| Metric | SPY | HFMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 7.1% |
| CAGR﹪ | 18.02% | 7.15% |
| Sharpe | 1.04 | 0.26 |
| Prob. Sharpe Ratio | 84.73% | 60.12% |
| Smart Sharpe | 1.01 | 0.24 |
| Sortino | 1.51 | 0.36 |
| Smart Sortino | 1.47 | 0.33 |
| Sortino/√2 | 1.07 | 0.26 |
| Smart Sortino/√2 | 1.04 | 0.24 |
| Omega | 1.25 | 1.09 |
| 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 | 2026-09-22 |
| Longest DD Days | 76 | 196 |
| Volatility (ann.) | 12.99% | 16.92% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 2.03 | 0.47 |
| Skew | -0.15 | -0.18 |
| Kurtosis | 1.05 | 1.83 |
| Ulcer Performance Index | 8.3 | 0.89 |
| Risk-Adjusted Return | 18.02% | 7.15% |
| Risk-Return Ratio | 0.08 | 0.03 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.62% | 0.84% |
| Avg. Loss | -0.72% | -1.05% |
| Win/Loss Ratio | 0.87 | 0.8 |
| Profit Ratio | 0.94 | 0.76 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.27% | 0.53% |
| Expected Yearly | 8.57% | 3.49% |
| Kelly Criterion | -0.04% | -2.31% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.72% |
| Expected Shortfall (cVaR) | -1.72% | -2.41% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.25 | 0.09 |
| Gain/Pain (1M) | 2.6 | 0.86 |
| Payoff Ratio | 0.87 | 0.8 |
| Profit Factor | 1.25 | 1.09 |
| Common Sense Ratio | 1.24 | 0.91 |
| CPC Index | 0.58 | 0.48 |
| Tail Ratio | 0.99 | 0.84 |
| Outlier Win Ratio | 2.88 | 3.74 |
| Outlier Loss Ratio | 3.19 | 3.28 |
| MTD | 1.08% | 2.14% |
| 3M | 3.82% | 1.61% |
| 6M | 19.85% | -4.11% |
| YTD | 14.3% | 5.93% |
| 1Y | 17.87% | 7.1% |
| 3Y (ann.) | 18.02% | 7.15% |
| 5Y (ann.) | 18.02% | 7.15% |
| 10Y (ann.) | 18.02% | 7.15% |
| All-time (ann.) | 18.02% | 7.15% |
| Best Day | 2.91% | 3.9% |
| Worst Day | -2.7% | -4.04% |
| Best Month | 10.51% | 9.14% |
| Worst Month | -4.94% | -3.99% |
| Best Year | 14.3% | 5.93% |
| Worst Year | 3.13% | 1.1% |
| Avg. Drawdown | -1.71% | -3.48% |
| Avg. Drawdown Days | 13 | 27 |
| Recovery Factor | 1.94 | 0.55 |
| Ulcer Index | 0.02 | 0.08 |
| Serenity Index | 1.16 | 0.07 |
| Avg. Up Month | 1.17% | 1.9% |
| Avg. Down Month | -2.98% | -2.84% |
| Win Days | 53.6% | 54.4% |
| Win Month | 76.92% | 61.54% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.37 |
| Alpha | - | 0.02 |
| Correlation | - | 28.12% |
| Treynor Ratio | - | 19.37% |
| Year | SPY | HFMF | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 1.10 | 0.35 | - |
| 2026 | 14.30 | 5.93 | 0.42 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-11 | 2026-09-22 | -15.13 | 196 |
| 2025-10-21 | 2025-12-22 | -6.55 | 63 |
| 2026-01-30 | 2026-02-24 | -5.81 | 26 |
| 2025-10-07 | 2025-10-17 | -4.73 | 11 |
| 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 |
| 2025-09-24 | 2025-09-29 | -1.05 | 6 |
| 2026-01-07 | 2026-01-08 | -0.92 | 2 |
| 2025-10-02 | 2025-10-02 | -0.40 | 1 |