| Metric | SPY | QCFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 18.6% | 21.54% |
| CAGR﹪ | 40.67% | 47.71% |
| Sharpe | 2.32 | 2.74 |
| Prob. Sharpe Ratio | 95.04% | 96.76% |
| Smart Sharpe | 2.3 | 2.51 |
| Sortino | 3.78 | 4.15 |
| Smart Sortino | 3.75 | 3.8 |
| Sortino/√2 | 2.67 | 2.93 |
| Smart Sortino/√2 | 2.65 | 2.68 |
| Omega | 1.54 | 1.63 |
| Max Drawdown | -4.49% | -6.53% |
| Max DD Date | 2026-06-10 | 2026-06-26 |
| Max DD Period Start | 2026-06-03 | 2026-06-03 |
| Max DD Period End | 2026-07-31 | 2026-09-01 |
| Longest DD Days | 59 | 91 |
| Volatility (ann.) | 13.55% | 13.26% |
| R^2 | 0.75 | 0.75 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 9.05 | 7.31 |
| Skew | 0.1 | -0.51 |
| Kurtosis | 1.12 | 1.68 |
| Ulcer Performance Index | 11.86 | 8.83 |
| Risk-Adjusted Return | 40.67% | 51.3% |
| Risk-Return Ratio | 0.16 | 0.19 |
| Avg. Return | 0.18% | 0.17% |
| Avg. Win | 0.79% | 0.77% |
| Avg. Loss | -0.69% | -0.76% |
| Win/Loss Ratio | 1.13 | 1.0 |
| Profit Ratio | 1.12 | 0.47 |
| Expected Daily | 0.14% | 0.15% |
| Expected Monthly | 2.47% | 2.83% |
| Expected Yearly | 18.6% | 21.54% |
| Kelly Criterion | 13.24% | 24.23% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.22% |
| Expected Shortfall (cVaR) | -1.77% | -1.92% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.54 | 0.63 |
| Gain/Pain (1M) | 10.92 | 7.48 |
| Payoff Ratio | 1.13 | 1.0 |
| Profit Factor | 1.54 | 1.63 |
| Common Sense Ratio | 2.01 | 2.08 |
| CPC Index | 0.94 | 1.02 |
| Tail Ratio | 1.3 | 1.27 |
| Outlier Win Ratio | 3.21 | 2.9 |
| Outlier Loss Ratio | 3.16 | 2.76 |
| MTD | 1.08% | 3.58% |
| 3M | 3.82% | 6.5% |
| 6M | 18.6% | 21.54% |
| YTD | 18.6% | 21.54% |
| 1Y | 18.6% | 21.54% |
| 3Y (ann.) | 40.67% | 47.71% |
| 5Y (ann.) | 40.67% | 47.71% |
| 10Y (ann.) | 40.67% | 47.71% |
| All-time (ann.) | 40.67% | 47.71% |
| Best Day | 2.91% | 2.56% |
| Worst Day | -2.58% | -3.2% |
| Best Month | 10.51% | 10.8% |
| Worst Month | -1.03% | -2.78% |
| Best Year | 18.6% | 21.54% |
| Worst Year | 18.6% | 21.54% |
| Avg. Drawdown | -1.13% | -1.45% |
| Avg. Drawdown Days | 9 | 12 |
| Recovery Factor | 3.9 | 3.06 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 2.75 | 1.25 |
| Avg. Up Month | 3.91% | 4.6% |
| Avg. Down Month | -1.03% | -2.78% |
| Win Days | 53.97% | 62.07% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.85 |
| Alpha | - | 0.1 |
| Correlation | - | 86.53% |
| Treynor Ratio | - | 25.43% |
| Year | SPY | QCFIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 21.54 | 1.16 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-03 | 2026-09-01 | -6.53 | 91 |
| 2026-03-26 | 2026-03-31 | -3.11 | 6 |
| 2026-05-15 | 2026-05-29 | -2.00 | 15 |
| 2026-09-04 | 2026-09-09 | -0.90 | 6 |
| 2026-09-16 | 2026-09-16 | -0.82 | 1 |
| 2026-05-07 | 2026-05-07 | -0.32 | 1 |
| 2026-04-20 | 2026-04-21 | -0.25 | 2 |
| 2026-05-04 | 2026-05-04 | -0.24 | 1 |
| 2026-09-22 | 2026-09-22 | -0.22 | 1 |
| 2026-04-23 | 2026-04-23 | -0.08 | 1 |