| Metric | SPY | QALT |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.39% | 6.17% |
| CAGR﹪ | 14.51% | 6.22% |
| Sharpe | 0.83 | 0.38 |
| Prob. Sharpe Ratio | 79.61% | 64.65% |
| Smart Sharpe | 0.82 | 0.36 |
| Sortino | 1.22 | 0.54 |
| Smart Sortino | 1.2 | 0.51 |
| Sortino/√2 | 0.86 | 0.38 |
| Smart Sortino/√2 | 0.85 | 0.36 |
| Omega | 1.2 | 1.17 |
| Max Drawdown | -8.88% | -4.85% |
| Max DD Date | 2026-03-30 | 2026-03-20 |
| Max DD Period Start | 2026-01-28 | 2026-02-26 |
| Max DD Period End | 2026-04-13 | 2026-06-12 |
| Longest DD Days | 76 | 107 |
| Volatility (ann.) | 12.86% | 6.89% |
| R^2 | 0.27 | 0.27 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.63 | 1.28 |
| Skew | -0.02 | -0.15 |
| Kurtosis | 0.78 | 4.35 |
| Ulcer Performance Index | 6.68 | 2.98 |
| Risk-Adjusted Return | 14.51% | 6.22% |
| Risk-Return Ratio | 0.07 | 0.06 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.64% | 0.37% |
| Avg. Loss | -0.68% | -0.35% |
| Win/Loss Ratio | 0.93 | 1.06 |
| Profit Ratio | 1.02 | 0.97 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.04% | 0.46% |
| Expected Yearly | 6.95% | 3.04% |
| Kelly Criterion | 0.65% | 7.58% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.69% |
| Expected Shortfall (cVaR) | -1.66% | -1.02% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.17 |
| Gain/Pain (1M) | 1.83 | 0.87 |
| Payoff Ratio | 0.93 | 1.06 |
| Profit Factor | 1.2 | 1.17 |
| Common Sense Ratio | 1.19 | 1.21 |
| CPC Index | 0.58 | 0.65 |
| Tail Ratio | 0.99 | 1.03 |
| Outlier Win Ratio | 2.84 | 3.5 |
| Outlier Loss Ratio | 3.01 | 3.27 |
| MTD | 1.47% | -0.64% |
| 3M | 1.46% | -2.04% |
| 6M | 6.94% | 2.23% |
| YTD | 13.33% | 4.81% |
| 1Y | 14.39% | 6.17% |
| 3Y (ann.) | 14.51% | 6.22% |
| 5Y (ann.) | 14.51% | 6.22% |
| 10Y (ann.) | 14.51% | 6.22% |
| All-time (ann.) | 14.51% | 6.22% |
| Best Day | 2.91% | 2.04% |
| Worst Day | -2.58% | -2.2% |
| Best Month | 10.51% | 3.68% |
| Worst Month | -4.94% | -4.4% |
| Best Year | 13.33% | 4.81% |
| Worst Year | 0.94% | 1.3% |
| Avg. Drawdown | -1.74% | -0.91% |
| Avg. Drawdown Days | 14 | 16 |
| Recovery Factor | 1.61 | 1.28 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 0.3 |
| Avg. Up Month | 2.98% | 1.2% |
| Avg. Down Month | -2.06% | -2.16% |
| Win Days | 52.0% | 52.4% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.28 |
| Alpha | - | 0.02 |
| Correlation | - | 51.7% |
| Treynor Ratio | - | 22.28% |
| Year | SPY | QALT | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.30 | 1.38 | + |
| 2026 | 13.33 | 4.81 | 0.36 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-06-12 | -4.85 | 107 |
| 2026-08-18 | 2026-11-04 | -3.38 | 79 |
| 2025-11-13 | 2025-12-10 | -1.60 | 28 |
| 2026-06-23 | 2026-07-20 | -1.47 | 28 |
| 2026-01-28 | 2026-02-05 | -1.12 | 9 |
| 2025-12-12 | 2025-12-18 | -1.11 | 7 |
| 2026-01-16 | 2026-01-20 | -0.81 | 5 |
| 2026-07-23 | 2026-08-11 | -0.81 | 20 |
| 2026-02-12 | 2026-02-19 | -0.48 | 8 |
| 2026-01-23 | 2026-01-26 | -0.41 | 4 |