| Metric | SPY | HCHYX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 85.0% |
| Cumulative Return | 18.6% | 0.93% |
| CAGR﹪ | 40.67% | 1.86% |
| Sharpe | 2.32 | -0.36 |
| Prob. Sharpe Ratio | 95.04% | 39.88% |
| Smart Sharpe | 2.3 | -0.31 |
| Sortino | 3.78 | -0.52 |
| Smart Sortino | 3.75 | -0.45 |
| Sortino/√2 | 2.67 | -0.37 |
| Smart Sortino/√2 | 2.65 | -0.32 |
| Omega | 1.54 | 1.07 |
| Max Drawdown | -4.49% | -2.85% |
| Max DD Date | 2026-06-10 | 2026-09-16 |
| Max DD Period Start | 2026-06-03 | 2026-08-17 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 37 |
| Volatility (ann.) | 13.55% | 4.56% |
| R^2 | 0.44 | 0.44 |
| Information Ratio | -0.19 | -0.19 |
| Calmar | 9.05 | 0.65 |
| Skew | 0.1 | 0.09 |
| Kurtosis | 1.12 | 0.06 |
| Ulcer Performance Index | 11.86 | 1.12 |
| Risk-Adjusted Return | 40.67% | 2.19% |
| Risk-Return Ratio | 0.16 | 0.03 |
| Avg. Return | 0.12% | 0.01% |
| Avg. Win | 0.89% | 0.3% |
| Avg. Loss | -0.67% | -0.28% |
| Win/Loss Ratio | 1.34 | 1.07 |
| Profit Ratio | 1.12 | 0.6 |
| Expected Daily | 0.14% | 0.01% |
| Expected Monthly | 2.47% | 0.13% |
| Expected Yearly | 18.6% | 0.93% |
| Kelly Criterion | 19.5% | 1.51% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.46% |
| Expected Shortfall (cVaR) | -1.77% | -0.59% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.54 | 0.07 |
| Gain/Pain (1M) | 10.92 | 0.49 |
| Payoff Ratio | 1.34 | 1.07 |
| Profit Factor | 1.54 | 1.07 |
| Common Sense Ratio | 2.01 | 1.32 |
| CPC Index | 1.11 | 0.56 |
| Tail Ratio | 1.3 | 1.24 |
| Outlier Win Ratio | 3.21 | 3.28 |
| Outlier Loss Ratio | 3.16 | 2.45 |
| MTD | 1.08% | -1.84% |
| 3M | 3.82% | -1.19% |
| 6M | 18.6% | 0.93% |
| YTD | 18.6% | 0.93% |
| 1Y | 18.6% | 0.93% |
| 3Y (ann.) | 40.67% | 1.86% |
| 5Y (ann.) | 40.67% | 1.86% |
| 10Y (ann.) | 40.67% | 1.86% |
| All-time (ann.) | 40.67% | 1.86% |
| Best Day | 2.91% | 0.8% |
| Worst Day | -2.58% | -0.78% |
| Best Month | 10.51% | 1.6% |
| Worst Month | -1.03% | -1.84% |
| Best Year | 18.6% | 0.93% |
| Worst Year | 18.6% | 0.93% |
| Avg. Drawdown | -1.13% | -0.61% |
| Avg. Drawdown Days | 9 | 9 |
| Recovery Factor | 3.9 | 0.34 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 2.75 | 0.14 |
| Avg. Up Month | 6.15% | 0.84% |
| Avg. Down Month | -1.03% | -0.13% |
| Win Days | 53.97% | 49.06% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.22 |
| Alpha | - | -0.06 |
| Correlation | - | 66.56% |
| Treynor Ratio | - | 4.14% |
| Year | SPY | HCHYX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 0.93 | 0.05 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-17 | 2026-09-22 | -2.85 | 37 |
| 2026-06-17 | 2026-07-02 | -1.04 | 16 |
| 2026-04-20 | 2026-05-22 | -0.92 | 33 |
| 2026-03-26 | 2026-03-30 | -0.80 | 5 |
| 2026-06-03 | 2026-06-12 | -0.78 | 10 |
| 2026-07-17 | 2026-08-03 | -0.78 | 18 |
| 2026-03-24 | 2026-03-24 | -0.54 | 1 |
| 2026-06-01 | 2026-06-01 | -0.26 | 1 |
| 2026-07-07 | 2026-07-14 | -0.26 | 8 |
| 2026-08-06 | 2026-08-06 | -0.26 | 1 |