| Metric | SPY | QQMNX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 86.0% |
| Cumulative Return | 14.39% | 14.37% |
| CAGR﹪ | 14.51% | 14.5% |
| Sharpe | 0.83 | 1.44 |
| Prob. Sharpe Ratio | 79.61% | 91.99% |
| Smart Sharpe | 0.82 | 1.34 |
| Sortino | 1.22 | 2.15 |
| Smart Sortino | 1.2 | 2.0 |
| Sortino/√2 | 0.86 | 1.52 |
| Smart Sortino/√2 | 0.85 | 1.42 |
| Omega | 1.2 | 1.43 |
| 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.) | 12.86% | 7.05% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 1.63 | 3.32 |
| Skew | -0.02 | -0.32 |
| Kurtosis | 0.78 | 3.4 |
| Ulcer Performance Index | 6.68 | 8.38 |
| Risk-Adjusted Return | 14.51% | 16.86% |
| Risk-Return Ratio | 0.07 | 0.12 |
| Avg. Return | 0.05% | 0.06% |
| Avg. Win | 0.64% | 0.39% |
| Avg. Loss | -0.55% | -0.34% |
| Win/Loss Ratio | 1.15 | 1.13 |
| Profit Ratio | 1.02 | 0.55 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.04% | 1.04% |
| Expected Yearly | 6.95% | 6.95% |
| Kelly Criterion | 10.18% | 14.99% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.68% |
| Expected Shortfall (cVaR) | -1.66% | -1.07% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.2 | 0.43 |
| Gain/Pain (1M) | 1.83 | 3.9 |
| Payoff Ratio | 1.15 | 1.13 |
| Profit Factor | 1.2 | 1.43 |
| Common Sense Ratio | 1.19 | 1.84 |
| CPC Index | 0.72 | 0.88 |
| Tail Ratio | 0.99 | 1.29 |
| Outlier Win Ratio | 2.84 | 3.54 |
| Outlier Loss Ratio | 3.01 | 3.35 |
| MTD | 1.47% | 1.89% |
| 3M | 1.46% | 5.65% |
| 6M | 6.94% | 11.42% |
| YTD | 13.33% | 10.56% |
| 1Y | 14.39% | 14.37% |
| 3Y (ann.) | 14.51% | 14.5% |
| 5Y (ann.) | 14.51% | 14.5% |
| 10Y (ann.) | 14.51% | 14.5% |
| All-time (ann.) | 14.51% | 14.5% |
| Best Day | 2.91% | 1.71% |
| Worst Day | -2.58% | -1.96% |
| Best Month | 10.51% | 5.05% |
| Worst Month | -4.94% | -2.65% |
| Best Year | 13.33% | 10.56% |
| Worst Year | 0.94% | 3.45% |
| Avg. Drawdown | -1.74% | -0.95% |
| Avg. Drawdown Days | 14 | 17 |
| Recovery Factor | 1.61 | 3.13 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 0.99 |
| Avg. Up Month | 1.73% | 2.13% |
| Avg. Down Month | -2.98% | -0.16% |
| Win Days | 52.0% | 54.93% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.02 |
| Alpha | - | 0.14 |
| Correlation | - | -3.3% |
| Treynor Ratio | - | -795.54% |
| Year | SPY | QQMNX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 3.45 | 3.68 | + |
| 2026 | 13.33 | 10.56 | 0.79 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-12-31 | 2026-03-31 | -4.37 | 91 |
| 2026-04-02 | 2026-07-15 | -3.79 | 105 |
| 2026-08-20 | 2026-09-10 | -2.04 | 22 |
| 2026-10-15 | 2026-11-03 | -0.96 | 20 |
| 2026-09-14 | 2026-09-25 | -0.93 | 12 |
| 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 |
| 2026-08-03 | 2026-08-04 | -0.39 | 2 |
| 2026-08-07 | 2026-08-07 | -0.39 | 1 |