| Metric | SPY | QLEIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 14.39% | 6.69% |
| CAGR﹪ | 14.51% | 6.75% |
| Sharpe | 0.83 | 0.37 |
| Prob. Sharpe Ratio | 79.61% | 64.41% |
| Smart Sharpe | 0.82 | 0.32 |
| Sortino | 1.22 | 0.54 |
| Smart Sortino | 1.2 | 0.47 |
| Sortino/√2 | 0.86 | 0.38 |
| Smart Sortino/√2 | 0.85 | 0.34 |
| Omega | 1.2 | 1.14 |
| Max Drawdown | -8.88% | -6.22% |
| Max DD Date | 2026-03-30 | 2026-11-04 |
| Max DD Period Start | 2026-01-28 | 2026-09-22 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 219 |
| Volatility (ann.) | 12.86% | 8.75% |
| R^2 | 0.3 | 0.3 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 1.63 | 1.08 |
| Skew | -0.02 | 0.09 |
| Kurtosis | 0.78 | 0.89 |
| Ulcer Performance Index | 6.68 | 2.94 |
| Risk-Adjusted Return | 14.51% | 7.18% |
| Risk-Return Ratio | 0.07 | 0.05 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.77% | 0.54% |
| Avg. Loss | -0.74% | -0.5% |
| Win/Loss Ratio | 1.04 | 1.08 |
| Profit Ratio | 1.02 | 0.83 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.04% | 0.5% |
| Expected Yearly | 6.95% | 3.29% |
| Kelly Criterion | 6.02% | 5.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.88% |
| Expected Shortfall (cVaR) | -1.66% | -1.18% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.2 | 0.14 |
| Gain/Pain (1M) | 1.83 | 0.57 |
| Payoff Ratio | 1.04 | 1.08 |
| Profit Factor | 1.2 | 1.14 |
| Common Sense Ratio | 1.19 | 1.3 |
| CPC Index | 0.65 | 0.63 |
| Tail Ratio | 0.99 | 1.14 |
| Outlier Win Ratio | 2.84 | 3.19 |
| Outlier Loss Ratio | 3.01 | 3.02 |
| MTD | 1.47% | -1.89% |
| 3M | 1.46% | -1.02% |
| 6M | 6.94% | 3.51% |
| YTD | 13.33% | 0.47% |
| 1Y | 14.39% | 6.69% |
| 3Y (ann.) | 14.51% | 6.75% |
| 5Y (ann.) | 14.51% | 6.75% |
| 10Y (ann.) | 14.51% | 6.75% |
| All-time (ann.) | 14.51% | 6.75% |
| Best Day | 2.91% | 2.11% |
| Worst Day | -2.58% | -1.72% |
| Best Month | 10.51% | 4.65% |
| Worst Month | -4.94% | -3.47% |
| Best Year | 13.33% | 6.19% |
| Worst Year | 0.94% | 0.47% |
| Avg. Drawdown | -1.74% | -1.37% |
| Avg. Drawdown Days | 14 | 24 |
| Recovery Factor | 1.61 | 1.1 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 0.35 |
| Avg. Up Month | 3.24% | 2.83% |
| Avg. Down Month | -2.29% | -2.96% |
| Win Days | 52.0% | 51.06% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.37 |
| Alpha | - | 0.02 |
| Correlation | - | 54.67% |
| Treynor Ratio | - | 17.98% |
| Year | SPY | QLEIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 6.19 | 6.60 | + |
| 2026 | 13.33 | 0.47 | 0.04 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-22 | 2026-11-04 | -6.22 | 44 |
| 2025-12-24 | 2026-07-30 | -6.01 | 219 |
| 2026-08-18 | 2026-09-02 | -1.66 | 16 |
| 2025-11-13 | 2025-11-25 | -1.46 | 13 |
| 2026-09-08 | 2026-09-10 | -0.54 | 3 |
| 2025-11-06 | 2025-11-07 | -0.49 | 2 |
| 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 |
| 2026-09-18 | 2026-09-18 | -0.22 | 1 |