| Metric | SPY | QLFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 14.0% | 4.78% |
| CAGR﹪ | 14.24% | 4.86% |
| Sharpe | 0.81 | 0.15 |
| Prob. Sharpe Ratio | 78.94% | 55.85% |
| Smart Sharpe | 0.81 | 0.14 |
| Sortino | 1.19 | 0.21 |
| Smart Sortino | 1.18 | 0.19 |
| Sortino/√2 | 0.84 | 0.15 |
| Smart Sortino/√2 | 0.83 | 0.14 |
| Omega | 1.2 | 1.06 |
| 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.) | 12.91% | 16.52% |
| R^2 | 0.61 | 0.61 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.6 | 0.33 |
| Skew | -0.02 | -0.08 |
| Kurtosis | 0.75 | 0.62 |
| Ulcer Performance Index | 6.48 | 0.83 |
| Risk-Adjusted Return | 14.24% | 5.07% |
| Risk-Return Ratio | 0.07 | 0.02 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.76% | 0.93% |
| Avg. Loss | -0.73% | -0.96% |
| Win/Loss Ratio | 1.04 | 0.97 |
| Profit Ratio | 1.02 | 0.75 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.01% | 0.36% |
| Expected Yearly | 6.77% | 2.36% |
| Kelly Criterion | 5.89% | 2.65% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.69% |
| Expected Shortfall (cVaR) | -1.66% | -2.27% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.2 | 0.06 |
| Gain/Pain (1M) | 1.74 | 0.29 |
| Payoff Ratio | 1.04 | 0.97 |
| Profit Factor | 1.2 | 1.06 |
| Common Sense Ratio | 1.19 | 1.1 |
| CPC Index | 0.65 | 0.54 |
| Tail Ratio | 0.99 | 1.03 |
| Outlier Win Ratio | 2.83 | 3.28 |
| Outlier Loss Ratio | 2.99 | 3.17 |
| MTD | 1.47% | -1.24% |
| 3M | 1.46% | 0.85% |
| 6M | 6.94% | 4.93% |
| YTD | 13.33% | -0.83% |
| 1Y | 14.0% | 4.78% |
| 3Y (ann.) | 14.24% | 4.86% |
| 5Y (ann.) | 14.24% | 4.86% |
| 10Y (ann.) | 14.24% | 4.86% |
| All-time (ann.) | 14.24% | 4.86% |
| Best Day | 2.91% | 3.21% |
| Worst Day | -2.58% | -3.05% |
| Best Month | 10.51% | 6.5% |
| Worst Month | -4.94% | -6.81% |
| Best Year | 13.33% | 5.66% |
| Worst Year | 0.59% | -0.83% |
| Avg. Drawdown | -1.74% | -2.97% |
| Avg. Drawdown Days | 13 | 27 |
| Recovery Factor | 1.57 | 0.41 |
| Ulcer Index | 0.02 | 0.06 |
| Serenity Index | 0.92 | 0.09 |
| Avg. Up Month | 3.87% | 4.19% |
| Avg. Down Month | -1.93% | -3.89% |
| Win Days | 52.02% | 52.12% |
| Win Month | 53.85% | 53.85% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 1.0 |
| Alpha | - | -0.08 |
| Correlation | - | 78.33% |
| Treynor Ratio | - | 4.77% |
| Year | SPY | QLFIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.59 | 5.66 | 9.53 | + |
| 2026 | 13.33 | -0.83 | -0.06 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-12-29 | 2026-08-11 | -14.53 | 226 |
| 2026-10-13 | 2026-11-04 | -8.55 | 23 |
| 2025-11-13 | 2025-12-01 | -3.96 | 19 |
| 2026-08-18 | 2026-09-02 | -2.24 | 16 |
| 2026-09-22 | 2026-10-08 | -1.70 | 17 |
| 2026-09-04 | 2026-09-11 | -1.58 | 8 |
| 2025-11-06 | 2025-11-07 | -1.14 | 2 |
| 2025-12-12 | 2025-12-18 | -0.78 | 7 |
| 2026-09-15 | 2026-09-16 | -0.47 | 2 |
| 2025-12-03 | 2025-12-03 | -0.34 | 1 |