| Metric | SPY | QCFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 17.47% | 27.3% |
| CAGR﹪ | 17.77% | 27.8% |
| Sharpe | 1.02 | 1.47 |
| Prob. Sharpe Ratio | 84.19% | 92.19% |
| Smart Sharpe | 0.99 | 1.46 |
| Sortino | 1.48 | 2.09 |
| Smart Sortino | 1.44 | 2.08 |
| Sortino/√2 | 1.05 | 1.48 |
| Smart Sortino/√2 | 1.02 | 1.47 |
| Omega | 1.24 | 1.33 |
| Max Drawdown | -8.88% | -7.93% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-02-26 |
| Max DD Period End | 2026-04-13 | 2026-04-13 |
| Longest DD Days | 76 | 91 |
| Volatility (ann.) | 13.04% | 14.74% |
| R^2 | 0.78 | 0.78 |
| Information Ratio | 0.08 | 0.08 |
| Calmar | 2.0 | 3.51 |
| Skew | -0.15 | -0.56 |
| Kurtosis | 1.02 | 2.0 |
| Ulcer Performance Index | 8.08 | 10.67 |
| Risk-Adjusted Return | 17.77% | 28.96% |
| Risk-Return Ratio | 0.08 | 0.11 |
| Avg. Return | 0.09% | 0.11% |
| Avg. Win | 0.68% | 0.78% |
| Avg. Loss | -0.73% | -0.85% |
| Win/Loss Ratio | 0.94 | 0.92 |
| Profit Ratio | 0.93 | 0.53 |
| Expected Daily | 0.06% | 0.1% |
| Expected Monthly | 1.25% | 1.87% |
| Expected Yearly | 8.38% | 12.83% |
| Kelly Criterion | 4.29% | 15.19% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.43% |
| Expected Shortfall (cVaR) | -1.72% | -2.23% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.24 | 0.33 |
| Gain/Pain (1M) | 2.47 | 3.78 |
| Payoff Ratio | 0.94 | 0.92 |
| Profit Factor | 1.24 | 1.33 |
| Common Sense Ratio | 1.24 | 1.42 |
| CPC Index | 0.63 | 0.73 |
| Tail Ratio | 0.99 | 1.07 |
| Outlier Win Ratio | 2.87 | 3.45 |
| Outlier Loss Ratio | 3.17 | 2.92 |
| MTD | 1.08% | 3.58% |
| 3M | 3.82% | 6.5% |
| 6M | 19.85% | 21.75% |
| YTD | 14.3% | 22.52% |
| 1Y | 17.47% | 27.3% |
| 3Y (ann.) | 17.77% | 27.8% |
| 5Y (ann.) | 17.77% | 27.8% |
| 10Y (ann.) | 17.77% | 27.8% |
| All-time (ann.) | 17.77% | 27.8% |
| Best Day | 2.91% | 2.56% |
| Worst Day | -2.7% | -4.2% |
| Best Month | 10.51% | 10.8% |
| Worst Month | -4.94% | -4.03% |
| Best Year | 14.3% | 22.52% |
| Worst Year | 2.77% | 3.9% |
| Avg. Drawdown | -1.71% | -2.19% |
| Avg. Drawdown Days | 13 | 14 |
| Recovery Factor | 1.91 | 3.18 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.14 | 1.6 |
| Avg. Up Month | 2.98% | 3.87% |
| Avg. Down Month | -2.98% | -3.4% |
| Win Days | 53.63% | 59.32% |
| Win Month | 69.23% | 76.92% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.0 |
| Alpha | - | 0.08 |
| Correlation | - | 88.58% |
| Treynor Ratio | - | 27.26% |
| Year | SPY | QCFIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 2.77 | 3.90 | 1.41 | + |
| 2026 | 14.30 | 22.52 | 1.58 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-04-13 | -7.93 | 47 |
| 2026-06-03 | 2026-09-01 | -6.53 | 91 |
| 2025-11-13 | 2025-12-22 | -5.63 | 40 |
| 2025-10-09 | 2025-10-23 | -4.44 | 15 |
| 2026-01-14 | 2026-01-23 | -3.21 | 10 |
| 2026-01-30 | 2026-02-06 | -2.90 | 8 |
| 2025-10-30 | 2025-11-07 | -2.42 | 9 |
| 2026-02-10 | 2026-02-24 | -2.37 | 15 |
| 2026-05-15 | 2026-05-29 | -2.00 | 15 |
| 2025-12-29 | 2026-01-02 | -1.42 | 5 |