| Metric | SPY | QLEIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 74.99% | 182.76% |
| CAGR﹪ | 11.91% | 23.25% |
| Sharpe | 0.52 | 1.76 |
| Prob. Sharpe Ratio | 87.6% | 99.99% |
| Smart Sharpe | 0.5 | 1.52 |
| Sortino | 0.74 | 2.56 |
| Smart Sortino | 0.72 | 2.21 |
| Sortino/√2 | 0.53 | 1.81 |
| Smart Sortino/√2 | 0.51 | 1.57 |
| Omega | 1.14 | 1.44 |
| 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.) | 17.19% | 9.97% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.49 | 1.36 |
| Skew | 0.33 | -0.61 |
| Kurtosis | 8.98 | 3.52 |
| Ulcer Performance Index | 8.86 | 44.16 |
| Risk-Adjusted Return | 11.91% | 24.47% |
| Risk-Return Ratio | 0.05 | 0.14 |
| Avg. Return | 0.05% | 0.09% |
| Avg. Win | 0.84% | 0.53% |
| Avg. Loss | -0.92% | -0.52% |
| Win/Loss Ratio | 0.91 | 1.01 |
| Profit Ratio | 0.86 | 0.63 |
| Expected Daily | 0.04% | 0.08% |
| Expected Monthly | 0.92% | 1.72% |
| Expected Yearly | 9.77% | 18.91% |
| Kelly Criterion | 2.44% | 16.37% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.95% |
| Expected Shortfall (cVaR) | -2.58% | -1.42% |
| Max Consecutive Wins | 10 | 16 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.14 | 0.44 |
| Gain/Pain (1M) | 0.79 | 2.87 |
| Payoff Ratio | 0.91 | 1.01 |
| Profit Factor | 1.14 | 1.44 |
| Common Sense Ratio | 1.15 | 1.62 |
| CPC Index | 0.56 | 0.85 |
| Tail Ratio | 1.0 | 1.12 |
| Outlier Win Ratio | 3.4 | 3.36 |
| Outlier Loss Ratio | 3.8 | 3.16 |
| MTD | 1.47% | -1.89% |
| 3M | 1.46% | -1.02% |
| 6M | 6.94% | 3.51% |
| YTD | 13.33% | 0.47% |
| 1Y | 13.43% | 6.32% |
| 3Y (ann.) | 20.78% | 20.73% |
| 5Y (ann.) | 12.86% | 22.82% |
| 10Y (ann.) | 11.91% | 23.25% |
| All-time (ann.) | 11.91% | 23.25% |
| 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% | 0.47% |
| Avg. Drawdown | -1.94% | -1.14% |
| Avg. Drawdown Days | 21 | 12 |
| Recovery Factor | 2.58 | 6.24 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.43 | 1.3 |
| Avg. Up Month | 3.99% | 3.82% |
| Avg. Down Month | -4.46% | -3.33% |
| Win Days | 53.48% | 57.9% |
| Win Month | 62.3% | 72.13% |
| Win Quarter | 71.43% | 80.95% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.22 |
| Alpha | - | 0.19 |
| Correlation | - | 37.3% |
| Treynor Ratio | - | 845.02% |
| Year | SPY | QLEIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 8.65 | 5.00 | + |
| 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 | 13.33 | 0.47 | 0.04 | - |
| 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 |
| 2026-09-22 | 2026-11-04 | -6.22 | 44 |
| 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 |
| 2023-09-29 | 2023-10-30 | -2.50 | 32 |
| 2022-05-18 | 2022-05-24 | -2.39 | 7 |