | -33.72% | -24.32% |
| Max DD Date | 2020-03-23 | 2020-11-12 |
| Max DD Period Start | 2020-02-20 | 2019-07-18 |
| Max DD Period End | 2020-08-07 | 2022-01-13 |
| Longest DD Days | 708 | 911 |
| Volatility (ann.) | 19.45% | 9.12% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.48 | 0.41 |
| Skew | -0.29 | -0.27 |
| Kurtosis | 13.94 | 2.27 |
| Ulcer Performance Index | 25.91 | 10.8 |
| Risk-Adjusted Return | 16.25% | 10.94% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.05% | 0.04% |
| Avg. Win | 0.74% | 0.42% |
| Avg. Loss | -0.9% | -0.48% |
| Win/Loss Ratio | 0.82 | 0.89 |
| Profit Ratio | 0.78 | 0.52 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.25% | 0.78% |
| Expected Yearly | 14.96% | 9.08% |
| Kelly Criterion | 0.26% | 5.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.91% |
| Expected Shortfall (cVaR) | -3.2% | -1.26% |
| Max Consecutive Wins | 11 | 12 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.18 | 0.2 |
| Gain/Pain (1M) | 1.15 | 0.94 |
| Payoff Ratio | 0.82 | 0.89 |
| Profit Factor | 1.18 | 1.2 |
| Common Sense Ratio | 1.13 | 1.21 |
| CPC Index | 0.53 | 0.59 |
| Tail Ratio | 0.96 | 1.0 |
| Outlier Win Ratio | 3.69 | 3.77 |
| Outlier Loss Ratio | 4.12 | 2.93 |
| 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.) | 16.25% | 9.85% |
| All-time (ann.) | 16.25% | 9.85% |
| Best Day | 10.5% | 2.32% |
| Worst Day | -10.94% | -3.13% |
| Best Month | 12.7% | 11.07% |
| Worst Month | -12.49% | -6.14% |
| Best Year | 28.73% | 27.22% |
| Worst Year | -18.18% | -19.52% |
| Avg. Drawdown | -1.79% | -1.58% |
| Avg. Drawdown Days | 16 | 29 |
| Recovery Factor | 3.72 | 2.99 |
| Ulcer Index | 0.08 | 0.09 |
| Serenity Index | 1.03 | 0.22 |
| Avg. Up Month | 3.53% | 2.81% |
| Avg. Down Month | -4.45% | -1.8% |
| Win Days | 55.15% | 55.65% |
| Win Month | 65.56% | 57.78% |
| Win Quarter | 77.42% | 51.61% |
| Win Year | 87.5% | 62.5% |
| Beta | - | -0.04 |
| Alpha | - | 0.1 |
| Correlation | - | -8.2% |
| Treynor Ratio | - | -2613.99% |
| Year | SPY | QMNIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | -3.56 | -0.22 | - |
| 2020 | 18.33 | -19.52 | -1.07 | - |
| 2021 | 28.73 | 17.64 | 0.61 | - |
| 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 |
|---|---|---|---|
| 2019-07-18 | 2022-01-13 | -24.32 | 911 |
| 2022-06-15 | 2023-01-30 | -13.86 | 230 |
| 2025-12-22 | 2026-11-04 | -9.82 | 318 |
| 2022-03-15 | 2022-04-28 | -8.26 | 45 |
| 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 |