| Metric | SPY | QLFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 17.47% | 16.43% |
| CAGR﹪ | 17.77% | 16.72% |
| Sharpe | 1.02 | 0.79 |
| Prob. Sharpe Ratio | 84.19% | 78.12% |
| Smart Sharpe | 0.99 | 0.77 |
| Sortino | 1.48 | 1.14 |
| Smart Sortino | 1.44 | 1.11 |
| Sortino/√2 | 1.05 | 0.81 |
| Smart Sortino/√2 | 1.02 | 0.79 |
| Omega | 1.24 | 1.19 |
| Max Drawdown | -8.88% | -14.53% |
| Max DD Date | 2026-03-30 | 2026-03-27 |
| Max DD Period Start | 2026-01-28 | 2025-12-29 |
| Max DD Period End | 2026-04-13 | 2026-08-11 |
| Longest DD Days | 76 | 226 |
| Volatility (ann.) | 13.04% | 16.32% |
| R^2 | 0.62 | 0.62 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 2.0 | 1.15 |
| Skew | -0.15 | -0.14 |
| Kurtosis | 1.02 | 0.92 |
| Ulcer Performance Index | 8.08 | 2.9 |
| Risk-Adjusted Return | 17.77% | 17.42% |
| Risk-Return Ratio | 0.08 | 0.06 |
| Avg. Return | 0.06% | 0.07% |
| Avg. Win | 0.76% | 0.97% |
| Avg. Loss | -0.76% | -0.93% |
| Win/Loss Ratio | 1.0 | 1.04 |
| Profit Ratio | 0.93 | 0.81 |
| Expected Daily | 0.06% | 0.06% |
| Expected Monthly | 1.25% | 1.18% |
| Expected Yearly | 8.38% | 7.9% |
| Kelly Criterion | 7.42% | 7.67% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.62% |
| Expected Shortfall (cVaR) | -1.72% | -2.17% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.24 | 0.19 |
| Gain/Pain (1M) | 2.47 | 1.13 |
| Payoff Ratio | 1.0 | 1.04 |
| Profit Factor | 1.24 | 1.19 |
| Common Sense Ratio | 1.24 | 1.26 |
| CPC Index | 0.67 | 0.65 |
| Tail Ratio | 0.99 | 1.06 |
| Outlier Win Ratio | 2.87 | 3.17 |
| Outlier Loss Ratio | 3.17 | 3.37 |
| MTD | 1.08% | 2.57% |
| 3M | 3.82% | 8.21% |
| 6M | 19.85% | 20.0% |
| YTD | 14.3% | 6.23% |
| 1Y | 17.47% | 16.43% |
| 3Y (ann.) | 17.77% | 16.72% |
| 5Y (ann.) | 17.77% | 16.72% |
| 10Y (ann.) | 17.77% | 16.72% |
| All-time (ann.) | 17.77% | 16.72% |
| Best Day | 2.91% | 3.21% |
| Worst Day | -2.7% | -3.49% |
| Best Month | 10.51% | 6.5% |
| Worst Month | -4.94% | -6.81% |
| Best Year | 14.3% | 9.6% |
| Worst Year | 2.77% | 6.23% |
| Avg. Drawdown | -1.71% | -2.3% |
| Avg. Drawdown Days | 13 | 22 |
| Recovery Factor | 1.91 | 1.14 |
| Ulcer Index | 0.02 | 0.06 |
| Serenity Index | 1.14 | 0.25 |
| Avg. Up Month | 2.82% | 3.4% |
| Avg. Down Month | -2.28% | -3.54% |
| Win Days | 53.63% | 52.94% |
| Win Month | 69.23% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.99 |
| Alpha | - | -0.0 |
| Correlation | - | 79.01% |
| Treynor Ratio | - | 16.62% |
| Year | SPY | QLFIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 2.77 | 9.60 | 3.46 | + |
| 2026 | 14.30 | 6.23 | 0.44 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-12-29 | 2026-08-11 | -14.53 | 226 |
| 2025-10-02 | 2025-10-24 | -4.18 | 23 |
| 2025-11-13 | 2025-12-01 | -3.96 | 19 |
| 2026-08-18 | 2026-09-02 | -2.24 | 16 |
| 2025-11-04 | 2025-11-07 | -2.00 | 4 |
| 2026-09-04 | 2026-09-11 | -1.58 | 8 |
| 2026-09-22 | 2026-09-22 | -1.16 | 1 |
| 2025-12-12 | 2025-12-18 | -0.78 | 7 |
| 2025-10-30 | 2025-10-31 | -0.52 | 2 |
| 2026-09-15 | 2026-09-16 | -0.47 | 2 |