| Metric | SPY | QLEIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 86.58% | 205.87% |
| CAGR﹪ | 13.36% | 25.21% |
| Sharpe | 0.59 | 1.93 |
| Prob. Sharpe Ratio | 90.85% | 100.0% |
| Smart Sharpe | 0.58 | 1.67 |
| Sortino | 0.86 | 2.83 |
| Smart Sortino | 0.83 | 2.45 |
| Sortino/√2 | 0.61 | 2.0 |
| Smart Sortino/√2 | 0.59 | 1.74 |
| Omega | 1.16 | 1.48 |
| Max Drawdown | -24.5% | -17.07% |
| Max DD Date | 2022-10-12 | 2022-09-26 |
| Max DD Period Start | 2022-01-04 | 2022-06-08 |
| Max DD Period End | 2023-12-12 | 2023-02-08 |
| Longest DD Days | 708 | 246 |
| Volatility (ann.) | 17.2% | 9.96% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.55 | 1.48 |
| Skew | 0.32 | -0.61 |
| Kurtosis | 8.95 | 3.5 |
| Ulcer Performance Index | 10.24 | 49.83 |
| Risk-Adjusted Return | 13.36% | 26.54% |
| Risk-Return Ratio | 0.05 | 0.15 |
| Avg. Return | 0.06% | 0.1% |
| Avg. Win | 0.83% | 0.53% |
| Avg. Loss | -0.93% | -0.52% |
| Win/Loss Ratio | 0.9 | 1.01 |
| Profit Ratio | 0.83 | 0.62 |
| Expected Daily | 0.05% | 0.09% |
| Expected Monthly | 1.03% | 1.85% |
| Expected Yearly | 10.95% | 20.48% |
| Kelly Criterion | 3.0% | 17.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.94% |
| Expected Shortfall (cVaR) | -2.58% | -1.4% |
| Max Consecutive Wins | 10 | 16 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.16 | 0.48 |
| Gain/Pain (1M) | 0.87 | 3.61 |
| Payoff Ratio | 0.9 | 1.01 |
| Profit Factor | 1.16 | 1.48 |
| Common Sense Ratio | 1.17 | 1.66 |
| CPC Index | 0.56 | 0.88 |
| Tail Ratio | 1.01 | 1.12 |
| Outlier Win Ratio | 3.41 | 3.33 |
| Outlier Loss Ratio | 3.77 | 3.06 |
| MTD | 1.08% | 1.53% |
| 3M | 3.82% | 7.04% |
| 6M | 19.85% | 9.65% |
| YTD | 14.3% | 6.29% |
| 1Y | 17.78% | 15.78% |
| 3Y (ann.) | 24.86% | 25.08% |
| 5Y (ann.) | 13.06% | 25.05% |
| 10Y (ann.) | 13.36% | 25.21% |
| All-time (ann.) | 13.36% | 25.21% |
| Best Day | 10.5% | 2.47% |
| Worst Day | -5.85% | -4.01% |
| Best Month | 10.51% | 9.5% |
| Worst Month | -9.24% | -8.02% |
| Best Year | 26.18% | 34.43% |
| Worst Year | -18.18% | 6.29% |
| Avg. Drawdown | -1.89% | -1.12% |
| Avg. Drawdown Days | 20 | 12 |
| Recovery Factor | 2.85 | 6.7 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.47 | 1.4 |
| Avg. Up Month | 3.99% | 3.62% |
| Avg. Down Month | -5.51% | -3.97% |
| Win Days | 54.04% | 58.6% |
| Win Month | 63.93% | 77.05% |
| Win Quarter | 66.67% | 85.71% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.21 |
| Alpha | - | 0.2 |
| Correlation | - | 36.44% |
| Treynor Ratio | - | 976.25% |
| Year | SPY | QLEIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 11.10 | 1.47 | + |
| 2022 | -18.18 | 19.11 | -1.05 | + |
| 2023 | 26.18 | 23.91 | 0.91 | - |
| 2024 | 24.89 | 30.56 | 1.23 | + |
| 2025 | 17.72 | 34.43 | 1.94 | + |
| 2026 | 14.30 | 6.29 | 0.44 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-08 | 2023-02-08 | -17.07 | 246 |
| 2025-03-26 | 2025-04-29 | -7.07 | 35 |
| 2023-03-07 | 2023-06-14 | -6.94 | 100 |
| 2022-02-22 | 2022-05-02 | -6.36 | 70 |
| 2025-12-24 | 2026-07-30 | -6.01 | 219 |
| 2024-06-03 | 2024-09-18 | -5.68 | 108 |
| 2025-03-06 | 2025-03-18 | -2.94 | 13 |
| 2021-10-11 | 2021-11-22 | -2.60 | 43 |
| 2023-09-29 | 2023-10-30 | -2.50 | 32 |
| 2022-05-18 | 2022-05-24 | -2.39 | 7 |