| Metric | SPY | QLEIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 204.97% | 207.88% |
| CAGR﹪ | 16.25% | 16.4% |
| Sharpe | 0.72 | 1.14 |
| Prob. Sharpe Ratio | 97.45% | 99.86% |
| Smart Sharpe | 0.63 | 1.06 |
| Sortino | 1.02 | 1.59 |
| Smart Sortino | 0.88 | 1.47 |
| Sortino/√2 | 0.72 | 1.12 |
| Smart Sortino/√2 | 0.62 | 1.04 |
| Omega | 1.18 | 1.28 |
| Max Drawdown | -33.72% | -24.38% |
| Max DD Date | 2020-03-23 | 2020-03-20 |
| Max DD Period Start | 2020-02-20 | 2019-12-23 |
| Max DD Period End | 2020-08-07 | 2021-03-25 |
| Longest DD Days | 708 | 459 |
| Volatility (ann.) | 19.45% | 11.39% |
| R^2 | 0.28 | 0.28 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.48 | 0.67 |
| Skew | -0.29 | -0.94 |
| Kurtosis | 13.94 | 8.43 |
| Ulcer Performance Index | 25.91 | 28.28 |
| Risk-Adjusted Return | 16.25% | 17.45% |
| Risk-Return Ratio | 0.05 | 0.09 |
| Avg. Return | 0.07% | 0.07% |
| Avg. Win | 0.88% | 0.58% |
| Avg. Loss | -1.01% | -0.63% |
| Win/Loss Ratio | 0.88 | 0.92 |
| Profit Ratio | 0.78 | 0.6 |
| Expected Daily | 0.06% | 0.06% |
| Expected Monthly | 1.25% | 1.26% |
| Expected Yearly | 14.96% | 15.09% |
| Kelly Criterion | 3.96% | 9.39% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.12% |
| Expected Shortfall (cVaR) | -3.2% | -1.69% |
| Max Consecutive Wins | 11 | 16 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.18 | 0.28 |
| Gain/Pain (1M) | 1.15 | 1.65 |
| Payoff Ratio | 0.88 | 0.92 |
| Profit Factor | 1.18 | 1.28 |
| Common Sense Ratio | 1.13 | 1.28 |
| CPC Index | 0.57 | 0.66 |
| Tail Ratio | 0.96 | 1.0 |
| Outlier Win Ratio | 3.69 | 3.5 |
| Outlier Loss Ratio | 4.12 | 3.56 |
| 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.) | 16.25% | 16.4% |
| All-time (ann.) | 16.25% | 16.4% |
| Best Day | 10.5% | 3.51% |
| Worst Day | -10.94% | -7.16% |
| Best Month | 12.7% | 11.58% |
| Worst Month | -12.49% | -8.21% |
| Best Year | 28.73% | 34.43% |
| Worst Year | -18.18% | -13.91% |
| Avg. Drawdown | -1.79% | -1.42% |
| Avg. Drawdown Days | 16 | 18 |
| Recovery Factor | 3.72 | 4.81 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 1.03 | 0.67 |
| Avg. Up Month | 4.24% | 3.3% |
| Avg. Down Month | -4.73% | -3.63% |
| Win Days | 55.15% | 56.68% |
| Win Month | 65.56% | 70.0% |
| Win Quarter | 77.42% | 80.65% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.31 |
| Alpha | - | 0.11 |
| Correlation | - | 53.34% |
| Treynor Ratio | - | 665.32% |
| Year | SPY | QLEIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 4.82 | 0.29 | - |
| 2020 | 18.33 | -13.91 | -0.76 | - |
| 2021 | 28.73 | 31.10 | 1.08 | + |
| 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 |
|---|---|---|---|
| 2019-12-23 | 2021-03-25 | -24.38 | 459 |
| 2022-06-08 | 2023-02-08 | -17.07 | 246 |
| 2021-05-18 | 2021-12-28 | -12.05 | 225 |
| 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 |
| 2019-07-16 | 2019-11-06 | -5.91 | 114 |
| 2024-06-03 | 2024-09-18 | -5.68 | 108 |