| Metric | SPY | QLFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 27.61% | 19.2% |
| CAGR﹪ | 19.8% | 13.91% |
| Sharpe | 1.21 | 0.66 |
| Prob. Sharpe Ratio | 91.86% | 77.66% |
| Smart Sharpe | 1.17 | 0.64 |
| Sortino | 1.77 | 0.93 |
| Smart Sortino | 1.71 | 0.91 |
| Sortino/√2 | 1.25 | 0.66 |
| Smart Sortino/√2 | 1.21 | 0.65 |
| Omega | 1.29 | 1.17 |
| 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.) | 12.21% | 15.46% |
| R^2 | 0.62 | 0.62 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 2.23 | 0.96 |
| Skew | -0.18 | -0.23 |
| Kurtosis | 1.22 | 1.22 |
| Ulcer Performance Index | 14.38 | 3.86 |
| Risk-Adjusted Return | 19.8% | 14.64% |
| Risk-Return Ratio | 0.1 | 0.06 |
| Avg. Return | 0.07% | 0.06% |
| Avg. Win | 0.71% | 0.87% |
| Avg. Loss | -0.68% | -0.88% |
| Win/Loss Ratio | 1.04 | 1.0 |
| Profit Ratio | 0.95 | 0.71 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.36% | 0.98% |
| Expected Yearly | 12.96% | 9.18% |
| Kelly Criterion | 9.46% | 7.58% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.19% | -1.55% |
| Expected Shortfall (cVaR) | -1.62% | -2.04% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.29 | 0.17 |
| Gain/Pain (1M) | 3.17 | 0.88 |
| Payoff Ratio | 1.04 | 1.0 |
| Profit Factor | 1.29 | 1.17 |
| Common Sense Ratio | 1.27 | 1.18 |
| CPC Index | 0.72 | 0.63 |
| Tail Ratio | 0.98 | 1.01 |
| Outlier Win Ratio | 2.91 | 3.43 |
| Outlier Loss Ratio | 3.21 | 3.48 |
| MTD | 1.47% | -1.24% |
| 3M | 1.46% | 0.85% |
| 6M | 6.94% | 4.93% |
| YTD | 13.33% | -0.83% |
| 1Y | 13.04% | 3.87% |
| 3Y (ann.) | 19.8% | 13.91% |
| 5Y (ann.) | 19.8% | 13.91% |
| 10Y (ann.) | 19.8% | 13.91% |
| All-time (ann.) | 19.8% | 13.91% |
| 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 | 13.33% | 20.2% |
| Worst Year | 12.6% | -0.83% |
| Avg. Drawdown | -1.39% | -2.04% |
| Avg. Drawdown Days | 11 | 17 |
| Recovery Factor | 2.86 | 1.32 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 1.91 | 0.33 |
| Avg. Up Month | 3.17% | 3.9% |
| Avg. Down Month | -1.93% | -3.89% |
| Win Days | 53.82% | 53.87% |
| Win Month | 66.67% | 61.11% |
| Win Quarter | 85.71% | 71.43% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 1.0 |
| Alpha | - | -0.05 |
| Correlation | - | 78.76% |
| Treynor Ratio | - | 19.25% |
| Year | SPY | QLFIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 12.60 | 20.20 | 1.60 | + |
| 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 |
| 2025-10-02 | 2025-10-24 | -4.18 | 23 |
| 2025-11-13 | 2025-12-01 | -3.96 | 19 |
| 2025-07-02 | 2025-08-05 | -3.23 | 35 |
| 2026-08-18 | 2026-09-02 | -2.24 | 16 |
| 2025-11-04 | 2025-11-07 | -2.00 | 4 |
| 2026-09-22 | 2026-10-08 | -1.70 | 17 |
| 2026-09-04 | 2026-09-11 | -1.58 | 8 |
| 2025-08-07 | 2025-08-11 | -0.97 | 5 |