| Metric | SPY | QAI |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 18.6% | 6.93% |
| CAGR﹪ | 40.67% | 14.34% |
| Sharpe | 2.32 | 1.36 |
| Prob. Sharpe Ratio | 95.04% | 82.73% |
| Smart Sharpe | 2.3 | 1.26 |
| Sortino | 3.78 | 2.0 |
| Smart Sortino | 3.75 | 1.85 |
| Sortino/√2 | 2.67 | 1.41 |
| Smart Sortino/√2 | 2.65 | 1.31 |
| Omega | 1.54 | 1.35 |
| Max Drawdown | -4.49% | -2.83% |
| Max DD Date | 2026-06-10 | 2026-07-29 |
| Max DD Period Start | 2026-06-03 | 2026-06-23 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 92 |
| Volatility (ann.) | 13.55% | 7.41% |
| R^2 | 0.79 | 0.79 |
| Information Ratio | -0.17 | -0.17 |
| Calmar | 9.05 | 5.07 |
| Skew | 0.1 | -0.33 |
| Kurtosis | 1.12 | 1.43 |
| Ulcer Performance Index | 11.86 | 6.44 |
| Risk-Adjusted Return | 40.67% | 14.78% |
| Risk-Return Ratio | 0.16 | 0.12 |
| Avg. Return | 0.14% | 0.06% |
| Avg. Win | 0.83% | 0.44% |
| Avg. Loss | -0.65% | -0.39% |
| Win/Loss Ratio | 1.28 | 1.14 |
| Profit Ratio | 1.12 | 0.92 |
| Expected Daily | 0.14% | 0.05% |
| Expected Monthly | 2.47% | 0.96% |
| Expected Yearly | 18.6% | 6.93% |
| Kelly Criterion | 18.0% | 12.41% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.71% |
| Expected Shortfall (cVaR) | -1.77% | -1.12% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.54 | 0.35 |
| Gain/Pain (1M) | 10.92 | 4.84 |
| Payoff Ratio | 1.28 | 1.14 |
| Profit Factor | 1.54 | 1.35 |
| Common Sense Ratio | 2.01 | 1.58 |
| CPC Index | 1.06 | 0.83 |
| Tail Ratio | 1.3 | 1.17 |
| Outlier Win Ratio | 3.21 | 3.22 |
| Outlier Loss Ratio | 3.16 | 3.39 |
| MTD | 1.08% | 0.11% |
| 3M | 3.82% | -0.84% |
| 6M | 18.6% | 6.93% |
| YTD | 18.6% | 6.93% |
| 1Y | 18.6% | 6.93% |
| 3Y (ann.) | 40.67% | 14.34% |
| 5Y (ann.) | 40.67% | 14.34% |
| 10Y (ann.) | 40.67% | 14.34% |
| All-time (ann.) | 40.67% | 14.34% |
| Best Day | 2.91% | 1.25% |
| Worst Day | -2.58% | -1.72% |
| Best Month | 10.51% | 4.6% |
| Worst Month | -1.03% | -1.42% |
| Best Year | 18.6% | 6.93% |
| Worst Year | 18.6% | 6.93% |
| Avg. Drawdown | -1.13% | -0.78% |
| Avg. Drawdown Days | 9 | 10 |
| Recovery Factor | 3.9 | 2.42 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 2.75 | 1.32 |
| Avg. Up Month | 4.88% | 1.89% |
| Avg. Down Month | - | - |
| Win Days | 53.97% | 53.28% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.49 |
| Alpha | - | -0.03 |
| Correlation | - | 88.65% |
| Treynor Ratio | - | 14.28% |
| Year | SPY | QAI | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 6.93 | 0.37 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-23 | 2026-09-22 | -2.83 | 92 |
| 2026-06-03 | 2026-06-12 | -2.37 | 10 |
| 2026-05-15 | 2026-05-22 | -1.38 | 8 |
| 2026-03-26 | 2026-03-31 | -1.32 | 6 |
| 2026-06-16 | 2026-06-17 | -0.65 | 2 |
| 2026-05-07 | 2026-05-08 | -0.50 | 2 |
| 2026-05-12 | 2026-05-13 | -0.41 | 2 |
| 2026-04-27 | 2026-04-29 | -0.39 | 3 |
| 2026-04-20 | 2026-04-21 | -0.37 | 2 |
| 2026-04-23 | 2026-04-23 | -0.31 | 1 |