| Metric | SPY | QCFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 6.48% | 4.08% |
| CAGR﹪ | 13.27% | 8.25% |
| Sharpe | 0.78 | 0.4 |
| Prob. Sharpe Ratio | 70.87% | 61.04% |
| Smart Sharpe | 0.75 | 0.36 |
| Sortino | 1.14 | 0.54 |
| Smart Sortino | 1.09 | 0.48 |
| Sortino/√2 | 0.8 | 0.38 |
| Smart Sortino/√2 | 0.77 | 0.34 |
| Omega | 1.19 | 1.12 |
| 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.) | 12.4% | 13.03% |
| R^2 | 0.74 | 0.74 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 2.95 | 1.26 |
| Skew | -0.15 | -0.68 |
| Kurtosis | 0.59 | 1.5 |
| Ulcer Performance Index | 3.89 | 1.51 |
| Risk-Adjusted Return | 13.27% | 8.87% |
| Risk-Return Ratio | 0.07 | 0.04 |
| Avg. Return | 0.08% | 0.04% |
| Avg. Win | 0.72% | 0.7% |
| Avg. Loss | -0.68% | -0.82% |
| Win/Loss Ratio | 1.07 | 0.86 |
| Profit Ratio | 1.15 | 0.47 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 0.9% | 0.57% |
| Expected Yearly | 6.48% | 4.08% |
| Kelly Criterion | 3.93% | 7.32% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -1.32% |
| Expected Shortfall (cVaR) | -1.63% | -2.13% |
| Max Consecutive Wins | 4 | 5 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.19 | 0.12 |
| Gain/Pain (1M) | 3.26 | 0.7 |
| Payoff Ratio | 1.07 | 0.86 |
| Profit Factor | 1.19 | 1.12 |
| Common Sense Ratio | 1.47 | 1.29 |
| CPC Index | 0.64 | 0.55 |
| Tail Ratio | 1.23 | 1.16 |
| Outlier Win Ratio | 2.66 | 3.16 |
| Outlier Loss Ratio | 3.07 | 3.07 |
| MTD | 1.47% | -0.08% |
| 3M | 1.46% | 1.96% |
| 6M | 6.48% | 4.08% |
| YTD | 6.48% | 4.08% |
| 1Y | 6.48% | 4.08% |
| 3Y (ann.) | 13.27% | 8.25% |
| 5Y (ann.) | 13.27% | 8.25% |
| 10Y (ann.) | 13.27% | 8.25% |
| All-time (ann.) | 13.27% | 8.25% |
| Best Day | 1.8% | 1.83% |
| Worst Day | -2.58% | -3.2% |
| Best Month | 4.52% | 3.79% |
| Worst Month | -1.03% | -3.55% |
| Best Year | 6.48% | 4.08% |
| Worst Year | 6.48% | 4.08% |
| Avg. Drawdown | -1.57% | -2.04% |
| Avg. Drawdown Days | 17 | 16 |
| Recovery Factor | 1.48 | 0.68 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.91 | 0.24 |
| Avg. Up Month | 2.41% | 2.6% |
| Avg. Down Month | -0.97% | -3.17% |
| Win Days | 50.39% | 57.26% |
| Win Month | 57.14% | 57.14% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.9 |
| Alpha | - | -0.03 |
| Correlation | - | 85.94% |
| Treynor Ratio | - | 4.51% |
| Year | SPY | QCFIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 4.08 | 0.63 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-03 | 2026-09-01 | -6.53 | 91 |
| 2026-10-13 | 2026-11-04 | -6.11 | 23 |
| 2026-05-15 | 2026-05-29 | -2.00 | 15 |
| 2026-09-28 | 2026-10-05 | -1.17 | 8 |
| 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 |
| 2026-10-08 | 2026-10-08 | -0.29 | 1 |
| 2026-09-22 | 2026-09-23 | -0.22 | 2 |