| Metric | SPY | QCFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 31.1% | 45.05% |
| CAGR﹪ | 24.45% | 35.04% |
| Sharpe | 1.5 | 1.9 |
| Prob. Sharpe Ratio | 95.09% | 97.91% |
| Smart Sharpe | 1.44 | 1.84 |
| Sortino | 2.23 | 2.76 |
| Smart Sortino | 2.13 | 2.67 |
| Sortino/√2 | 1.57 | 1.95 |
| Smart Sortino/√2 | 1.51 | 1.89 |
| Omega | 1.36 | 1.44 |
| 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.) | 12.3% | 14.17% |
| R^2 | 0.79 | 0.79 |
| Information Ratio | 0.08 | 0.08 |
| Calmar | 2.75 | 4.42 |
| Skew | -0.19 | -0.58 |
| Kurtosis | 1.26 | 2.25 |
| Ulcer Performance Index | 16.0 | 19.57 |
| Risk-Adjusted Return | 24.45% | 36.88% |
| Risk-Return Ratio | 0.12 | 0.14 |
| Avg. Return | 0.11% | 0.13% |
| Avg. Win | 0.66% | 0.77% |
| Avg. Loss | -0.66% | -0.79% |
| Win/Loss Ratio | 1.0 | 0.98 |
| Profit Ratio | 0.95 | 0.55 |
| Expected Daily | 0.09% | 0.12% |
| Expected Monthly | 1.71% | 2.35% |
| Expected Yearly | 14.5% | 20.44% |
| Kelly Criterion | 8.95% | 18.92% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.18% | -1.34% |
| Expected Shortfall (cVaR) | -1.6% | -1.99% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.36 | 0.44 |
| Gain/Pain (1M) | 4.08 | 5.77 |
| Payoff Ratio | 1.0 | 0.98 |
| Profit Factor | 1.36 | 1.44 |
| Common Sense Ratio | 1.38 | 1.53 |
| CPC Index | 0.74 | 0.84 |
| Tail Ratio | 1.01 | 1.07 |
| Outlier Win Ratio | 2.88 | 3.27 |
| Outlier Loss Ratio | 3.22 | 3.35 |
| MTD | 1.08% | 3.58% |
| 3M | 3.82% | 6.5% |
| 6M | 19.85% | 21.75% |
| YTD | 14.3% | 22.52% |
| 1Y | 17.38% | 27.64% |
| 3Y (ann.) | 24.45% | 35.04% |
| 5Y (ann.) | 24.45% | 35.04% |
| 10Y (ann.) | 24.45% | 35.04% |
| All-time (ann.) | 24.45% | 35.04% |
| 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% | 22.52% |
| Worst Year | 14.3% | 18.39% |
| Avg. Drawdown | -1.3% | -1.89% |
| Avg. Drawdown Days | 10 | 12 |
| Recovery Factor | 3.15 | 4.85 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 2.09 | 2.81 |
| Avg. Up Month | 3.18% | 4.03% |
| Avg. Down Month | -2.98% | -3.4% |
| Win Days | 54.49% | 59.8% |
| Win Month | 75.0% | 81.25% |
| Win Quarter | 83.33% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.03 |
| Alpha | - | 0.08 |
| Correlation | - | 89.06% |
| Treynor Ratio | - | 43.92% |
| Year | SPY | QCFIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 14.70 | 18.39 | 1.25 | + |
| 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 |
| 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 |
| 2026-05-15 | 2026-05-29 | -2.00 | 15 |