| Metric | SPY | QLEIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 18.6% | 9.6% |
| CAGR﹪ | 40.67% | 20.12% |
| Sharpe | 2.32 | 1.61 |
| Prob. Sharpe Ratio | 95.04% | 87.49% |
| Smart Sharpe | 2.3 | 1.46 |
| Sortino | 3.78 | 2.59 |
| Smart Sortino | 3.75 | 2.34 |
| Sortino/√2 | 2.67 | 1.83 |
| Smart Sortino/√2 | 2.65 | 1.66 |
| Omega | 1.54 | 1.4 |
| Max Drawdown | -4.49% | -4.75% |
| Max DD Date | 2026-06-10 | 2026-06-26 |
| Max DD Period Start | 2026-06-03 | 2026-06-02 |
| Max DD Period End | 2026-07-31 | 2026-07-30 |
| Longest DD Days | 59 | 59 |
| Volatility (ann.) | 13.55% | 9.46% |
| R^2 | 0.29 | 0.29 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | 9.05 | 4.24 |
| Skew | 0.1 | 0.29 |
| Kurtosis | 1.12 | 0.57 |
| Ulcer Performance Index | 11.86 | 5.62 |
| Risk-Adjusted Return | 40.67% | 21.18% |
| Risk-Return Ratio | 0.16 | 0.13 |
| Avg. Return | 0.14% | 0.08% |
| Avg. Win | 0.9% | 0.64% |
| Avg. Loss | -0.7% | -0.52% |
| Win/Loss Ratio | 1.29 | 1.23 |
| Profit Ratio | 1.12 | 0.89 |
| Expected Daily | 0.14% | 0.07% |
| Expected Monthly | 2.47% | 1.32% |
| Expected Yearly | 18.6% | 9.6% |
| Kelly Criterion | 18.29% | 14.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.91% |
| Expected Shortfall (cVaR) | -1.77% | -1.1% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.54 | 0.4 |
| Gain/Pain (1M) | 10.92 | 3.14 |
| Payoff Ratio | 1.29 | 1.23 |
| Profit Factor | 1.54 | 1.4 |
| Common Sense Ratio | 2.01 | 1.62 |
| CPC Index | 1.07 | 0.91 |
| Tail Ratio | 1.3 | 1.16 |
| Outlier Win Ratio | 3.21 | 2.78 |
| Outlier Loss Ratio | 3.16 | 2.89 |
| MTD | 1.08% | 1.53% |
| 3M | 3.82% | 7.04% |
| 6M | 18.6% | 9.6% |
| YTD | 18.6% | 9.6% |
| 1Y | 18.6% | 9.6% |
| 3Y (ann.) | 40.67% | 20.12% |
| 5Y (ann.) | 40.67% | 20.12% |
| 10Y (ann.) | 40.67% | 20.12% |
| All-time (ann.) | 40.67% | 20.12% |
| Best Day | 2.91% | 2.11% |
| Worst Day | -2.58% | -1.28% |
| Best Month | 10.51% | 4.65% |
| Worst Month | -1.03% | -2.99% |
| Best Year | 18.6% | 9.6% |
| Worst Year | 18.6% | 9.6% |
| Avg. Drawdown | -1.13% | -1.16% |
| Avg. Drawdown Days | 9 | 11 |
| Recovery Factor | 3.9 | 1.98 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 2.75 | 0.82 |
| Avg. Up Month | 3.91% | 2.47% |
| Avg. Down Month | -1.03% | -2.99% |
| Win Days | 53.97% | 52.94% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.38 |
| Alpha | - | 0.06 |
| Correlation | - | 54.25% |
| Treynor Ratio | - | 25.34% |
| Year | SPY | QLEIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 9.60 | 0.52 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-02 | 2026-07-30 | -4.75 | 59 |
| 2026-04-09 | 2026-05-20 | -4.17 | 42 |
| 2026-08-18 | 2026-09-02 | -1.66 | 16 |
| 2026-03-26 | 2026-03-31 | -1.02 | 6 |
| 2026-09-22 | 2026-09-22 | -0.79 | 1 |
| 2026-05-27 | 2026-05-28 | -0.77 | 2 |
| 2026-09-08 | 2026-09-10 | -0.54 | 3 |
| 2026-04-02 | 2026-04-07 | -0.38 | 6 |
| 2026-05-22 | 2026-05-22 | -0.38 | 1 |
| 2026-08-05 | 2026-08-06 | -0.28 | 2 |