| Metric | SPY | HCHYX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 84.0% |
| Cumulative Return | 9.34% | 1.0% |
| CAGR﹪ | 10.57% | 1.13% |
| Sharpe | 0.55 | -0.57 |
| Prob. Sharpe Ratio | 69.77% | 29.43% |
| Smart Sharpe | 0.54 | -0.54 |
| Sortino | 0.8 | -0.76 |
| Smart Sortino | 0.78 | -0.71 |
| Sortino/√2 | 0.56 | -0.54 |
| Smart Sortino/√2 | 0.55 | -0.51 |
| Omega | 1.15 | 1.04 |
| Max Drawdown | -11.37% | -4.14% |
| Max DD Date | 2026-03-30 | 2026-03-27 |
| Max DD Period Start | 2025-10-16 | 2026-03-02 |
| Max DD Period End | 2026-04-23 | 2026-08-12 |
| Longest DD Days | 190 | 164 |
| Volatility (ann.) | 12.77% | 4.58% |
| R^2 | 0.33 | 0.33 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.93 | 0.27 |
| Skew | 0.01 | -0.32 |
| Kurtosis | 0.98 | 0.51 |
| Ulcer Performance Index | 2.63 | 0.69 |
| Risk-Adjusted Return | 10.57% | 1.34% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.04% | 0.01% |
| Avg. Win | 0.76% | 0.29% |
| Avg. Loss | -0.7% | -0.3% |
| Win/Loss Ratio | 1.08 | 0.97 |
| Profit Ratio | 1.0 | 0.47 |
| Expected Daily | 0.04% | 0.0% |
| Expected Monthly | 0.69% | 0.08% |
| Expected Yearly | 4.57% | 0.5% |
| Kelly Criterion | 7.16% | 1.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.47% |
| Expected Shortfall (cVaR) | -1.65% | -0.64% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.15 | 0.04 |
| Gain/Pain (1M) | 0.85 | 0.19 |
| Payoff Ratio | 1.08 | 0.97 |
| Profit Factor | 1.15 | 1.04 |
| Common Sense Ratio | 0.98 | 0.8 |
| CPC Index | 0.64 | 0.52 |
| Tail Ratio | 0.85 | 0.77 |
| Outlier Win Ratio | 2.99 | 3.36 |
| Outlier Loss Ratio | 2.99 | 2.88 |
| MTD | 1.08% | -1.84% |
| 3M | 3.82% | -1.19% |
| 6M | 19.85% | 1.33% |
| YTD | 14.3% | -0.01% |
| 1Y | 9.34% | 1.0% |
| 3Y (ann.) | 10.57% | 1.13% |
| 5Y (ann.) | 10.57% | 1.13% |
| 10Y (ann.) | 10.57% | 1.13% |
| All-time (ann.) | 10.57% | 1.13% |
| Best Day | 2.91% | 0.8% |
| Worst Day | -2.58% | -0.93% |
| Best Month | 10.51% | 1.71% |
| Worst Month | -4.94% | -3.1% |
| Best Year | 14.3% | 1.01% |
| Worst Year | -4.33% | -0.01% |
| Avg. Drawdown | -1.75% | -1.14% |
| Avg. Drawdown Days | 23 | 31 |
| Recovery Factor | 0.85 | 0.26 |
| Ulcer Index | 0.04 | 0.01 |
| Serenity Index | 0.26 | 0.07 |
| Avg. Up Month | 4.06% | 0.87% |
| Avg. Down Month | -1.77% | -1.01% |
| Win Days | 51.79% | 51.61% |
| Win Month | 53.85% | 53.85% |
| Win Quarter | 40.0% | 40.0% |
| Win Year | 50.0% | 50.0% |
| Beta | - | 0.21 |
| Alpha | - | -0.01 |
| Correlation | - | 57.39% |
| Treynor Ratio | - | 4.85% |
| Year | SPY | HCHYX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | -4.33 | 1.01 | -0.23 | + |
| 2026 | 14.30 | -0.01 | -0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-08-12 | -4.14 | 164 |
| 2026-08-17 | 2026-09-22 | -2.85 | 37 |
| 2025-10-23 | 2025-12-10 | -1.43 | 49 |
| 2026-01-15 | 2026-01-23 | -0.79 | 9 |
| 2026-01-28 | 2026-02-06 | -0.66 | 10 |
| 2025-09-24 | 2025-09-30 | -0.40 | 7 |
| 2025-10-09 | 2025-10-21 | -0.39 | 13 |
| 2026-02-18 | 2026-02-25 | -0.39 | 8 |
| 2025-12-31 | 2026-01-02 | -0.26 | 3 |
| 2025-10-02 | 2025-10-07 | -0.13 | 6 |