| Metric | SPY | QCFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 29.99% | 38.86% |
| CAGR﹪ | 21.25% | 27.28% |
| Sharpe | 1.31 | 1.51 |
| Prob. Sharpe Ratio | 93.49% | 95.63% |
| Smart Sharpe | 1.27 | 1.5 |
| Sortino | 1.92 | 2.15 |
| Smart Sortino | 1.86 | 2.14 |
| Sortino/√2 | 1.36 | 1.52 |
| Smart Sortino/√2 | 1.32 | 1.51 |
| Omega | 1.31 | 1.35 |
| 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.) | 12.21% | 13.97% |
| R^2 | 0.79 | 0.79 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 2.39 | 3.44 |
| Skew | -0.19 | -0.57 |
| Kurtosis | 1.19 | 2.24 |
| Ulcer Performance Index | 15.68 | 16.76 |
| Risk-Adjusted Return | 21.25% | 28.71% |
| Risk-Return Ratio | 0.1 | 0.11 |
| Avg. Return | 0.09% | 0.11% |
| Avg. Win | 0.66% | 0.75% |
| Avg. Loss | -0.66% | -0.79% |
| Win/Loss Ratio | 0.99 | 0.95 |
| Profit Ratio | 0.96 | 0.53 |
| Expected Daily | 0.08% | 0.1% |
| Expected Monthly | 1.47% | 1.84% |
| Expected Yearly | 14.01% | 17.84% |
| Kelly Criterion | 7.54% | 16.53% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.19% | -1.35% |
| Expected Shortfall (cVaR) | -1.62% | -2.02% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.31 | 0.35 |
| Gain/Pain (1M) | 3.4 | 3.32 |
| Payoff Ratio | 0.99 | 0.95 |
| Profit Factor | 1.31 | 1.35 |
| Common Sense Ratio | 1.28 | 1.4 |
| CPC Index | 0.7 | 0.76 |
| Tail Ratio | 0.97 | 1.04 |
| Outlier Win Ratio | 2.88 | 3.37 |
| Outlier Loss Ratio | 3.22 | 3.32 |
| MTD | 1.47% | -0.08% |
| 3M | 1.46% | 1.96% |
| 6M | 6.94% | 4.66% |
| YTD | 13.33% | 17.3% |
| 1Y | 13.04% | 16.68% |
| 3Y (ann.) | 21.25% | 27.28% |
| 5Y (ann.) | 21.25% | 27.28% |
| 10Y (ann.) | 21.25% | 27.28% |
| All-time (ann.) | 21.25% | 27.28% |
| 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 | 14.7% | 18.39% |
| Worst Year | 13.33% | 17.3% |
| Avg. Drawdown | -1.36% | -1.95% |
| Avg. Drawdown Days | 11 | 12 |
| Recovery Factor | 3.07 | 4.31 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 2.05 | 2.43 |
| Avg. Up Month | 3.39% | 4.08% |
| Avg. Down Month | -2.29% | -3.45% |
| Win Days | 53.94% | 59.38% |
| Win Month | 66.67% | 72.22% |
| Win Quarter | 85.71% | 85.71% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.02 |
| Alpha | - | 0.05 |
| Correlation | - | 88.92% |
| Treynor Ratio | - | 38.22% |
| Year | SPY | QCFIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 14.70 | 18.39 | 1.25 | + |
| 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 |
| 2025-10-09 | 2025-10-23 | -4.44 | 15 |
| 2025-07-31 | 2025-08-11 | -3.29 | 12 |
| 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 |