| Metric | SPY | QQMNX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 6.48% | 11.27% |
| CAGR﹪ | 13.27% | 23.6% |
| Sharpe | 0.78 | 2.59 |
| Prob. Sharpe Ratio | 70.87% | 95.89% |
| Smart Sharpe | 0.75 | 2.31 |
| Sortino | 1.14 | 3.95 |
| Smart Sortino | 1.09 | 3.52 |
| Sortino/√2 | 0.8 | 2.79 |
| Smart Sortino/√2 | 0.77 | 2.49 |
| Omega | 1.19 | 1.68 |
| Max Drawdown | -4.49% | -2.3% |
| Max DD Date | 2026-06-10 | 2026-06-18 |
| Max DD Period Start | 2026-06-03 | 2026-06-02 |
| Max DD Period End | 2026-07-31 | 2026-07-01 |
| Longest DD Days | 59 | 30 |
| Volatility (ann.) | 12.4% | 6.89% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 2.95 | 10.25 |
| Skew | -0.15 | -0.66 |
| Kurtosis | 0.59 | 2.35 |
| Ulcer Performance Index | 3.89 | 14.49 |
| Risk-Adjusted Return | 13.27% | 25.38% |
| Risk-Return Ratio | 0.07 | 0.2 |
| Avg. Return | 0.05% | 0.09% |
| Avg. Win | 0.66% | 0.35% |
| Avg. Loss | -0.63% | -0.34% |
| Win/Loss Ratio | 1.05 | 1.04 |
| Profit Ratio | 1.15 | 0.66 |
| Expected Daily | 0.05% | 0.08% |
| Expected Monthly | 0.9% | 1.54% |
| Expected Yearly | 6.48% | 11.27% |
| Kelly Criterion | 3.35% | 18.51% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.63% |
| Expected Shortfall (cVaR) | -1.63% | -1.01% |
| Max Consecutive Wins | 4 | 7 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.19 | 0.68 |
| Gain/Pain (1M) | 3.26 | 546.58 |
| Payoff Ratio | 1.05 | 1.04 |
| Profit Factor | 1.19 | 1.68 |
| Common Sense Ratio | 1.47 | 2.14 |
| CPC Index | 0.63 | 1.02 |
| Tail Ratio | 1.23 | 1.27 |
| Outlier Win Ratio | 2.66 | 2.51 |
| Outlier Loss Ratio | 3.07 | 2.73 |
| MTD | 1.47% | 1.89% |
| 3M | 1.46% | 5.65% |
| 6M | 6.48% | 11.27% |
| YTD | 6.48% | 11.27% |
| 1Y | 6.48% | 11.27% |
| 3Y (ann.) | 13.27% | 23.6% |
| 5Y (ann.) | 13.27% | 23.6% |
| 10Y (ann.) | 13.27% | 23.6% |
| All-time (ann.) | 13.27% | 23.6% |
| Best Day | 1.8% | 1.08% |
| Worst Day | -2.58% | -1.87% |
| Best Month | 4.52% | 5.05% |
| Worst Month | -1.03% | -0.05% |
| Best Year | 6.48% | 11.27% |
| Worst Year | 6.48% | 11.27% |
| Avg. Drawdown | -1.57% | -0.74% |
| Avg. Drawdown Days | 17 | 9 |
| Recovery Factor | 1.48 | 4.69 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.91 | 3.4 |
| Avg. Up Month | 2.18% | 2.19% |
| Avg. Down Month | -1.03% | -0.05% |
| Win Days | 50.39% | 58.47% |
| Win Month | 57.14% | 85.71% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.05 |
| Alpha | - | 0.22 |
| Correlation | - | -9.04% |
| Treynor Ratio | - | -224.32% |
| Year | SPY | QQMNX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 11.27 | 1.74 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-02 | 2026-07-01 | -2.30 | 30 |
| 2026-08-20 | 2026-09-10 | -2.04 | 22 |
| 2026-05-06 | 2026-05-14 | -1.15 | 9 |
| 2026-10-15 | 2026-11-03 | -0.96 | 20 |
| 2026-09-14 | 2026-09-25 | -0.93 | 12 |
| 2026-08-07 | 2026-08-17 | -0.90 | 11 |
| 2026-05-19 | 2026-05-28 | -0.82 | 10 |
| 2026-07-22 | 2026-07-24 | -0.75 | 3 |
| 2026-08-03 | 2026-08-04 | -0.39 | 2 |
| 2026-09-30 | 2026-10-01 | -0.21 | 2 |