| Metric | SPY | HCHYX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 85.0% |
| Cumulative Return | 56.79% | 10.26% |
| CAGR﹪ | 10.0% | 2.09% |
| Sharpe | 0.42 | -0.2 |
| Prob. Sharpe Ratio | 82.05% | 32.94% |
| Smart Sharpe | 0.41 | -0.2 |
| Sortino | 0.6 | -0.28 |
| Smart Sortino | 0.59 | -0.27 |
| Sortino/√2 | 0.43 | -0.2 |
| Smart Sortino/√2 | 0.42 | -0.19 |
| Omega | 1.12 | 1.06 |
| Max Drawdown | -24.5% | -15.41% |
| Max DD Date | 2022-10-12 | 2022-10-14 |
| Max DD Period Start | 2022-01-04 | 2021-12-31 |
| Max DD Period End | 2023-12-12 | 2024-06-04 |
| Longest DD Days | 708 | 887 |
| Volatility (ann.) | 17.37% | 6.97% |
| R^2 | 0.53 | 0.53 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.41 | 0.14 |
| Skew | 0.35 | -0.14 |
| Kurtosis | 9.04 | 4.01 |
| Ulcer Performance Index | 6.37 | 1.72 |
| Risk-Adjusted Return | 10.0% | 2.46% |
| Risk-Return Ratio | 0.04 | 0.02 |
| Avg. Return | 0.05% | 0.01% |
| Avg. Win | 0.92% | 0.39% |
| Avg. Loss | -0.92% | -0.41% |
| Win/Loss Ratio | 0.99 | 0.96 |
| Profit Ratio | 0.84 | 0.48 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.74% | 0.16% |
| Expected Yearly | 7.78% | 1.64% |
| Kelly Criterion | 6.91% | 2.71% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.76% | -0.71% |
| Expected Shortfall (cVaR) | -2.61% | -1.07% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.12 | 0.06 |
| Gain/Pain (1M) | 0.6 | 0.24 |
| Payoff Ratio | 0.99 | 0.96 |
| Profit Factor | 1.12 | 1.06 |
| Common Sense Ratio | 1.13 | 1.07 |
| CPC Index | 0.6 | 0.53 |
| Tail Ratio | 1.01 | 1.01 |
| Outlier Win Ratio | 3.42 | 4.05 |
| Outlier Loss Ratio | 3.75 | 3.3 |
| MTD | 1.08% | -1.84% |
| 3M | 3.82% | -1.19% |
| 6M | 19.85% | 1.33% |
| YTD | 14.3% | -0.01% |
| 1Y | 8.75% | 1.27% |
| 3Y (ann.) | 19.43% | 7.21% |
| 5Y (ann.) | 9.63% | 2.07% |
| 10Y (ann.) | 10.0% | 2.09% |
| All-time (ann.) | 10.0% | 2.09% |
| Best Day | 10.5% | 3.07% |
| Worst Day | -5.85% | -2.2% |
| Best Month | 10.51% | 5.02% |
| Worst Month | -9.24% | -5.6% |
| Best Year | 26.18% | 9.81% |
| Worst Year | -18.18% | -12.9% |
| Avg. Drawdown | -2.25% | -1.61% |
| Avg. Drawdown Days | 31 | 61 |
| Recovery Factor | 2.13 | 0.71 |
| Ulcer Index | 0.09 | 0.06 |
| Serenity Index | 0.33 | 0.06 |
| Avg. Up Month | 4.1% | 1.63% |
| Avg. Down Month | -3.9% | -1.99% |
| Win Days | 53.58% | 52.3% |
| Win Month | 60.66% | 57.38% |
| Win Quarter | 61.9% | 57.14% |
| Win Year | 66.67% | 66.67% |
| Beta | - | 0.29 |
| Alpha | - | -0.01 |
| Correlation | - | 72.93% |
| Treynor Ratio | - | 35.06% |
| Year | SPY | HCHYX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 2.00 | 0.27 | - |
| 2022 | -18.18 | -12.90 | 0.71 | + |
| 2023 | 26.18 | 9.81 | 0.37 | - |
| 2024 | 24.89 | 8.56 | 0.34 | - |
| 2025 | -1.07 | 4.12 | -3.84 | + |
| 2026 | 14.30 | -0.01 | -0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-31 | 2024-06-04 | -15.41 | 887 |
| 2024-12-10 | 2025-07-17 | -4.68 | 220 |
| 2026-03-02 | 2026-08-12 | -4.14 | 164 |
| 2026-08-17 | 2026-09-22 | -2.85 | 37 |
| 2024-07-17 | 2024-08-16 | -2.57 | 31 |
| 2024-09-30 | 2024-12-03 | -2.29 | 65 |
| 2021-11-08 | 2021-12-23 | -1.68 | 46 |
| 2025-10-23 | 2025-12-10 | -1.43 | 49 |
| 2021-09-27 | 2021-10-18 | -1.34 | 22 |
| 2024-08-22 | 2024-09-11 | -0.81 | 21 |