| Metric | SPY | QSPIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 18.6% | 15.36% |
| CAGR﹪ | 40.67% | 33.08% |
| Sharpe | 2.32 | 2.58 |
| Prob. Sharpe Ratio | 95.04% | 96.54% |
| Smart Sharpe | 2.3 | 2.36 |
| Sortino | 3.78 | 4.19 |
| Smart Sortino | 3.75 | 3.84 |
| Sortino/√2 | 2.67 | 2.96 |
| Smart Sortino/√2 | 2.65 | 2.72 |
| Omega | 1.54 | 1.58 |
| Max Drawdown | -4.49% | -4.14% |
| Max DD Date | 2026-06-10 | 2026-04-20 |
| Max DD Period Start | 2026-06-03 | 2026-04-07 |
| Max DD Period End | 2026-07-31 | 2026-05-29 |
| Longest DD Days | 59 | 53 |
| Volatility (ann.) | 13.55% | 9.89% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 9.05 | 8.0 |
| Skew | 0.1 | -0.05 |
| Kurtosis | 1.12 | -0.38 |
| Ulcer Performance Index | 11.86 | 10.72 |
| Risk-Adjusted Return | 40.67% | 34.82% |
| Risk-Return Ratio | 0.16 | 0.19 |
| Avg. Return | 0.14% | 0.12% |
| Avg. Win | 0.63% | 0.56% |
| Avg. Loss | -0.42% | -0.49% |
| Win/Loss Ratio | 1.5 | 1.15 |
| Profit Ratio | 1.12 | 0.89 |
| Expected Daily | 0.14% | 0.11% |
| Expected Monthly | 2.47% | 2.06% |
| Expected Yearly | 18.6% | 15.36% |
| Kelly Criterion | 23.32% | 15.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.91% |
| Expected Shortfall (cVaR) | -1.77% | -1.08% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.54 | 0.58 |
| Gain/Pain (1M) | 10.92 | - |
| Payoff Ratio | 1.5 | 1.15 |
| Profit Factor | 1.54 | 1.58 |
| Common Sense Ratio | 2.01 | 1.89 |
| CPC Index | 1.25 | 0.99 |
| Tail Ratio | 1.3 | 1.19 |
| Outlier Win Ratio | 3.21 | 2.41 |
| Outlier Loss Ratio | 3.16 | 2.66 |
| MTD | 1.08% | 4.11% |
| 3M | 3.82% | 12.85% |
| 6M | 18.6% | 15.36% |
| YTD | 18.6% | 15.36% |
| 1Y | 18.6% | 15.36% |
| 3Y (ann.) | 40.67% | 33.08% |
| 5Y (ann.) | 40.67% | 33.08% |
| 10Y (ann.) | 40.67% | 33.08% |
| All-time (ann.) | 40.67% | 33.08% |
| Best Day | 2.91% | 1.67% |
| Worst Day | -2.58% | -1.43% |
| Best Month | 10.51% | 5.58% |
| Worst Month | -1.03% | 0.11% |
| Best Year | 18.6% | 15.36% |
| Worst Year | 18.6% | 15.36% |
| Avg. Drawdown | -1.13% | -1.22% |
| Avg. Drawdown Days | 9 | 10 |
| Recovery Factor | 3.9 | 3.51 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 2.75 | 1.99 |
| Avg. Up Month | 3.91% | 2.64% |
| Avg. Down Month | - | - |
| Win Days | 53.97% | 54.62% |
| Win Month | 71.43% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.14 |
| Alpha | - | 0.34 |
| Correlation | - | -19.49% |
| Treynor Ratio | - | -108.0% |
| Year | SPY | QSPIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 15.36 | 0.83 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-04-07 | 2026-05-29 | -4.14 | 53 |
| 2026-06-09 | 2026-07-16 | -3.14 | 38 |
| 2026-08-03 | 2026-08-17 | -2.35 | 15 |
| 2026-09-18 | 2026-09-22 | -1.45 | 5 |
| 2026-09-08 | 2026-09-11 | -1.30 | 4 |
| 2026-08-19 | 2026-08-20 | -0.78 | 2 |
| 2026-03-25 | 2026-03-25 | -0.74 | 1 |
| 2026-06-04 | 2026-06-04 | -0.61 | 1 |
| 2026-07-27 | 2026-07-28 | -0.60 | 2 |
| 2026-03-30 | 2026-03-31 | -0.31 | 2 |