| Metric | SPY | HFGM |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 12.03% |
| CAGR﹪ | 18.02% | 12.13% |
| Sharpe | 1.04 | 0.44 |
| Prob. Sharpe Ratio | 84.73% | 66.71% |
| Smart Sharpe | 1.01 | 0.41 |
| Sortino | 1.51 | 0.61 |
| Smart Sortino | 1.47 | 0.57 |
| Sortino/√2 | 1.07 | 0.43 |
| Smart Sortino/√2 | 1.04 | 0.4 |
| Omega | 1.25 | 1.11 |
| Max Drawdown | -8.88% | -15.09% |
| Max DD Date | 2026-03-30 | 2026-06-24 |
| Max DD Period Start | 2026-01-28 | 2026-03-11 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 196 |
| Volatility (ann.) | 12.99% | 23.41% |
| R^2 | 0.34 | 0.34 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 2.03 | 0.8 |
| Skew | -0.15 | -0.35 |
| Kurtosis | 1.05 | 2.02 |
| Ulcer Performance Index | 8.3 | 1.68 |
| Risk-Adjusted Return | 18.02% | 12.13% |
| Risk-Return Ratio | 0.08 | 0.04 |
| Avg. Return | 0.06% | 0.06% |
| Avg. Win | 0.72% | 1.23% |
| Avg. Loss | -0.69% | -1.35% |
| Win/Loss Ratio | 1.04 | 0.91 |
| Profit Ratio | 0.94 | 0.83 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.27% | 0.88% |
| Expected Yearly | 8.57% | 5.84% |
| Kelly Criterion | 9.05% | 1.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -2.37% |
| Expected Shortfall (cVaR) | -1.72% | -3.23% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.25 | 0.11 |
| Gain/Pain (1M) | 2.6 | 0.95 |
| Payoff Ratio | 1.04 | 0.91 |
| Profit Factor | 1.25 | 1.11 |
| Common Sense Ratio | 1.24 | 0.93 |
| CPC Index | 0.7 | 0.54 |
| Tail Ratio | 0.99 | 0.84 |
| Outlier Win Ratio | 2.88 | 3.51 |
| Outlier Loss Ratio | 3.19 | 2.9 |
| MTD | 1.08% | 1.75% |
| 3M | 3.82% | 1.45% |
| 6M | 19.85% | 1.87% |
| YTD | 14.3% | 11.26% |
| 1Y | 17.87% | 12.03% |
| 3Y (ann.) | 18.02% | 12.13% |
| 5Y (ann.) | 18.02% | 12.13% |
| 10Y (ann.) | 18.02% | 12.13% |
| All-time (ann.) | 18.02% | 12.13% |
| Best Day | 2.91% | 4.98% |
| Worst Day | -2.7% | -6.46% |
| Best Month | 10.51% | 12.38% |
| Worst Month | -4.94% | -8.04% |
| Best Year | 14.3% | 11.26% |
| Worst Year | 3.13% | 0.69% |
| Avg. Drawdown | -1.71% | -4.74% |
| Avg. Drawdown Days | 13 | 34 |
| Recovery Factor | 1.94 | 0.93 |
| Ulcer Index | 0.02 | 0.07 |
| Serenity Index | 1.16 | 0.22 |
| Avg. Up Month | 3.62% | 4.85% |
| Avg. Down Month | -2.98% | -6.54% |
| Win Days | 53.6% | 53.23% |
| Win Month | 76.92% | 46.15% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.05 |
| Alpha | - | -0.04 |
| Correlation | - | 58.45% |
| Treynor Ratio | - | 11.42% |
| Year | SPY | HFGM | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 0.69 | 0.22 | - |
| 2026 | 14.30 | 11.26 | 0.79 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-11 | 2026-09-22 | -15.09 | 196 |
| 2025-10-21 | 2026-01-05 | -10.16 | 77 |
| 2026-01-30 | 2026-03-09 | -8.72 | 39 |
| 2025-10-07 | 2025-10-15 | -7.06 | 9 |
| 2026-01-15 | 2026-01-20 | -1.73 | 6 |
| 2025-09-24 | 2025-09-30 | -1.49 | 7 |
| 2025-10-17 | 2025-10-17 | -1.35 | 1 |
| 2026-01-07 | 2026-01-08 | -1.13 | 2 |
| 2025-10-02 | 2025-10-02 | -0.58 | 1 |
| 2026-01-13 | 2026-01-13 | -0.10 | 1 |