| Metric | SPY | HCHYX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 85.0% |
| Cumulative Return | 47.05% | 11.16% |
| CAGR﹪ | 8.52% | 2.27% |
| Sharpe | 0.34 | -0.19 |
| Prob. Sharpe Ratio | 76.98% | 34.17% |
| Smart Sharpe | 0.33 | -0.18 |
| Sortino | 0.49 | -0.26 |
| Smart Sortino | 0.47 | -0.25 |
| Sortino/√2 | 0.34 | -0.18 |
| Smart Sortino/√2 | 0.33 | -0.18 |
| Omega | 1.1 | 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.) | 17.36% | 6.99% |
| R^2 | 0.52 | 0.52 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.35 | 0.15 |
| Skew | 0.37 | -0.14 |
| Kurtosis | 9.08 | 3.96 |
| Ulcer Performance Index | 5.28 | 1.87 |
| Risk-Adjusted Return | 8.52% | 2.67% |
| Risk-Return Ratio | 0.04 | 0.02 |
| Avg. Return | 0.04% | 0.01% |
| Avg. Win | 0.92% | 0.4% |
| Avg. Loss | -0.92% | -0.41% |
| Win/Loss Ratio | 1.0 | 0.97 |
| Profit Ratio | 0.86 | 0.48 |
| Expected Daily | 0.03% | 0.01% |
| Expected Monthly | 0.63% | 0.17% |
| Expected Yearly | 6.64% | 1.78% |
| Kelly Criterion | 6.07% | 2.91% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.76% | -0.71% |
| Expected Shortfall (cVaR) | -2.6% | -1.07% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.1 | 0.06 |
| Gain/Pain (1M) | 0.53 | 0.26 |
| Payoff Ratio | 1.0 | 0.97 |
| Profit Factor | 1.1 | 1.06 |
| Common Sense Ratio | 1.11 | 1.08 |
| CPC Index | 0.59 | 0.54 |
| Tail Ratio | 1.0 | 1.02 |
| Outlier Win Ratio | 3.41 | 4.02 |
| Outlier Loss Ratio | 3.77 | 3.3 |
| MTD | 1.47% | 0.65% |
| 3M | 1.46% | 0.77% |
| 6M | 6.94% | 1.57% |
| YTD | 13.33% | 2.65% |
| 1Y | 9.62% | 4.51% |
| 3Y (ann.) | 15.18% | 5.93% |
| 5Y (ann.) | 9.43% | 2.62% |
| 10Y (ann.) | 8.52% | 2.27% |
| All-time (ann.) | 8.52% | 2.27% |
| 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 | -2.32% | -1.74% |
| Avg. Drawdown Days | 32 | 67 |
| Recovery Factor | 1.86 | 0.76 |
| Ulcer Index | 0.09 | 0.06 |
| Serenity Index | 0.29 | 0.07 |
| Avg. Up Month | 3.93% | 1.59% |
| Avg. Down Month | -3.86% | -2.11% |
| Win Days | 52.99% | 52.2% |
| Win Month | 59.02% | 59.02% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 66.67% | 83.33% |
| Beta | - | 0.29 |
| Alpha | - | -0.0 |
| Correlation | - | 71.87% |
| Treynor Ratio | - | 38.57% |
| Year | SPY | HCHYX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.17 | 0.10 | - |
| 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 | 13.33 | 2.65 | 0.20 | - |
| 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 | 2026-11-04 | -3.76 | 80 |
| 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 |
| 2024-08-28 | 2024-09-11 | -0.81 | 15 |
| 2025-07-30 | 2025-08-12 | -0.80 | 14 |