QMLFX vs. CAPTX

Last updated Jun 24, 2026

QMLFX (Quantified Market Leaders Fund) and CAPTX (Canterbury Portfolio Thermostat Fund) are both Tactical Allocation funds. Over the past 5 years, QMLFX returned 2.02%/yr vs 6.22%/yr for CAPTX. Their correlation of 0.80 suggests significant overlap in exposure. QMLFX charges 1.30%/yr vs 1.98%/yr for CAPTX.

Performance

QMLFX vs. CAPTX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Quantified Market Leaders Fund (QMLFX) and Canterbury Portfolio Thermostat Fund (CAPTX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QMLFX achieves a 21.38% return, which is significantly higher than CAPTX's 18.41% return.

QMLFX

• 1D: 0.66%
• 1M: 6.68%
• YTD: 21.38%
• 6M: 18.19%
• 1Y: 38.95%
• 3Y*: 13.55%
• 5Y*: 2.02%
• 10Y*: 11.00%

CAPTX

• 1D: 0.82%
• 1M: 4.10%
• YTD: 18.41%
• 6M: 17.18%
• 1Y: 31.99%
• 3Y*: 13.22%
• 5Y*: 6.22%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

QMLFX vs. CAPTX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
QMLFX Quantified Market Leaders Fund	21.38%	0.97%	11.05%	15.04%	-23.59%	13.22%	37.81%	26.08%	-13.48%	16.76%
CAPTX Canterbury Portfolio Thermostat Fund	18.41%	12.68%	11.07%	0.63%	-11.80%	14.07%	-3.30%	14.16%	-7.98%	12.46%

Correlation

The correlation between QMLFX and CAPTX is 0.83, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.83
Correlation (3Y) Calculated over the trailing 3-year period	0.75
Correlation (5Y) Calculated over the trailing 5-year period	0.77
Correlation (All Time) Calculated using the full available price history since Jan 3, 2017	0.80

The correlation between QMLFX and CAPTX has been stable across timeframes, ranging from 0.75 to 0.83 - a consistent structural relationship.

Return for Risk

QMLFX vs. CAPTX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

QMLFX

QMLFX Risk / Return Rank: 55
QMLFX Sharpe Ratio Rank: 44
QMLFX Sortino Ratio Rank: 37
QMLFX Omega Ratio Rank: 42
QMLFX Calmar Ratio Rank: 88
QMLFX Martin Ratio Rank: 62

CAPTX

CAPTX Risk / Return Rank: 89
CAPTX Sharpe Ratio Rank: 91
CAPTX Sortino Ratio Rank: 88
CAPTX Omega Ratio Rank: 84
CAPTX Calmar Ratio Rank: 89
CAPTX Martin Ratio Rank: 93

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

QMLFX vs. CAPTX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Quantified Market Leaders Fund (QMLFX) and Canterbury Portfolio Thermostat Fund (CAPTX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	QMLFX	CAPTX	Difference
Sharpe ratio: Return per unit of total volatility	1.81	2.82	-1.02
Sortino ratio: Return per unit of downside risk	2.34	3.92	-1.58
Omega ratio: Gain probability vs. loss probability	1.32	1.52	-0.20
Calmar ratio: Return relative to maximum drawdown	4.13	4.24	-0.11
Martin ratio: Return relative to average drawdown	11.64	18.21	-6.57

QMLFX vs. CAPTX - Sharpe Ratio Comparison

The current QMLFX Sharpe Ratio is 1.81, which is lower than the CAPTX Sharpe Ratio of 2.82. The chart below compares the historical Sharpe Ratios of QMLFX and CAPTX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

QMLFX vs. CAPTX - Drawdown Comparison

The maximum QMLFX drawdown since its inception was -36.59%, which is greater than CAPTX's maximum drawdown of -28.25%. Use the drawdown chart below to compare losses from any high point for QMLFX and CAPTX.

Drawdown Indicators

	QMLFX	CAPTX	Difference
Max Drawdown Largest peak-to-trough decline	-36.59%	-28.25%	-8.34%
Max Drawdown (1Y) Largest decline over 1 year	-10.07%	-7.81%	-2.26%
Max Drawdown (3Y) Largest decline over 3 years	-27.21%	-11.27%	-15.94%
Max Drawdown (5Y) Largest decline over 5 years	-34.07%	-15.88%	-18.19%
Max Drawdown (10Y) Largest decline over 10 years	-36.59%	—	—
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-12.49%	-5.43%	-7.06%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.56%	1.81%	+1.75%

Volatility

QMLFX vs. CAPTX - Volatility Comparison

Quantified Market Leaders Fund (QMLFX) has a higher volatility of 11.85% compared to Canterbury Portfolio Thermostat Fund (CAPTX) at 5.05%. This indicates that QMLFX's price experiences larger fluctuations and is considered to be riskier than CAPTX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QMLFX	CAPTX	Difference
Volatility (1M) Calculated over the trailing 1-month period	11.85%	5.05%	+6.80%
Volatility (6M) Calculated over the trailing 6-month period	17.84%	9.70%	+8.14%
Volatility (1Y) Calculated over the trailing 1-year period	23.04%	11.75%	+11.29%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.54%	9.94%	+10.60%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.24%	11.75%	+9.49%

QMLFX vs. CAPTX - Expense Ratio Comparison

QMLFX has a 1.30% expense ratio, which is lower than CAPTX's 1.98% expense ratio.

Dividends

QMLFX vs. CAPTX - Dividend Comparison

QMLFX's dividend yield for the trailing twelve months is around 1.13%, while CAPTX has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CAPTX Canterbury Portfolio Thermostat Fund	0.00%	0.00%	0.00%	0.63%	0.00%	13.02%	0.15%	1.21%	1.35%	0.99%	0.00%	0.00%
QMLFX Quantified Market Leaders Fund	1.13%	1.37%	0.00%	1.99%	0.00%	26.84%	9.58%	0.00%	15.63%	12.15%	2.22%	1.63%

Frequently Asked Questions

Can I hold both QMLFX and CAPTX in my portfolio?

QMLFX and CAPTX have a correlation of 0.83, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QMLFX or CAPTX?

QMLFX has higher volatility (11.85%) compared to CAPTX (5.05%). In terms of maximum drawdown, QMLFX dropped -36.59% vs CAPTX's -28.25%.

Which has better risk-adjusted returns?

CAPTX currently has the higher Sharpe Ratio (2.82 vs 1.81), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.