| Metric | SPY | QLFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 28.7% | 27.7% |
| CAGR﹪ | 22.85% | 22.07% |
| Sharpe | 1.4 | 1.1 |
| Prob. Sharpe Ratio | 93.73% | 88.71% |
| Smart Sharpe | 1.33 | 1.09 |
| Sortino | 2.06 | 1.61 |
| Smart Sortino | 1.97 | 1.59 |
| Sortino/√2 | 1.46 | 1.14 |
| Smart Sortino/√2 | 1.39 | 1.13 |
| Omega | 1.34 | 1.26 |
| 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.) | 12.3% | 15.4% |
| R^2 | 0.62 | 0.62 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 2.57 | 1.52 |
| Skew | -0.18 | -0.16 |
| Kurtosis | 1.28 | 1.16 |
| Ulcer Performance Index | 14.69 | 5.43 |
| Risk-Adjusted Return | 22.85% | 22.99% |
| Risk-Return Ratio | 0.11 | 0.09 |
| Avg. Return | 0.08% | 0.09% |
| Avg. Win | 0.72% | 0.91% |
| Avg. Loss | -0.68% | -0.85% |
| Win/Loss Ratio | 1.06 | 1.07 |
| Profit Ratio | 0.94 | 0.78 |
| Expected Daily | 0.08% | 0.08% |
| Expected Monthly | 1.59% | 1.54% |
| Expected Yearly | 13.45% | 13.0% |
| Kelly Criterion | 11.3% | 11.1% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.19% | -1.51% |
| Expected Shortfall (cVaR) | -1.62% | -1.98% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.34 | 0.26 |
| Gain/Pain (1M) | 3.81 | 1.66 |
| Payoff Ratio | 1.06 | 1.07 |
| Profit Factor | 1.34 | 1.26 |
| Common Sense Ratio | 1.37 | 1.36 |
| CPC Index | 0.77 | 0.73 |
| Tail Ratio | 1.03 | 1.08 |
| Outlier Win Ratio | 2.9 | 3.29 |
| Outlier Loss Ratio | 3.22 | 3.51 |
| MTD | 1.08% | 2.57% |
| 3M | 3.82% | 8.21% |
| 6M | 19.85% | 20.0% |
| YTD | 14.3% | 6.23% |
| 1Y | 17.38% | 16.54% |
| 3Y (ann.) | 22.85% | 22.07% |
| 5Y (ann.) | 22.85% | 22.07% |
| 10Y (ann.) | 22.85% | 22.07% |
| All-time (ann.) | 22.85% | 22.07% |
| 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% | 20.2% |
| Worst Year | 12.6% | 6.23% |
| Avg. Drawdown | -1.33% | -1.73% |
| Avg. Drawdown Days | 10 | 16 |
| Recovery Factor | 2.95 | 1.78 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 1.92 | 0.43 |
| Avg. Up Month | 2.96% | 3.77% |
| Avg. Down Month | -2.28% | -3.54% |
| Win Days | 54.37% | 54.05% |
| Win Month | 75.0% | 68.75% |
| Win Quarter | 83.33% | 83.33% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.98 |
| Alpha | - | 0.0 |
| Correlation | - | 78.59% |
| Treynor Ratio | - | 28.13% |
| Year | SPY | QLFIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 12.60 | 20.20 | 1.60 | + |
| 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 |
| 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 |
| 2026-09-04 | 2026-09-11 | -1.58 | 8 |
| 2026-09-22 | 2026-09-22 | -1.16 | 1 |
| 2025-08-07 | 2025-08-11 | -0.97 | 5 |
| 2025-12-12 | 2025-12-18 | -0.78 | 7 |