| Metric | SPY | HFEQ |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.39% | 9.55% |
| CAGR﹪ | 14.51% | 9.63% |
| Sharpe | 0.83 | 0.37 |
| Prob. Sharpe Ratio | 79.61% | 64.37% |
| Smart Sharpe | 0.82 | 0.34 |
| Sortino | 1.22 | 0.54 |
| Smart Sortino | 1.2 | 0.5 |
| Sortino/√2 | 0.86 | 0.38 |
| Smart Sortino/√2 | 0.85 | 0.35 |
| Omega | 1.2 | 1.09 |
| Max Drawdown | -8.88% | -12.46% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-02-26 |
| Max DD Period End | 2026-04-13 | 2026-05-05 |
| Longest DD Days | 76 | 83 |
| Volatility (ann.) | 12.86% | 20.66% |
| R^2 | 0.76 | 0.76 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 1.63 | 0.77 |
| Skew | -0.02 | 0.01 |
| Kurtosis | 0.78 | 0.6 |
| Ulcer Performance Index | 6.68 | 1.98 |
| Risk-Adjusted Return | 14.51% | 9.63% |
| Risk-Return Ratio | 0.07 | 0.03 |
| Avg. Return | 0.06% | 0.05% |
| Avg. Win | 0.71% | 1.1% |
| Avg. Loss | -0.66% | -1.11% |
| Win/Loss Ratio | 1.07 | 0.99 |
| Profit Ratio | 1.02 | 0.82 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.04% | 0.7% |
| Expected Yearly | 6.95% | 4.66% |
| Kelly Criterion | 7.33% | 5.92% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -2.1% |
| Expected Shortfall (cVaR) | -1.66% | -2.72% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.2 | 0.09 |
| Gain/Pain (1M) | 1.83 | 0.62 |
| Payoff Ratio | 1.07 | 0.99 |
| Profit Factor | 1.2 | 1.09 |
| Common Sense Ratio | 1.19 | 1.14 |
| CPC Index | 0.67 | 0.58 |
| Tail Ratio | 0.99 | 1.04 |
| Outlier Win Ratio | 2.84 | 3.44 |
| Outlier Loss Ratio | 3.01 | 3.05 |
| MTD | 1.47% | 0.99% |
| 3M | 1.46% | -4.68% |
| 6M | 6.94% | 0.57% |
| YTD | 13.33% | 10.06% |
| 1Y | 14.39% | 9.55% |
| 3Y (ann.) | 14.51% | 9.63% |
| 5Y (ann.) | 14.51% | 9.63% |
| 10Y (ann.) | 14.51% | 9.63% |
| All-time (ann.) | 14.51% | 9.63% |
| Best Day | 2.91% | 3.83% |
| Worst Day | -2.58% | -3.97% |
| Best Month | 10.51% | 8.24% |
| Worst Month | -4.94% | -8.48% |
| Best Year | 13.33% | 10.06% |
| Worst Year | 0.94% | -0.47% |
| Avg. Drawdown | -1.74% | -3.73% |
| Avg. Drawdown Days | 14 | 16 |
| Recovery Factor | 1.61 | 0.9 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 0.94 | 0.3 |
| Avg. Up Month | 3.58% | 3.44% |
| Avg. Down Month | -2.06% | -4.88% |
| Win Days | 52.0% | 53.23% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 1.4 |
| Alpha | - | -0.09 |
| Correlation | - | 87.13% |
| Treynor Ratio | - | 6.82% |
| Year | SPY | HFEQ | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | -0.47 | -0.50 | - |
| 2026 | 13.33 | 10.06 | 0.75 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-05-05 | -12.46 | 69 |
| 2025-11-13 | 2025-12-09 | -9.85 | 27 |
| 2026-08-14 | 2026-11-04 | -9.83 | 83 |
| 2026-07-01 | 2026-08-03 | -5.51 | 34 |
| 2026-05-07 | 2026-05-22 | -5.24 | 16 |
| 2025-12-12 | 2026-01-02 | -4.47 | 22 |
| 2026-06-05 | 2026-06-12 | -4.42 | 8 |
| 2026-06-23 | 2026-06-29 | -2.50 | 7 |
| 2026-02-23 | 2026-02-24 | -2.36 | 2 |
| 2026-01-29 | 2026-02-05 | -2.20 | 8 |