| Metric | SPY | HFEQ |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 18.6% | 13.04% |
| CAGR﹪ | 40.67% | 27.77% |
| Sharpe | 2.32 | 1.12 |
| Prob. Sharpe Ratio | 95.04% | 78.66% |
| Smart Sharpe | 2.3 | 0.98 |
| Sortino | 3.78 | 1.77 |
| Smart Sortino | 3.75 | 1.55 |
| Sortino/√2 | 2.67 | 1.25 |
| Smart Sortino/√2 | 2.65 | 1.1 |
| Omega | 1.54 | 1.24 |
| Max Drawdown | -4.49% | -8.31% |
| Max DD Date | 2026-06-10 | 2026-09-16 |
| Max DD Period Start | 2026-06-03 | 2026-08-14 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 40 |
| Volatility (ann.) | 13.55% | 20.6% |
| R^2 | 0.75 | 0.75 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 9.05 | 3.34 |
| Skew | 0.1 | 0.28 |
| Kurtosis | 1.12 | 0.82 |
| Ulcer Performance Index | 11.86 | 4.6 |
| Risk-Adjusted Return | 40.67% | 28.05% |
| Risk-Return Ratio | 0.16 | 0.08 |
| Avg. Return | 0.14% | 0.11% |
| Avg. Win | 0.81% | 1.15% |
| Avg. Loss | -0.62% | -1.03% |
| Win/Loss Ratio | 1.31 | 1.11 |
| Profit Ratio | 1.12 | 0.96 |
| Expected Daily | 0.14% | 0.1% |
| Expected Monthly | 2.47% | 1.77% |
| Expected Yearly | 18.6% | 13.04% |
| Kelly Criterion | 18.87% | 9.69% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -2.03% |
| Expected Shortfall (cVaR) | -1.77% | -2.73% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.54 | 0.24 |
| Gain/Pain (1M) | 10.92 | 2.61 |
| Payoff Ratio | 1.31 | 1.11 |
| Profit Factor | 1.54 | 1.24 |
| Common Sense Ratio | 2.01 | 1.95 |
| CPC Index | 1.09 | 0.73 |
| Tail Ratio | 1.3 | 1.57 |
| Outlier Win Ratio | 3.21 | 3.55 |
| Outlier Loss Ratio | 3.16 | 2.89 |
| MTD | 1.08% | -1.79% |
| 3M | 3.82% | -2.62% |
| 6M | 18.6% | 13.04% |
| YTD | 18.6% | 13.04% |
| 1Y | 18.6% | 13.04% |
| 3Y (ann.) | 40.67% | 27.77% |
| 5Y (ann.) | 40.67% | 27.77% |
| 10Y (ann.) | 40.67% | 27.77% |
| All-time (ann.) | 40.67% | 27.77% |
| Best Day | 2.91% | 3.83% |
| Worst Day | -2.58% | -3.97% |
| Best Month | 10.51% | 8.24% |
| Worst Month | -1.03% | -3.46% |
| Best Year | 18.6% | 13.04% |
| Worst Year | 18.6% | 13.04% |
| Avg. Drawdown | -1.13% | -2.52% |
| Avg. Drawdown Days | 9 | 10 |
| Recovery Factor | 3.9 | 1.6 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 2.75 | 0.93 |
| Avg. Up Month | 6.15% | 4.54% |
| Avg. Down Month | - | - |
| Win Days | 53.97% | 52.42% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.32 |
| Alpha | - | -0.2 |
| Correlation | - | 86.86% |
| Treynor Ratio | - | 9.87% |
| Year | SPY | HFEQ | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 13.04 | 0.70 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-14 | 2026-09-22 | -8.31 | 40 |
| 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 |
| 2026-03-26 | 2026-03-31 | -3.99 | 6 |
| 2026-06-23 | 2026-06-29 | -2.50 | 7 |
| 2026-04-21 | 2026-04-29 | -2.40 | 9 |
| 2026-06-16 | 2026-06-17 | -1.38 | 2 |
| 2026-08-05 | 2026-08-10 | -1.29 | 6 |
| 2026-05-01 | 2026-05-04 | -1.28 | 4 |