| Metric | SPY | QAI |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 74.99% | 22.08% |
| CAGR﹪ | 11.91% | 4.09% |
| Sharpe | 0.52 | 0.06 |
| Prob. Sharpe Ratio | 87.6% | 55.0% |
| Smart Sharpe | 0.5 | 0.05 |
| Sortino | 0.74 | 0.08 |
| Smart Sortino | 0.72 | 0.08 |
| Sortino/√2 | 0.53 | 0.06 |
| Smart Sortino/√2 | 0.51 | 0.05 |
| Omega | 1.14 | 1.11 |
| Max Drawdown | -24.5% | -14.05% |
| Max DD Date | 2022-10-12 | 2022-10-14 |
| Max DD Period Start | 2022-01-04 | 2021-11-10 |
| Max DD Period End | 2023-12-12 | 2024-02-21 |
| Longest DD Days | 708 | 834 |
| Volatility (ann.) | 17.19% | 6.79% |
| R^2 | 0.69 | 0.69 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.29 |
| Skew | 0.33 | -0.14 |
| Kurtosis | 8.98 | 4.83 |
| Ulcer Performance Index | 8.86 | 4.37 |
| Risk-Adjusted Return | 11.91% | 4.18% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.87% | 0.35% |
| Avg. Loss | -0.9% | -0.37% |
| Win/Loss Ratio | 0.97 | 0.94 |
| Profit Ratio | 0.86 | 0.78 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.33% |
| Expected Yearly | 9.77% | 3.38% |
| Kelly Criterion | 5.62% | 3.57% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.69% |
| Expected Shortfall (cVaR) | -2.58% | -1.01% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.14 | 0.11 |
| Gain/Pain (1M) | 0.79 | 0.62 |
| Payoff Ratio | 0.97 | 0.94 |
| Profit Factor | 1.14 | 1.11 |
| Common Sense Ratio | 1.15 | 1.13 |
| CPC Index | 0.59 | 0.56 |
| Tail Ratio | 1.0 | 1.01 |
| Outlier Win Ratio | 3.4 | 3.56 |
| Outlier Loss Ratio | 3.8 | 3.45 |
| MTD | 1.47% | 0.65% |
| 3M | 1.46% | -1.54% |
| 6M | 6.94% | 0.08% |
| YTD | 13.33% | 6.57% |
| 1Y | 13.43% | 6.98% |
| 3Y (ann.) | 20.78% | 8.09% |
| 5Y (ann.) | 12.86% | 4.68% |
| 10Y (ann.) | 11.91% | 4.09% |
| All-time (ann.) | 11.91% | 4.09% |
| Best Day | 10.5% | 3.16% |
| Worst Day | -5.85% | -2.71% |
| Best Month | 10.51% | 4.6% |
| Worst Month | -9.24% | -3.98% |
| Best Year | 26.18% | 10.07% |
| Worst Year | -18.18% | -8.68% |
| Avg. Drawdown | -1.94% | -0.98% |
| Avg. Drawdown Days | 21 | 24 |
| Recovery Factor | 2.58 | 1.5 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.43 | 0.16 |
| Avg. Up Month | 4.29% | 1.66% |
| Avg. Down Month | -3.78% | -1.48% |
| Win Days | 53.48% | 53.16% |
| Win Month | 62.3% | 55.74% |
| Win Quarter | 71.43% | 66.67% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.33 |
| Alpha | - | 0.0 |
| Correlation | - | 82.96% |
| Treynor Ratio | - | 67.4% |
| Year | SPY | QAI | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -1.34 | -0.77 | - |
| 2022 | -18.18 | -8.68 | 0.48 | + |
| 2023 | 26.18 | 10.07 | 0.38 | - |
| 2024 | 24.89 | 6.67 | 0.27 | - |
| 2025 | 17.72 | 8.29 | 0.47 | - |
| 2026 | 13.33 | 6.57 | 0.49 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-10 | 2024-02-21 | -14.05 | 834 |
| 2025-02-19 | 2025-06-25 | -7.78 | 127 |
| 2026-02-26 | 2026-04-10 | -3.71 | 44 |
| 2026-06-23 | 2026-11-04 | -3.53 | 135 |
| 2024-07-17 | 2024-08-29 | -3.45 | 44 |
| 2025-10-28 | 2025-12-09 | -2.70 | 43 |
| 2026-06-03 | 2026-06-12 | -2.37 | 10 |
| 2024-12-09 | 2025-01-29 | -2.11 | 52 |
| 2024-04-10 | 2024-05-14 | -1.81 | 35 |
| 2024-09-03 | 2024-09-13 | -1.61 | 11 |