| Metric | SPY | HFEQ |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 17.71% |
| CAGR﹪ | 18.02% | 17.87% |
| Sharpe | 1.04 | 0.67 |
| Prob. Sharpe Ratio | 84.73% | 74.65% |
| Smart Sharpe | 1.01 | 0.59 |
| Sortino | 1.51 | 0.96 |
| Smart Sortino | 1.47 | 0.85 |
| Sortino/√2 | 1.07 | 0.68 |
| Smart Sortino/√2 | 1.04 | 0.6 |
| Omega | 1.25 | 1.15 |
| 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 | 69 |
| Volatility (ann.) | 12.99% | 22.29% |
| R^2 | 0.77 | 0.77 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 2.03 | 1.43 |
| Skew | -0.15 | -0.26 |
| Kurtosis | 1.05 | 1.39 |
| Ulcer Performance Index | 8.3 | 4.38 |
| Risk-Adjusted Return | 18.02% | 17.87% |
| Risk-Return Ratio | 0.08 | 0.05 |
| Avg. Return | 0.07% | 0.08% |
| Avg. Win | 0.7% | 1.15% |
| Avg. Loss | -0.68% | -1.21% |
| Win/Loss Ratio | 1.02 | 0.95 |
| Profit Ratio | 0.94 | 0.73 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.27% | 1.26% |
| Expected Yearly | 8.57% | 8.5% |
| Kelly Criterion | 8.33% | 8.21% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -2.23% |
| Expected Shortfall (cVaR) | -1.72% | -3.11% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.25 | 0.15 |
| Gain/Pain (1M) | 2.6 | 1.26 |
| Payoff Ratio | 1.02 | 0.95 |
| Profit Factor | 1.25 | 1.15 |
| Common Sense Ratio | 1.24 | 1.19 |
| CPC Index | 0.69 | 0.61 |
| Tail Ratio | 0.99 | 1.03 |
| Outlier Win Ratio | 2.88 | 3.54 |
| Outlier Loss Ratio | 3.19 | 3.31 |
| MTD | 1.08% | -1.79% |
| 3M | 3.82% | -2.62% |
| 6M | 19.85% | 15.93% |
| YTD | 14.3% | 13.96% |
| 1Y | 17.87% | 17.71% |
| 3Y (ann.) | 18.02% | 17.87% |
| 5Y (ann.) | 18.02% | 17.87% |
| 10Y (ann.) | 18.02% | 17.87% |
| All-time (ann.) | 18.02% | 17.87% |
| Best Day | 2.91% | 3.97% |
| Worst Day | -2.7% | -5.94% |
| Best Month | 10.51% | 8.24% |
| Worst Month | -4.94% | -8.48% |
| Best Year | 14.3% | 13.96% |
| Worst Year | 3.13% | 3.3% |
| Avg. Drawdown | -1.71% | -3.76% |
| Avg. Drawdown Days | 13 | 16 |
| Recovery Factor | 1.94 | 1.51 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 1.16 | 0.69 |
| Avg. Up Month | 3.26% | 3.5% |
| Avg. Down Month | -4.94% | -8.48% |
| Win Days | 53.6% | 55.24% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.51 |
| Alpha | - | -0.07 |
| Correlation | - | 87.79% |
| Treynor Ratio | - | 11.76% |
| Year | SPY | HFEQ | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 3.30 | 1.05 | + |
| 2026 | 14.30 | 13.96 | 0.98 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-05-05 | -12.46 | 69 |
| 2025-10-28 | 2026-01-02 | -10.71 | 67 |
| 2026-08-14 | 2026-09-22 | -8.31 | 40 |
| 2025-10-07 | 2025-10-23 | -7.12 | 17 |
| 2026-07-01 | 2026-08-03 | -5.51 | 34 |
| 2026-05-07 | 2026-05-22 | -5.24 | 16 |
| 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 |