| Metric | SPY | QALT |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 8.95% |
| CAGR﹪ | 18.02% | 9.02% |
| Sharpe | 1.04 | 0.67 |
| Prob. Sharpe Ratio | 84.73% | 74.34% |
| Smart Sharpe | 1.01 | 0.6 |
| Sortino | 1.51 | 0.94 |
| Smart Sortino | 1.47 | 0.84 |
| Sortino/√2 | 1.07 | 0.66 |
| Smart Sortino/√2 | 1.04 | 0.59 |
| Omega | 1.25 | 1.24 |
| 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.) | 12.99% | 7.44% |
| R^2 | 0.35 | 0.35 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 2.03 | 1.86 |
| Skew | -0.15 | -0.53 |
| Kurtosis | 1.05 | 6.07 |
| Ulcer Performance Index | 8.3 | 4.53 |
| Risk-Adjusted Return | 18.02% | 9.02% |
| Risk-Return Ratio | 0.08 | 0.08 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.64% | 0.4% |
| Avg. Loss | -0.7% | -0.37% |
| Win/Loss Ratio | 0.92 | 1.08 |
| Profit Ratio | 0.94 | 0.96 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.27% | 0.66% |
| Expected Yearly | 8.57% | 4.38% |
| Kelly Criterion | 3.3% | 9.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.74% |
| Expected Shortfall (cVaR) | -1.72% | -1.18% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.25 | 0.24 |
| Gain/Pain (1M) | 2.6 | 1.35 |
| Payoff Ratio | 0.92 | 1.08 |
| Profit Factor | 1.25 | 1.24 |
| Common Sense Ratio | 1.24 | 1.25 |
| CPC Index | 0.62 | 0.71 |
| Tail Ratio | 0.99 | 1.0 |
| Outlier Win Ratio | 2.88 | 3.61 |
| Outlier Loss Ratio | 3.19 | 3.92 |
| MTD | 1.08% | -2.08% |
| 3M | 3.82% | -1.45% |
| 6M | 19.85% | 4.1% |
| YTD | 14.3% | 5.49% |
| 1Y | 17.87% | 8.95% |
| 3Y (ann.) | 18.02% | 9.02% |
| 5Y (ann.) | 18.02% | 9.02% |
| 10Y (ann.) | 18.02% | 9.02% |
| All-time (ann.) | 18.02% | 9.02% |
| Best Day | 2.91% | 2.04% |
| Worst Day | -2.7% | -2.41% |
| Best Month | 10.51% | 3.68% |
| Worst Month | -4.94% | -4.4% |
| Best Year | 14.3% | 5.49% |
| Worst Year | 3.13% | 3.27% |
| Avg. Drawdown | -1.71% | -0.96% |
| Avg. Drawdown Days | 13 | 13 |
| Recovery Factor | 1.94 | 1.82 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | 0.49 |
| Avg. Up Month | 2.83% | 1.3% |
| Avg. Down Month | -4.94% | -4.4% |
| Win Days | 53.6% | 53.2% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.34 |
| Alpha | - | 0.03 |
| Correlation | - | 59.11% |
| Treynor Ratio | - | 26.41% |
| Year | SPY | QALT | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 3.27 | 1.05 | + |
| 2026 | 14.30 | 5.49 | 0.38 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-06-12 | -4.85 | 107 |
| 2025-10-09 | 2025-10-23 | -2.94 | 15 |
| 2026-08-18 | 2026-09-22 | -2.90 | 36 |
| 2025-11-13 | 2025-12-10 | -1.60 | 28 |
| 2026-06-23 | 2026-07-20 | -1.47 | 28 |
| 2025-10-28 | 2025-11-11 | -1.29 | 15 |
| 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 |