QQQ + 200 Day SMA
Holds the Nasdaq-100 when it trades above its 200-day SMA and shifts to short-term bonds when it breaks below — a simple trend filter on a core equity holding.
Key Performance Metrics
Inception: 1991-10-28 | Last Updated: 2026-04-08| Metric | Portfolio | Benchmark |
|---|---|---|
| Ending Value | $621,882 | $877,044 |
| Total Contributions | $0 | $0 |
| Cumulative Return | 6,118.82% | 8,670.44% |
| CAGR | 12.75% | 13.88% |
| Volatility | 18.42% | 26.66% |
| Max Drawdown | -50.03% | -82.90% |
| Sharpe | 0.744 | 0.621 |
| Sortino | 0.891 | 0.840 |
| Calmar | 0.255 | 0.167 |
| Treynor | 0.294 | — |
| Information | -0.145 | — |
| Omega | 1.157 | 1.121 |
| Diversification | 1.000 | 1.000 |
| M² | 19.83% | — |
| Ulcer Index | 18.518 | 39.074 |
| UPI | 0.007 | 0.004 |
| Beta | 0.467 | — |
| Alpha | 5.98% | — |
| Fama French 6 Factor Alpha | 5.49% | 7.16% |
| Fama French 6 Factor Alpha t-stat | 2.435 | 4.394 |
| R² | 0.456 | — |
| Fama French 6 Factor R² | 0.448 | 0.851 |
| Fama French 6 Factor Adj. R² | 0.447 | 0.851 |
| Deflated Sharpe Ratio | 93.30% | 79.39% |
| Probabilistic Sharpe Ratio (> 0) | 100.00% | 99.99% |
| Probabilistic Sharpe Ratio | 79.90% | 19.85% |
| Minimum Track Record (> 0) | 5.0 yrs | 7.0 yrs |
| Minimum Track Record | 181.4 yrs | — |