| Metric | SPY | QLEIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 17.87% | 15.78% |
| CAGR﹪ | 18.02% | 15.91% |
| Sharpe | 1.04 | 1.35 |
| Prob. Sharpe Ratio | 84.73% | 91.2% |
| Smart Sharpe | 1.01 | 1.24 |
| Sortino | 1.51 | 2.09 |
| Smart Sortino | 1.47 | 1.92 |
| Sortino/√2 | 1.07 | 1.48 |
| Smart Sortino/√2 | 1.04 | 1.36 |
| Omega | 1.25 | 1.35 |
| Max Drawdown | -8.88% | -6.01% |
| Max DD Date | 2026-03-30 | 2026-04-21 |
| Max DD Period Start | 2026-01-28 | 2025-12-24 |
| Max DD Period End | 2026-04-13 | 2026-07-30 |
| Longest DD Days | 76 | 219 |
| Volatility (ann.) | 12.99% | 8.28% |
| R^2 | 0.29 | 0.29 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 2.03 | 2.65 |
| Skew | -0.15 | 0.22 |
| Kurtosis | 1.05 | 0.77 |
| Ulcer Performance Index | 8.3 | 7.42 |
| Risk-Adjusted Return | 18.02% | 16.75% |
| Risk-Return Ratio | 0.08 | 0.11 |
| Avg. Return | 0.07% | 0.06% |
| Avg. Win | 0.76% | 0.52% |
| Avg. Loss | -0.77% | -0.47% |
| Win/Loss Ratio | 1.0 | 1.1 |
| Profit Ratio | 0.94 | 0.73 |
| Expected Daily | 0.07% | 0.06% |
| Expected Monthly | 1.27% | 1.13% |
| Expected Yearly | 8.57% | 7.6% |
| Kelly Criterion | 7.08% | 14.79% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.8% |
| Expected Shortfall (cVaR) | -1.72% | -1.0% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.25 | 0.35 |
| Gain/Pain (1M) | 2.6 | 2.27 |
| Payoff Ratio | 1.0 | 1.1 |
| Profit Factor | 1.25 | 1.35 |
| Common Sense Ratio | 1.24 | 1.58 |
| CPC Index | 0.67 | 0.83 |
| Tail Ratio | 0.99 | 1.17 |
| Outlier Win Ratio | 2.88 | 3.28 |
| Outlier Loss Ratio | 3.19 | 2.77 |
| MTD | 1.08% | 1.53% |
| 3M | 3.82% | 7.04% |
| 6M | 19.85% | 9.65% |
| YTD | 14.3% | 6.29% |
| 1Y | 17.87% | 15.78% |
| 3Y (ann.) | 18.02% | 15.91% |
| 5Y (ann.) | 18.02% | 15.91% |
| 10Y (ann.) | 18.02% | 15.91% |
| All-time (ann.) | 18.02% | 15.91% |
| Best Day | 2.91% | 2.11% |
| Worst Day | -2.7% | -1.28% |
| Best Month | 10.51% | 4.65% |
| Worst Month | -4.94% | -2.99% |
| Best Year | 14.3% | 8.93% |
| Worst Year | 3.13% | 6.29% |
| Avg. Drawdown | -1.71% | -0.97% |
| Avg. Drawdown Days | 13 | 20 |
| Recovery Factor | 1.94 | 2.49 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | 0.82 |
| Avg. Up Month | 2.52% | 2.34% |
| Avg. Down Month | -2.98% | -2.71% |
| Win Days | 53.6% | 55.27% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.34 |
| Alpha | - | 0.09 |
| Correlation | - | 53.98% |
| Treynor Ratio | - | 45.84% |
| Year | SPY | QLEIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 8.93 | 2.86 | + |
| 2026 | 14.30 | 6.29 | 0.44 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-12-24 | 2026-07-30 | -6.01 | 219 |
| 2026-08-18 | 2026-09-02 | -1.66 | 16 |
| 2025-10-02 | 2025-10-24 | -1.65 | 23 |
| 2025-11-13 | 2025-11-25 | -1.46 | 13 |
| 2025-11-04 | 2025-11-07 | -0.84 | 4 |
| 2026-09-22 | 2026-09-22 | -0.79 | 1 |
| 2026-09-08 | 2026-09-16 | -0.54 | 9 |
| 2025-12-16 | 2025-12-17 | -0.38 | 2 |
| 2025-12-03 | 2025-12-03 | -0.34 | 1 |
| 2026-08-05 | 2026-08-06 | -0.28 | 2 |