| Metric | SPY | HCHYX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 82.0% |
| Cumulative Return | 10.55% | 4.78% |
| CAGR﹪ | 11.31% | 5.11% |
| Sharpe | 0.62 | 0.32 |
| Prob. Sharpe Ratio | 72.47% | 62.14% |
| Smart Sharpe | 0.61 | 0.29 |
| Sortino | 0.89 | 0.45 |
| Smart Sortino | 0.88 | 0.41 |
| Sortino/√2 | 0.63 | 0.32 |
| Smart Sortino/√2 | 0.62 | 0.29 |
| Omega | 1.16 | 1.19 |
| Max Drawdown | -9.35% | -4.14% |
| Max DD Date | 2026-03-30 | 2026-03-27 |
| Max DD Period Start | 2025-11-06 | 2026-03-02 |
| Max DD Period End | 2026-04-14 | 2026-08-12 |
| Longest DD Days | 160 | 164 |
| Volatility (ann.) | 12.86% | 4.74% |
| R^2 | 0.27 | 0.27 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 1.21 | 1.24 |
| Skew | -0.02 | -0.23 |
| Kurtosis | 0.87 | 0.61 |
| Ulcer Performance Index | 4.37 | 2.83 |
| Risk-Adjusted Return | 11.31% | 6.24% |
| Risk-Return Ratio | 0.06 | 0.07 |
| Avg. Return | 0.03% | 0.02% |
| Avg. Win | 0.76% | 0.3% |
| Avg. Loss | -0.68% | -0.3% |
| Win/Loss Ratio | 1.12 | 0.99 |
| Profit Ratio | 1.01 | 0.44 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.77% | 0.36% |
| Expected Yearly | 5.14% | 2.36% |
| Kelly Criterion | 8.49% | 7.34% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.29% | -0.47% |
| Expected Shortfall (cVaR) | -1.66% | -0.65% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.16 | 0.19 |
| Gain/Pain (1M) | 1.02 | 0.78 |
| Payoff Ratio | 1.12 | 0.99 |
| Profit Factor | 1.16 | 1.19 |
| Common Sense Ratio | 1.02 | 1.19 |
| CPC Index | 0.67 | 0.64 |
| Tail Ratio | 0.88 | 1.0 |
| Outlier Win Ratio | 2.91 | 3.37 |
| Outlier Loss Ratio | 2.99 | 2.83 |
| MTD | 1.47% | 0.65% |
| 3M | 1.46% | 0.77% |
| 6M | 6.94% | 1.57% |
| YTD | 13.33% | 2.65% |
| 1Y | 10.55% | 4.78% |
| 3Y (ann.) | 11.31% | 5.11% |
| 5Y (ann.) | 11.31% | 5.11% |
| 10Y (ann.) | 11.31% | 5.11% |
| All-time (ann.) | 11.31% | 5.11% |
| Best Day | 2.91% | 0.92% |
| Worst Day | -2.58% | -0.93% |
| Best Month | 10.51% | 3.09% |
| Worst Month | -4.94% | -3.1% |
| Best Year | 13.33% | 2.65% |
| Worst Year | -2.45% | 2.08% |
| Avg. Drawdown | -1.83% | -1.21% |
| Avg. Drawdown Days | 23 | 32 |
| Recovery Factor | 1.16 | 1.15 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.58 | 0.24 |
| Avg. Up Month | 3.62% | 0.83% |
| Avg. Down Month | -2.1% | -2.04% |
| Win Days | 51.69% | 53.89% |
| Win Month | 53.85% | 69.23% |
| Win Quarter | 60.0% | 60.0% |
| Win Year | 50.0% | 100.0% |
| Beta | - | 0.19 |
| Alpha | - | 0.03 |
| Correlation | - | 51.63% |
| Treynor Ratio | - | 25.15% |
| Year | SPY | HCHYX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | -2.45 | 2.08 | -0.85 | + |
| 2026 | 13.33 | 2.65 | 0.20 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-08-12 | -4.14 | 164 |
| 2026-08-17 | 2026-11-04 | -3.76 | 80 |
| 2026-01-15 | 2026-01-22 | -0.79 | 8 |
| 2026-01-28 | 2026-02-06 | -0.66 | 10 |
| 2025-11-13 | 2025-11-25 | -0.52 | 13 |
| 2026-02-18 | 2026-02-24 | -0.39 | 7 |
| 2025-12-31 | 2026-01-02 | -0.26 | 3 |
| 2025-12-04 | 2025-12-09 | -0.26 | 6 |
| 2025-12-02 | 2025-12-02 | -0.13 | 1 |