| Metric | SPY | QLFIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 18.6% | 19.33% |
| CAGR﹪ | 40.67% | 42.39% |
| Sharpe | 2.32 | 1.9 |
| Prob. Sharpe Ratio | 95.04% | 90.99% |
| Smart Sharpe | 2.3 | 1.8 |
| Sortino | 3.78 | 3.0 |
| Smart Sortino | 3.75 | 2.85 |
| Sortino/√2 | 2.67 | 2.12 |
| Smart Sortino/√2 | 2.65 | 2.01 |
| Omega | 1.54 | 1.42 |
| Max Drawdown | -4.49% | -7.59% |
| Max DD Date | 2026-06-10 | 2026-07-29 |
| Max DD Period Start | 2026-06-03 | 2026-06-02 |
| Max DD Period End | 2026-07-31 | 2026-08-07 |
| Longest DD Days | 59 | 67 |
| Volatility (ann.) | 13.55% | 17.56% |
| R^2 | 0.6 | 0.6 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 9.05 | 5.58 |
| Skew | 0.1 | 0.04 |
| Kurtosis | 1.12 | 0.61 |
| Ulcer Performance Index | 11.86 | 6.4 |
| Risk-Adjusted Return | 40.67% | 43.7% |
| Risk-Return Ratio | 0.16 | 0.13 |
| Avg. Return | 0.14% | 0.15% |
| Avg. Win | 0.86% | 1.09% |
| Avg. Loss | -0.67% | -0.9% |
| Win/Loss Ratio | 1.29 | 1.21 |
| Profit Ratio | 1.12 | 0.91 |
| Expected Daily | 0.14% | 0.14% |
| Expected Monthly | 2.47% | 2.56% |
| Expected Yearly | 18.6% | 19.33% |
| Kelly Criterion | 18.25% | 15.38% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.67% |
| Expected Shortfall (cVaR) | -1.77% | -2.29% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.54 | 0.42 |
| Gain/Pain (1M) | 10.92 | 5.53 |
| Payoff Ratio | 1.29 | 1.21 |
| Profit Factor | 1.54 | 1.42 |
| Common Sense Ratio | 2.01 | 1.8 |
| CPC Index | 1.07 | 0.92 |
| Tail Ratio | 1.3 | 1.27 |
| Outlier Win Ratio | 3.21 | 3.23 |
| Outlier Loss Ratio | 3.16 | 3.43 |
| MTD | 1.08% | 2.57% |
| 3M | 3.82% | 8.21% |
| 6M | 18.6% | 19.33% |
| YTD | 18.6% | 19.33% |
| 1Y | 18.6% | 19.33% |
| 3Y (ann.) | 40.67% | 42.39% |
| 5Y (ann.) | 40.67% | 42.39% |
| 10Y (ann.) | 40.67% | 42.39% |
| All-time (ann.) | 40.67% | 42.39% |
| Best Day | 2.91% | 3.21% |
| Worst Day | -2.58% | -3.0% |
| Best Month | 10.51% | 6.5% |
| Worst Month | -1.03% | -3.29% |
| Best Year | 18.6% | 19.33% |
| Worst Year | 18.6% | 19.33% |
| Avg. Drawdown | -1.13% | -1.5% |
| Avg. Drawdown Days | 9 | 9 |
| Recovery Factor | 3.9 | 2.43 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 2.75 | 1.07 |
| Avg. Up Month | 3.91% | 4.37% |
| Avg. Down Month | -0.9% | -1.78% |
| Win Days | 53.97% | 53.72% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.01 |
| Alpha | - | 0.02 |
| Correlation | - | 77.54% |
| Treynor Ratio | - | 19.23% |
| Year | SPY | QLFIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 19.33 | 1.04 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-02 | 2026-08-07 | -7.59 | 67 |
| 2026-04-09 | 2026-04-28 | -4.13 | 20 |
| 2026-03-26 | 2026-03-31 | -3.52 | 6 |
| 2026-08-18 | 2026-09-02 | -2.24 | 16 |
| 2026-09-04 | 2026-09-11 | -1.58 | 8 |
| 2026-09-22 | 2026-09-22 | -1.16 | 1 |
| 2026-05-27 | 2026-05-28 | -1.02 | 2 |
| 2026-05-15 | 2026-05-22 | -0.94 | 8 |
| 2026-09-15 | 2026-09-16 | -0.47 | 2 |
| 2026-08-11 | 2026-08-11 | -0.41 | 1 |