| Metric | VT | QLEIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 153.15% | 207.88% |
| CAGR﹪ | 13.36% | 16.4% |
| Sharpe | 0.61 | 1.14 |
| Prob. Sharpe Ratio | 94.95% | 99.86% |
| Smart Sharpe | 0.53 | 1.06 |
| Sortino | 0.85 | 1.59 |
| Smart Sortino | 0.74 | 1.47 |
| Sortino/√2 | 0.6 | 1.12 |
| Smart Sortino/√2 | 0.52 | 1.04 |
| Omega | 1.16 | 1.28 |
| Max Drawdown | -34.24% | -24.38% |
| Max DD Date | 2020-03-23 | 2020-03-20 |
| Max DD Period Start | 2020-02-13 | 2019-12-23 |
| Max DD Period End | 2020-08-21 | 2021-03-25 |
| Longest DD Days | 809 | 459 |
| Volatility (ann.) | 18.68% | 11.39% |
| R^2 | 0.29 | 0.29 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.39 | 0.67 |
| Skew | -0.65 | -0.94 |
| Kurtosis | 15.7 | 8.43 |
| Ulcer Performance Index | 18.18 | 28.28 |
| Risk-Adjusted Return | 13.36% | 17.45% |
| Risk-Return Ratio | 0.05 | 0.09 |
| Avg. Return | 0.06% | 0.07% |
| Avg. Win | 0.85% | 0.59% |
| Avg. Loss | -1.0% | -0.63% |
| Win/Loss Ratio | 0.86 | 0.94 |
| Profit Ratio | 0.76 | 0.6 |
| Expected Daily | 0.05% | 0.06% |
| Expected Monthly | 1.04% | 1.26% |
| Expected Yearly | 12.31% | 15.09% |
| Kelly Criterion | 2.42% | 10.44% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.88% | -1.12% |
| Expected Shortfall (cVaR) | -3.11% | -1.69% |
| Max Consecutive Wins | 10 | 16 |
| Max Consecutive Losses | 10 | 9 |
| Gain/Pain Ratio | 0.16 | 0.28 |
| Gain/Pain (1M) | 0.93 | 1.65 |
| Payoff Ratio | 0.86 | 0.94 |
| Profit Factor | 1.16 | 1.28 |
| Common Sense Ratio | 1.15 | 1.28 |
| CPC Index | 0.54 | 0.68 |
| Tail Ratio | 0.99 | 1.0 |
| Outlier Win Ratio | 3.6 | 3.5 |
| Outlier Loss Ratio | 3.85 | 3.56 |
| MTD | 1.6% | -1.89% |
| 3M | 0.38% | -1.02% |
| 6M | 4.85% | 3.51% |
| YTD | 12.83% | 0.47% |
| 1Y | 13.98% | 6.32% |
| 3Y (ann.) | 19.47% | 20.73% |
| 5Y (ann.) | 11.16% | 22.82% |
| 10Y (ann.) | 13.36% | 16.4% |
| All-time (ann.) | 13.36% | 16.4% |
| Best Day | 9.14% | 3.51% |
| Worst Day | -11.64% | -7.16% |
| Best Month | 12.37% | 11.58% |
| Worst Month | -14.77% | -8.21% |
| Best Year | 22.43% | 34.43% |
| Worst Year | -18.0% | -13.91% |
| Avg. Drawdown | -2.06% | -1.42% |
| Avg. Drawdown Days | 19 | 18 |
| Recovery Factor | 3.09 | 4.81 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 0.73 | 0.67 |
| Avg. Up Month | 4.02% | 3.12% |
| Avg. Down Month | -4.7% | -3.5% |
| Win Days | 54.98% | 56.68% |
| Win Month | 64.44% | 70.0% |
| Win Quarter | 67.74% | 80.65% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.33 |
| Alpha | - | 0.11 |
| Correlation | - | 53.98% |
| Treynor Ratio | - | 631.42% |
| Year | VT | QLEIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 14.03 | 4.82 | 0.34 | - |
| 2020 | 16.59 | -13.91 | -0.84 | - |
| 2021 | 18.27 | 31.10 | 1.70 | + |
| 2022 | -18.00 | 19.11 | -1.06 | + |
| 2023 | 22.02 | 23.91 | 1.09 | + |
| 2024 | 16.49 | 30.56 | 1.85 | + |
| 2025 | 22.43 | 34.43 | 1.53 | + |
| 2026 | 12.83 | 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 |