| Metric | SPY | QCFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 14.0% | 18.06% |
| CAGR﹪ | 14.24% | 18.38% |
| Sharpe | 0.81 | 1.02 |
| Prob. Sharpe Ratio | 78.94% | 84.16% |
| Smart Sharpe | 0.81 | 0.94 |
| Sortino | 1.19 | 1.45 |
| Smart Sortino | 1.18 | 1.34 |
| Sortino/√2 | 0.84 | 1.03 |
| Smart Sortino/√2 | 0.83 | 0.95 |
| Omega | 1.2 | 1.23 |
| 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.) | 12.91% | 13.91% |
| R^2 | 0.77 | 0.77 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 1.6 | 2.32 |
| Skew | -0.02 | -0.27 |
| Kurtosis | 0.75 | 0.91 |
| Ulcer Performance Index | 6.48 | 6.82 |
| Risk-Adjusted Return | 14.24% | 19.35% |
| Risk-Return Ratio | 0.07 | 0.08 |
| Avg. Return | 0.07% | 0.07% |
| Avg. Win | 0.7% | 0.75% |
| Avg. Loss | -0.72% | -0.84% |
| Win/Loss Ratio | 0.97 | 0.89 |
| Profit Ratio | 1.02 | 0.51 |
| Expected Daily | 0.05% | 0.07% |
| Expected Monthly | 1.01% | 1.29% |
| Expected Yearly | 6.77% | 8.66% |
| Kelly Criterion | 2.57% | 12.56% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.37% |
| Expected Shortfall (cVaR) | -1.66% | -1.96% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.23 |
| Gain/Pain (1M) | 1.74 | 1.71 |
| Payoff Ratio | 0.97 | 0.89 |
| Profit Factor | 1.2 | 1.23 |
| Common Sense Ratio | 1.19 | 1.19 |
| CPC Index | 0.6 | 0.65 |
| Tail Ratio | 0.99 | 0.97 |
| Outlier Win Ratio | 2.83 | 3.74 |
| Outlier Loss Ratio | 2.99 | 2.88 |
| MTD | 1.47% | -0.08% |
| 3M | 1.46% | 1.96% |
| 6M | 6.94% | 4.66% |
| YTD | 13.33% | 17.3% |
| 1Y | 14.0% | 18.06% |
| 3Y (ann.) | 14.24% | 18.38% |
| 5Y (ann.) | 14.24% | 18.38% |
| 10Y (ann.) | 14.24% | 18.38% |
| All-time (ann.) | 14.24% | 18.38% |
| Best Day | 2.91% | 2.56% |
| Worst Day | -2.58% | -3.2% |
| Best Month | 10.51% | 10.8% |
| Worst Month | -4.94% | -4.03% |
| Best Year | 13.33% | 17.3% |
| Worst Year | 0.59% | 0.65% |
| Avg. Drawdown | -1.74% | -2.21% |
| Avg. Drawdown Days | 13 | 14 |
| Recovery Factor | 1.57 | 2.22 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.92 | 1.01 |
| Avg. Up Month | 3.47% | 4.03% |
| Avg. Down Month | -2.29% | -3.45% |
| Win Days | 52.02% | 58.72% |
| Win Month | 53.85% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.95 |
| Alpha | - | 0.04 |
| Correlation | - | 88.0% |
| Treynor Ratio | - | 19.05% |
| Year | SPY | QCFIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.59 | 0.65 | 1.10 | + |
| 2026 | 13.33 | 17.30 | 1.30 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-04-13 | -7.93 | 47 |
| 2026-06-03 | 2026-09-01 | -6.53 | 91 |
| 2026-10-13 | 2026-11-04 | -6.11 | 23 |
| 2025-11-13 | 2025-12-22 | -5.63 | 40 |
| 2026-01-14 | 2026-01-23 | -3.21 | 10 |
| 2026-01-30 | 2026-02-06 | -2.90 | 8 |
| 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 |
| 2026-09-28 | 2026-10-05 | -1.17 | 8 |