| Metric | SPY | HCHYX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 82.0% |
| Cumulative Return | 147.4% | 37.61% |
| CAGR﹪ | 13.55% | 4.58% |
| Sharpe | 0.6 | 0.27 |
| Prob. Sharpe Ratio | 94.5% | 76.39% |
| Smart Sharpe | 0.52 | 0.25 |
| Sortino | 0.85 | 0.37 |
| Smart Sortino | 0.73 | 0.35 |
| Sortino/√2 | 0.6 | 0.26 |
| Smart Sortino/√2 | 0.52 | 0.25 |
| Omega | 1.15 | 1.13 |
| Max Drawdown | -33.72% | -15.41% |
| Max DD Date | 2020-03-23 | 2022-10-14 |
| Max DD Period Start | 2020-02-20 | 2021-12-31 |
| Max DD Period End | 2020-08-11 | 2024-06-04 |
| Longest DD Days | 708 | 887 |
| Volatility (ann.) | 19.64% | 7.16% |
| R^2 | 0.64 | 0.64 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.4 | 0.3 |
| Skew | -0.27 | -0.41 |
| Kurtosis | 13.89 | 7.28 |
| Ulcer Performance Index | 17.9 | 7.59 |
| Risk-Adjusted Return | 13.55% | 5.59% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.96% | 0.39% |
| Avg. Loss | -1.02% | -0.42% |
| Win/Loss Ratio | 0.95 | 0.93 |
| Profit Ratio | 0.78 | 0.39 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.01% | 0.36% |
| Expected Yearly | 11.99% | 4.07% |
| Kelly Criterion | 7.2% | 6.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.98% | -0.72% |
| Expected Shortfall (cVaR) | -3.25% | -1.16% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.15 | 0.13 |
| Gain/Pain (1M) | 0.9 | 0.62 |
| Payoff Ratio | 0.95 | 0.93 |
| Profit Factor | 1.15 | 1.13 |
| Common Sense Ratio | 1.1 | 1.12 |
| CPC Index | 0.6 | 0.58 |
| Tail Ratio | 0.95 | 0.99 |
| Outlier Win Ratio | 3.73 | 4.48 |
| Outlier Loss Ratio | 4.1 | 3.48 |
| 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.) | 13.55% | 4.58% |
| All-time (ann.) | 13.55% | 4.58% |
| Best Day | 10.5% | 3.07% |
| Worst Day | -10.94% | -3.28% |
| Best Month | 12.03% | 5.02% |
| Worst Month | -12.49% | -5.6% |
| Best Year | 28.73% | 10.91% |
| Worst Year | -18.18% | -12.9% |
| Avg. Drawdown | -1.96% | -1.12% |
| Avg. Drawdown Days | 20 | 31 |
| Recovery Factor | 3.1 | 2.19 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.81 | 0.27 |
| Avg. Up Month | 4.12% | 1.58% |
| Avg. Down Month | -4.18% | -1.98% |
| Win Days | 54.79% | 54.72% |
| Win Month | 63.33% | 63.33% |
| Win Quarter | 74.19% | 70.97% |
| Win Year | 75.0% | 87.5% |
| Beta | - | 0.29 |
| Alpha | - | 0.0 |
| Correlation | - | 79.95% |
| Treynor Ratio | - | 128.99% |
| Year | SPY | HCHYX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 14.71 | 3.17 | 0.22 | - |
| 2020 | 15.90 | 10.91 | 0.69 | - |
| 2021 | 28.73 | 8.37 | 0.29 | - |
| 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 |
| 2020-02-20 | 2020-05-29 | -9.89 | 100 |
| 2024-12-10 | 2025-07-17 | -4.68 | 220 |
| 2026-03-02 | 2026-08-12 | -4.14 | 164 |
| 2020-09-03 | 2020-11-13 | -3.83 | 72 |
| 2026-08-17 | 2026-11-04 | -3.76 | 80 |
| 2024-07-17 | 2024-08-16 | -2.57 | 31 |
| 2021-09-03 | 2021-11-01 | -2.40 | 60 |
| 2024-09-30 | 2024-12-03 | -2.29 | 65 |
| 2020-06-09 | 2020-07-09 | -2.22 | 31 |