| Metric | SPY | HFEQ |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 24.93% | 26.49% |
| CAGR﹪ | 18.53% | 19.65% |
| Sharpe | 1.12 | 0.78 |
| Prob. Sharpe Ratio | 89.75% | 81.25% |
| Smart Sharpe | 1.08 | 0.69 |
| Sortino | 1.62 | 1.13 |
| Smart Sortino | 1.57 | 1.0 |
| Sortino/√2 | 1.15 | 0.8 |
| Smart Sortino/√2 | 1.11 | 0.71 |
| Omega | 1.27 | 1.18 |
| 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.) | 12.34% | 20.57% |
| R^2 | 0.77 | 0.77 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 2.09 | 1.58 |
| Skew | -0.17 | -0.25 |
| Kurtosis | 1.15 | 1.73 |
| Ulcer Performance Index | 12.79 | 6.13 |
| Risk-Adjusted Return | 18.53% | 19.65% |
| Risk-Return Ratio | 0.09 | 0.06 |
| Avg. Return | 0.07% | 0.08% |
| Avg. Win | 0.68% | 1.07% |
| Avg. Loss | -0.63% | -1.08% |
| Win/Loss Ratio | 1.06 | 0.99 |
| Profit Ratio | 0.97 | 0.8 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.32% | 1.39% |
| Expected Yearly | 11.77% | 12.47% |
| Kelly Criterion | 9.51% | 8.78% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.21% | -2.05% |
| Expected Shortfall (cVaR) | -1.65% | -2.92% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.27 | 0.18 |
| Gain/Pain (1M) | 2.99 | 1.37 |
| Payoff Ratio | 1.06 | 0.99 |
| Profit Factor | 1.27 | 1.18 |
| Common Sense Ratio | 1.3 | 1.37 |
| CPC Index | 0.72 | 0.64 |
| Tail Ratio | 1.02 | 1.16 |
| Outlier Win Ratio | 2.88 | 3.55 |
| Outlier Loss Ratio | 3.18 | 3.29 |
| MTD | 1.47% | 0.99% |
| 3M | 1.46% | -4.68% |
| 6M | 6.94% | 0.57% |
| YTD | 13.33% | 10.06% |
| 1Y | 13.43% | 8.33% |
| 3Y (ann.) | 18.53% | 19.65% |
| 5Y (ann.) | 18.53% | 19.65% |
| 10Y (ann.) | 18.53% | 19.65% |
| All-time (ann.) | 18.53% | 19.65% |
| 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 | 13.33% | 14.92% |
| Worst Year | 10.24% | 10.06% |
| Avg. Drawdown | -1.5% | -3.12% |
| Avg. Drawdown Days | 12 | 15 |
| Recovery Factor | 2.62 | 2.11 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 1.74 | 0.84 |
| Avg. Up Month | 3.11% | 3.65% |
| Avg. Down Month | -2.06% | -4.88% |
| Win Days | 53.33% | 54.57% |
| Win Month | 70.59% | 70.59% |
| Win Quarter | 83.33% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.46 |
| Alpha | - | -0.06 |
| Correlation | - | 87.62% |
| Treynor Ratio | - | 18.13% |
| Year | SPY | HFEQ | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 10.24 | 14.92 | 1.46 | + |
| 2026 | 13.33 | 10.06 | 0.75 | - |
| 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 | 2026-11-04 | -9.83 | 83 |
| 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 |
| 2025-07-24 | 2025-08-07 | -2.72 | 15 |
| 2026-06-23 | 2026-06-29 | -2.50 | 7 |
| 2026-02-23 | 2026-02-24 | -2.36 | 2 |