| Metric | SPY | HFMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.39% | 8.27% |
| CAGR﹪ | 14.51% | 8.34% |
| Sharpe | 0.83 | 0.35 |
| Prob. Sharpe Ratio | 79.61% | 63.59% |
| Smart Sharpe | 0.82 | 0.34 |
| Sortino | 1.22 | 0.49 |
| Smart Sortino | 1.2 | 0.48 |
| Sortino/√2 | 0.86 | 0.35 |
| Smart Sortino/√2 | 0.85 | 0.34 |
| Omega | 1.2 | 1.1 |
| Max Drawdown | -8.88% | -15.13% |
| Max DD Date | 2026-03-30 | 2026-08-03 |
| 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.) | 12.86% | 16.1% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 1.63 | 0.55 |
| Skew | -0.02 | -0.17 |
| Kurtosis | 0.78 | 1.91 |
| Ulcer Performance Index | 6.68 | 0.97 |
| Risk-Adjusted Return | 14.51% | 8.34% |
| Risk-Return Ratio | 0.07 | 0.04 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.63% | 0.82% |
| Avg. Loss | -0.71% | -0.96% |
| Win/Loss Ratio | 0.89 | 0.86 |
| Profit Ratio | 1.02 | 0.88 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.04% | 0.61% |
| Expected Yearly | 6.95% | 4.05% |
| Kelly Criterion | -2.02% | -2.39% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.63% |
| Expected Shortfall (cVaR) | -1.66% | -2.26% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.2 | 0.1 |
| Gain/Pain (1M) | 1.83 | 0.75 |
| Payoff Ratio | 0.89 | 0.86 |
| Profit Factor | 1.2 | 1.1 |
| Common Sense Ratio | 1.19 | 0.93 |
| CPC Index | 0.56 | 0.5 |
| Tail Ratio | 0.99 | 0.84 |
| Outlier Win Ratio | 2.84 | 3.4 |
| Outlier Loss Ratio | 3.01 | 3.3 |
| MTD | 1.47% | -3.12% |
| 3M | 1.46% | 3.68% |
| 6M | 6.94% | -4.77% |
| YTD | 13.33% | 5.15% |
| 1Y | 14.39% | 8.27% |
| 3Y (ann.) | 14.51% | 8.34% |
| 5Y (ann.) | 14.51% | 8.34% |
| 10Y (ann.) | 14.51% | 8.34% |
| All-time (ann.) | 14.51% | 8.34% |
| Best Day | 2.91% | 3.9% |
| Worst Day | -2.58% | -4.04% |
| Best Month | 10.51% | 9.14% |
| Worst Month | -4.94% | -3.99% |
| Best Year | 13.33% | 5.15% |
| Worst Year | 0.94% | 2.97% |
| Avg. Drawdown | -1.74% | -3.25% |
| Avg. Drawdown Days | 14 | 30 |
| Recovery Factor | 1.61 | 0.61 |
| Ulcer Index | 0.02 | 0.09 |
| Serenity Index | 0.94 | 0.07 |
| Avg. Up Month | 1.03% | 2.51% |
| Avg. Down Month | -2.98% | -2.84% |
| Win Days | 52.0% | 52.8% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.23 |
| Alpha | - | 0.06 |
| Correlation | - | 18.51% |
| Treynor Ratio | - | 35.68% |
| Year | SPY | HFMF | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 2.97 | 3.17 | + |
| 2026 | 13.33 | 5.15 | 0.39 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-11 | 2026-11-04 | -15.13 | 239 |
| 2026-01-30 | 2026-02-24 | -5.81 | 26 |
| 2025-11-12 | 2025-12-08 | -4.43 | 27 |
| 2025-12-29 | 2026-01-02 | -2.99 | 5 |
| 2026-02-26 | 2026-03-05 | -2.20 | 8 |
| 2026-01-15 | 2026-01-20 | -1.71 | 6 |
| 2025-12-12 | 2025-12-19 | -1.61 | 8 |
| 2026-01-07 | 2026-01-08 | -0.92 | 2 |
| 2025-11-06 | 2025-11-07 | -0.62 | 2 |
| 2026-03-09 | 2026-03-09 | -0.16 | 1 |