| Metric | SPY | QQMNX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 83.0% |
| Cumulative Return | 17.87% | 10.4% |
| CAGR﹪ | 18.02% | 10.48% |
| Sharpe | 1.04 | 0.88 |
| Prob. Sharpe Ratio | 84.73% | 80.59% |
| Smart Sharpe | 1.01 | 0.85 |
| Sortino | 1.51 | 1.27 |
| Smart Sortino | 1.47 | 1.23 |
| Sortino/√2 | 1.07 | 0.9 |
| Smart Sortino/√2 | 1.04 | 0.87 |
| Omega | 1.25 | 1.3 |
| Max Drawdown | -8.88% | -4.37% |
| Max DD Date | 2026-03-30 | 2026-01-16 |
| Max DD Period Start | 2026-01-28 | 2025-12-31 |
| Max DD Period End | 2026-04-13 | 2026-03-31 |
| Longest DD Days | 76 | 105 |
| Volatility (ann.) | 12.99% | 7.15% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 2.03 | 2.4 |
| Skew | -0.15 | -0.32 |
| Kurtosis | 1.05 | 3.14 |
| Ulcer Performance Index | 8.3 | 5.71 |
| Risk-Adjusted Return | 18.02% | 12.63% |
| Risk-Return Ratio | 0.08 | 0.09 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.65% | 0.39% |
| Avg. Loss | -0.48% | -0.37% |
| Win/Loss Ratio | 1.35 | 1.05 |
| Profit Ratio | 0.94 | 0.52 |
| Expected Daily | 0.07% | 0.04% |
| Expected Monthly | 1.27% | 0.76% |
| Expected Yearly | 8.57% | 5.07% |
| Kelly Criterion | 19.3% | 8.7% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.7% |
| Expected Shortfall (cVaR) | -1.72% | -1.11% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.25 | 0.3 |
| Gain/Pain (1M) | 2.6 | 2.61 |
| Payoff Ratio | 1.35 | 1.05 |
| Profit Factor | 1.25 | 1.3 |
| Common Sense Ratio | 1.24 | 1.57 |
| CPC Index | 0.91 | 0.73 |
| Tail Ratio | 0.99 | 1.21 |
| Outlier Win Ratio | 2.88 | 3.55 |
| Outlier Loss Ratio | 3.19 | 3.2 |
| MTD | 1.08% | 0.17% |
| 3M | 3.82% | 7.99% |
| 6M | 19.85% | 5.22% |
| YTD | 14.3% | 6.42% |
| 1Y | 17.87% | 10.4% |
| 3Y (ann.) | 18.02% | 10.48% |
| 5Y (ann.) | 18.02% | 10.48% |
| 10Y (ann.) | 18.02% | 10.48% |
| All-time (ann.) | 18.02% | 10.48% |
| Best Day | 2.91% | 1.71% |
| Worst Day | -2.7% | -1.96% |
| Best Month | 10.51% | 5.05% |
| Worst Month | -4.94% | -2.65% |
| Best Year | 14.3% | 6.42% |
| Worst Year | 3.13% | 3.74% |
| Avg. Drawdown | -1.71% | -1.29% |
| Avg. Drawdown Days | 13 | 22 |
| Recovery Factor | 1.94 | 2.32 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | 0.66 |
| Avg. Up Month | 1.67% | 1.67% |
| Avg. Down Month | -2.98% | -0.16% |
| Win Days | 53.6% | 53.14% |
| Win Month | 76.92% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.02 |
| Alpha | - | 0.11 |
| Correlation | - | -4.22% |
| Treynor Ratio | - | -447.95% |
| Year | SPY | QQMNX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 3.74 | 1.20 | + |
| 2026 | 14.30 | 6.42 | 0.45 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-12-31 | 2026-03-31 | -4.37 | 91 |
| 2026-04-02 | 2026-07-15 | -3.79 | 105 |
| 2025-09-24 | 2025-10-30 | -2.92 | 37 |
| 2026-08-20 | 2026-09-10 | -2.04 | 22 |
| 2026-09-14 | 2026-09-22 | -0.93 | 9 |
| 2026-08-11 | 2026-08-17 | -0.90 | 7 |
| 2026-07-22 | 2026-07-24 | -0.75 | 3 |
| 2025-11-17 | 2025-12-05 | -0.64 | 19 |
| 2025-11-03 | 2025-11-07 | -0.60 | 5 |
| 2026-08-03 | 2026-08-04 | -0.39 | 2 |