Performance metrics
Hypothetical backtest vs SPY · 4 Feb 2020 – 18 Feb 2026. Summary statistics only — not live results.
Portfolio vs benchmark
Cumulative growth of $100 (base 100). Hypothetical backtest; not indicative of future results.
Annual return
39.74%
Total return
654%
Max drawdown
-13.16%
RoMaD
3.02
Sharpe
1.81
Sortino
2.74
Key performance metrics
| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 3.6% | 3.6% |
| Time in Market | 69.0% | 69.0% |
| Total Return | 131% | 654% |
| CAGR% (Annual Return) | 14.9% | 39.74% |
| Sharpe | 0.6 | 1.81 |
| RoMaD | 0.44 | 3.02 |
| Corr to Benchmark | 1.0 | 0.02 |
| Prob. Sharpe Ratio | 58.39% | 99.94% |
| Smart Sharpe | 0.56 | 1.68 |
| Sortino | 0.85 | 2.74 |
| Smart Sortino | 0.79 | 2.55 |
| Sortino/√2 | 0.6 | 1.94 |
| Smart Sortino/√2 | 0.56 | 1.8 |
| Omega | 1.35 | 1.35 |
| Max Drawdown | -33.68% | -13.16% |
| Longest DD Days | 708 | 154 |
| Volatility (ann.) | 20.66% | 17.4% |
| Calmar | 0.44 | 3.02 |
| Skew | -0.26 | -0.03 |
| Kurtosis | 20.27 | 3.94 |
| Expected Daily% | 0.04% | 0.09% |
| Expected Monthly% | 1.16% | 2.81% |
| Expected Yearly% | 12.73% | 33.47% |
| Daily Value-at-Risk | -1.53% | -1.48% |
| Expected Shortfall (cVaR) | -2.67% | -2.14% |
| MTD | -1.31% | -1.77% |
| 3M | 3.4% | 15.21% |
| 6M | 7.29% | 32.26% |
| YTD | 0.64% | 9.18% |
| 1Y | 13.55% | 58.88% |
| 3Y (ann.) | 22.82% | 66.94% |
| 5Y (ann.) | 13.34% | 38.73% |
| 10Y (ann.) | 14.9% | 39.74% |
| All-time (ann.) | 14.9% | 39.74% |
| Best Day | 10.5% | 5.26% |
| Worst Day | -10.94% | -4.41% |
| Best Month | 12.7% | 19.9% |
| Worst Month | -16.07% | -5.61% |
| Best Year | 28.77% | 94.09% |
| Worst Year | -18.51% | 6.28% |
| Avg. Drawdown | -1.93% | -2.46% |
| Avg. Drawdown Days | 17 | 17 |
| Recovery Factor | 2.88 | 16.05 |
| Ulcer Index | 0.09 | 0.04 |
| Serenity Index | 0.52 | 5.88 |
| Avg. Up Month | 4.47% | 5.54% |
| Avg. Down Month | -4.97% | -1.83% |
| Win Days% | 55.15% | 57.52% |
| Win Month% | 64.38% | 69.86% |
| Win Quarter% | 76.0% | 96.0% |
| Win Year% | 85.71% | 100.0% |
| Beta | – | 0.02 |
| Alpha | – | 0.35 |
| Correlation | – | 1.99% |
| Treynor Ratio | – | 55505.15% |
EOY returns vs benchmark
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 17.60% | 33.93% | 1.93 | + |
| 2021 | 28.77% | 25.27% | 0.88 | − |
| 2022 | -18.51% | 10.24% | -0.55 | + |
| 2023 | 26.03% | 41.13% | 1.58 | + |
| 2024 | 25.59% | 80.92% | 3.16 | + |
| 2025 | 17.72% | 47.15% | 2.66 | + |
| 2026 | 0.64% | 9.18% | 14.34 | + |
Worst 10 drawdowns
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-06-22 | 2024-09-24 | -13.16% | 154 |
| 2020-02-22 | 2020-07-09 | -13.20% | 139 |
| 2021-11-11 | 2022-03-28 | -9.92% | 138 |
| 2023-08-02 | 2023-11-15 | -8.05% | 106 |
| 2025-02-20 | 2025-06-04 | -7.57% | 105 |
| 2024-02-21 | 2024-03-04 | -7.09% | 13 |
| 2020-10-16 | 2020-11-24 | -6.93% | 40 |
| 2021-02-18 | 2021-05-10 | -6.86% | 82 |
| 2021-05-12 | 2021-08-02 | -6.53% | 83 |
| 2025-08-12 | 2025-09-05 | -6.10% | 25 |
Full tearsheet
Trade-level history and complete QuantStats report available for allocator diligence. Contact info@qentari.com. Backtested performance is hypothetical; past results do not guarantee future returns.