| Metric | SPY | QAI |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 14.39% | 7.14% |
| CAGR﹪ | 14.51% | 7.2% |
| Sharpe | 0.83 | 0.5 |
| Prob. Sharpe Ratio | 79.61% | 68.84% |
| Smart Sharpe | 0.82 | 0.46 |
| Sortino | 1.22 | 0.69 |
| Smart Sortino | 1.2 | 0.64 |
| Sortino/√2 | 0.86 | 0.49 |
| Smart Sortino/√2 | 0.85 | 0.45 |
| Omega | 1.2 | 1.18 |
| Max Drawdown | -8.88% | -3.71% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-02-26 |
| Max DD Period End | 2026-04-13 | 2026-04-10 |
| Longest DD Days | 76 | 135 |
| Volatility (ann.) | 12.86% | 7.13% |
| R^2 | 0.79 | 0.79 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 1.63 | 1.94 |
| Skew | -0.02 | -0.36 |
| Kurtosis | 0.78 | 0.81 |
| Ulcer Performance Index | 6.68 | 5.05 |
| Risk-Adjusted Return | 14.51% | 7.35% |
| Risk-Return Ratio | 0.07 | 0.06 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.72% | 0.4% |
| Avg. Loss | -0.7% | -0.41% |
| Win/Loss Ratio | 1.03 | 0.98 |
| Profit Ratio | 1.02 | 0.7 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.04% | 0.53% |
| Expected Yearly | 6.95% | 3.51% |
| Kelly Criterion | 5.41% | 9.55% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.71% |
| Expected Shortfall (cVaR) | -1.66% | -0.97% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.18 |
| Gain/Pain (1M) | 1.83 | 1.17 |
| Payoff Ratio | 1.03 | 0.98 |
| Profit Factor | 1.2 | 1.18 |
| Common Sense Ratio | 1.19 | 1.06 |
| CPC Index | 0.64 | 0.64 |
| Tail Ratio | 0.99 | 0.9 |
| Outlier Win Ratio | 2.84 | 3.55 |
| Outlier Loss Ratio | 3.01 | 2.84 |
| MTD | 1.47% | 0.65% |
| 3M | 1.46% | -1.54% |
| 6M | 6.94% | 0.08% |
| YTD | 13.33% | 6.57% |
| 1Y | 14.39% | 7.14% |
| 3Y (ann.) | 14.51% | 7.2% |
| 5Y (ann.) | 14.51% | 7.2% |
| 10Y (ann.) | 14.51% | 7.2% |
| All-time (ann.) | 14.51% | 7.2% |
| Best Day | 2.91% | 1.25% |
| Worst Day | -2.58% | -1.72% |
| Best Month | 10.51% | 4.6% |
| Worst Month | -4.94% | -2.23% |
| Best Year | 13.33% | 6.57% |
| Worst Year | 0.94% | 0.54% |
| Avg. Drawdown | -1.74% | -0.97% |
| Avg. Drawdown Days | 14 | 12 |
| Recovery Factor | 1.61 | 1.93 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 0.72 |
| Avg. Up Month | 3.19% | 1.57% |
| Avg. Down Month | -2.06% | -1.57% |
| Win Days | 52.0% | 55.33% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.49 |
| Alpha | - | 0.0 |
| Correlation | - | 88.67% |
| Treynor Ratio | - | 14.53% |
| Year | SPY | QAI | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 0.54 | 0.58 | - |
| 2026 | 13.33 | 6.57 | 0.49 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-04-10 | -3.71 | 44 |
| 2026-06-23 | 2026-11-04 | -3.53 | 135 |
| 2025-11-12 | 2025-12-08 | -2.39 | 27 |
| 2026-06-03 | 2026-06-12 | -2.37 | 10 |
| 2026-01-29 | 2026-02-06 | -1.47 | 9 |
| 2026-05-15 | 2026-05-22 | -1.38 | 8 |
| 2025-12-12 | 2025-12-23 | -1.08 | 12 |
| 2026-01-20 | 2026-01-21 | -0.70 | 2 |
| 2026-06-16 | 2026-06-17 | -0.65 | 2 |
| 2026-02-12 | 2026-02-19 | -0.65 | 8 |