| Metric | SPY | HFGM |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 45.0% | 28.61% |
| CAGR﹪ | 27.06% | 17.6% |
| Sharpe | 1.6 | 0.68 |
| Prob. Sharpe Ratio | 97.65% | 79.84% |
| Smart Sharpe | 1.55 | 0.63 |
| Sortino | 2.41 | 0.95 |
| Smart Sortino | 2.34 | 0.89 |
| Sortino/√2 | 1.71 | 0.67 |
| Smart Sortino/√2 | 1.66 | 0.63 |
| Omega | 1.38 | 1.16 |
| Max Drawdown | -8.88% | -16.31% |
| Max DD Date | 2026-03-30 | 2026-11-04 |
| Max DD Period Start | 2026-01-28 | 2026-03-11 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 239 |
| Volatility (ann.) | 12.89% | 21.11% |
| R^2 | 0.31 | 0.31 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 3.05 | 1.08 |
| Skew | -0.03 | -0.35 |
| Kurtosis | 1.57 | 2.47 |
| Ulcer Performance Index | 24.54 | 4.35 |
| Risk-Adjusted Return | 27.06% | 17.6% |
| Risk-Return Ratio | 0.12 | 0.06 |
| Avg. Return | 0.1% | 0.07% |
| Avg. Win | 0.72% | 1.1% |
| Avg. Loss | -0.66% | -1.21% |
| Win/Loss Ratio | 1.1 | 0.91 |
| Profit Ratio | 0.93 | 0.78 |
| Expected Daily | 0.1% | 0.06% |
| Expected Monthly | 1.88% | 1.27% |
| Expected Yearly | 20.42% | 13.41% |
| Kelly Criterion | 13.95% | 4.8% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.24% | -2.11% |
| Expected Shortfall (cVaR) | -1.73% | -3.05% |
| Max Consecutive Wins | 9 | 8 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.38 | 0.16 |
| Gain/Pain (1M) | 4.95 | 1.33 |
| Payoff Ratio | 1.1 | 0.91 |
| Profit Factor | 1.38 | 1.16 |
| Common Sense Ratio | 1.6 | 1.06 |
| CPC Index | 0.83 | 0.58 |
| Tail Ratio | 1.15 | 0.91 |
| Outlier Win Ratio | 3.32 | 3.77 |
| Outlier Loss Ratio | 3.6 | 3.24 |
| MTD | 1.47% | -2.01% |
| 3M | 1.46% | -2.53% |
| 6M | 6.94% | -12.26% |
| YTD | 13.33% | 1.56% |
| 1Y | 13.43% | -0.83% |
| 3Y (ann.) | 27.06% | 17.6% |
| 5Y (ann.) | 27.06% | 17.6% |
| 10Y (ann.) | 27.06% | 17.6% |
| All-time (ann.) | 27.06% | 17.6% |
| Best Day | 3.3% | 4.98% |
| Worst Day | -2.7% | -6.46% |
| Best Month | 10.51% | 12.38% |
| Worst Month | -4.94% | -8.04% |
| Best Year | 27.95% | 26.63% |
| Worst Year | 13.33% | 1.56% |
| Avg. Drawdown | -1.46% | -2.73% |
| Avg. Drawdown Days | 10 | 18 |
| Recovery Factor | 4.33 | 1.75 |
| Ulcer Index | 0.02 | 0.07 |
| Serenity Index | 3.3 | 0.42 |
| Avg. Up Month | 3.95% | 4.57% |
| Avg. Down Month | -1.8% | -4.58% |
| Win Days | 54.99% | 54.64% |
| Win Month | 75.0% | 55.0% |
| Win Quarter | 85.71% | 71.43% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.91 |
| Alpha | - | -0.04 |
| Correlation | - | 55.79% |
| Treynor Ratio | - | 31.32% |
| Year | SPY | HFGM | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 27.95 | 26.63 | 0.95 | - |
| 2026 | 13.33 | 1.56 | 0.12 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-11 | 2026-11-04 | -16.31 | 239 |
| 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 |
| 2025-07-24 | 2025-08-06 | -3.14 | 14 |
| 2025-05-30 | 2025-06-10 | -2.80 | 12 |
| 2025-06-30 | 2025-07-08 | -2.80 | 9 |
| 2025-06-13 | 2025-06-26 | -2.68 | 14 |
| 2025-08-29 | 2025-09-05 | -2.09 | 8 |
| 2025-08-14 | 2025-08-21 | -1.94 | 8 |