| Metric | SPY | QAI |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 207.58% | 39.32% |
| CAGR﹪ | 16.68% | 4.66% |
| Sharpe | 0.74 | 0.28 |
| Prob. Sharpe Ratio | 97.6% | 77.01% |
| Smart Sharpe | 0.64 | 0.26 |
| Sortino | 1.04 | 0.37 |
| Smart Sortino | 0.9 | 0.35 |
| Sortino/√2 | 0.74 | 0.26 |
| Smart Sortino/√2 | 0.64 | 0.25 |
| Omega | 1.19 | 1.13 |
| Max Drawdown | -33.72% | -14.95% |
| Max DD Date | 2020-03-23 | 2022-10-14 |
| Max DD Period Start | 2020-02-20 | 2021-02-18 |
| Max DD Period End | 2020-08-07 | 2024-03-11 |
| Longest DD Days | 708 | 1118 |
| Volatility (ann.) | 19.56% | 6.96% |
| R^2 | 0.68 | 0.68 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.49 | 0.31 |
| Skew | -0.29 | -0.74 |
| Kurtosis | 13.84 | 10.08 |
| Ulcer Performance Index | 26.03 | 8.06 |
| Risk-Adjusted Return | 16.68% | 4.8% |
| Risk-Return Ratio | 0.06 | 0.04 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.91% | 0.33% |
| Avg. Loss | -0.98% | -0.37% |
| Win/Loss Ratio | 0.93 | 0.89 |
| Profit Ratio | 0.77 | 0.67 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.28% | 0.38% |
| Expected Yearly | 15.08% | 4.23% |
| Kelly Criterion | 7.24% | 4.43% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -0.7% |
| Expected Shortfall (cVaR) | -3.2% | -1.15% |
| Max Consecutive Wins | 11 | 7 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.19 | 0.13 |
| Gain/Pain (1M) | 1.17 | 0.82 |
| Payoff Ratio | 0.93 | 0.89 |
| Profit Factor | 1.19 | 1.13 |
| Common Sense Ratio | 1.14 | 1.16 |
| CPC Index | 0.61 | 0.55 |
| Tail Ratio | 0.96 | 1.02 |
| Outlier Win Ratio | 3.69 | 3.79 |
| Outlier Loss Ratio | 4.1 | 3.62 |
| MTD | 1.08% | 0.11% |
| 3M | 3.82% | -0.84% |
| 6M | 19.85% | 7.59% |
| YTD | 14.3% | 8.68% |
| 1Y | 17.78% | 9.86% |
| 3Y (ann.) | 24.86% | 10.15% |
| 5Y (ann.) | 13.06% | 4.69% |
| 10Y (ann.) | 16.68% | 4.66% |
| All-time (ann.) | 16.68% | 4.66% |
| Best Day | 10.5% | 3.16% |
| Worst Day | -10.94% | -3.61% |
| Best Month | 12.7% | 4.6% |
| Worst Month | -12.49% | -5.63% |
| Best Year | 28.73% | 10.07% |
| Worst Year | -18.18% | -8.68% |
| Avg. Drawdown | -1.78% | -0.94% |
| Avg. Drawdown Days | 16 | 24 |
| Recovery Factor | 3.75 | 2.34 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 1.03 | 0.28 |
| Avg. Up Month | 4.4% | 1.5% |
| Avg. Down Month | -4.2% | -1.49% |
| Win Days | 55.26% | 55.07% |
| Win Month | 67.05% | 60.23% |
| Win Quarter | 76.67% | 70.0% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.29 |
| Alpha | - | -0.0 |
| Correlation | - | 82.59% |
| Treynor Ratio | - | 133.75% |
| Year | SPY | QAI | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 4.59 | 0.28 | - |
| 2020 | 18.33 | 5.73 | 0.31 | - |
| 2021 | 28.73 | -0.16 | -0.01 | - |
| 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 | 14.30 | 8.68 | 0.61 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-02-18 | 2024-03-11 | -14.95 | 1118 |
| 2020-01-21 | 2020-08-04 | -14.11 | 197 |
| 2025-02-19 | 2025-06-25 | -7.78 | 127 |
| 2026-02-26 | 2026-04-10 | -3.71 | 44 |
| 2024-07-17 | 2024-08-29 | -3.45 | 44 |
| 2026-06-23 | 2026-09-22 | -2.83 | 92 |
| 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 |
| 2020-09-03 | 2020-11-04 | -1.91 | 63 |