| Metric | SPY | HFGM |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 46.24% | 40.89% |
| CAGR﹪ | 30.48% | 27.12% |
| Sharpe | 1.78 | 1.04 |
| Prob. Sharpe Ratio | 98.3% | 88.94% |
| Smart Sharpe | 1.71 | 0.94 |
| Sortino | 2.72 | 1.49 |
| Smart Sortino | 2.6 | 1.35 |
| Sortino/√2 | 1.92 | 1.05 |
| Smart Sortino/√2 | 1.84 | 0.96 |
| Omega | 1.43 | 1.24 |
| 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.) | 13.02% | 21.17% |
| R^2 | 0.3 | 0.3 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 3.43 | 1.8 |
| Skew | -0.02 | -0.35 |
| Kurtosis | 1.62 | 2.6 |
| Ulcer Performance Index | 24.92 | 6.83 |
| Risk-Adjusted Return | 30.48% | 27.12% |
| Risk-Return Ratio | 0.13 | 0.08 |
| Avg. Return | 0.11% | 0.11% |
| Avg. Win | 0.74% | 1.12% |
| Avg. Loss | -0.66% | -1.2% |
| Win/Loss Ratio | 1.12 | 0.93 |
| Profit Ratio | 0.91 | 0.76 |
| Expected Daily | 0.11% | 0.1% |
| Expected Monthly | 2.13% | 1.92% |
| Expected Yearly | 20.93% | 18.7% |
| Kelly Criterion | 15.88% | 8.39% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.24% | -2.09% |
| Expected Shortfall (cVaR) | -1.72% | -3.02% |
| Max Consecutive Wins | 9 | 8 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.43 | 0.24 |
| Gain/Pain (1M) | 5.91 | 2.59 |
| Payoff Ratio | 1.12 | 0.93 |
| Profit Factor | 1.43 | 1.24 |
| Common Sense Ratio | 1.62 | 1.15 |
| CPC Index | 0.89 | 0.65 |
| Tail Ratio | 1.13 | 0.93 |
| Outlier Win Ratio | 3.5 | 3.78 |
| Outlier Loss Ratio | 3.7 | 3.16 |
| MTD | 1.08% | 1.75% |
| 3M | 3.82% | 1.45% |
| 6M | 19.85% | 1.87% |
| YTD | 14.3% | 11.26% |
| 1Y | 17.78% | 13.09% |
| 3Y (ann.) | 30.48% | 27.12% |
| 5Y (ann.) | 30.48% | 27.12% |
| 10Y (ann.) | 30.48% | 27.12% |
| All-time (ann.) | 30.48% | 27.12% |
| 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 | 14.3% | 11.26% |
| Avg. Drawdown | -1.41% | -2.68% |
| Avg. Drawdown Days | 10 | 16 |
| Recovery Factor | 4.42 | 2.49 |
| Ulcer Index | 0.02 | 0.06 |
| Serenity Index | 3.36 | 0.66 |
| Avg. Up Month | 3.69% | 4.32% |
| Avg. Down Month | -2.98% | -6.54% |
| Win Days | 55.56% | 55.74% |
| Win Month | 83.33% | 66.67% |
| Win Quarter | 83.33% | 83.33% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.89 |
| Alpha | - | 0.02 |
| Correlation | - | 54.97% |
| Treynor Ratio | - | 45.75% |
| Year | SPY | HFGM | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 27.95 | 26.63 | 0.95 | - |
| 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 |
| 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 |