| Metric | SPY | HFMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 26.0% | 12.65% |
| CAGR﹪ | 21.5% | 10.56% |
| Sharpe | 1.3 | 0.45 |
| Prob. Sharpe Ratio | 91.92% | 68.72% |
| Smart Sharpe | 1.24 | 0.41 |
| Sortino | 1.91 | 0.64 |
| Smart Sortino | 1.82 | 0.59 |
| Sortino/√2 | 1.35 | 0.45 |
| Smart Sortino/√2 | 1.29 | 0.41 |
| Omega | 1.31 | 1.13 |
| 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.) | 12.44% | 15.94% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 2.42 | 0.7 |
| Skew | -0.17 | -0.15 |
| Kurtosis | 1.21 | 2.31 |
| Ulcer Performance Index | 13.1 | 1.73 |
| Risk-Adjusted Return | 21.5% | 10.56% |
| Risk-Return Ratio | 0.1 | 0.04 |
| Avg. Return | 0.09% | 0.05% |
| Avg. Win | 0.62% | 0.8% |
| Avg. Loss | -0.64% | -0.92% |
| Win/Loss Ratio | 0.96 | 0.87 |
| Profit Ratio | 0.96 | 0.77 |
| Expected Daily | 0.08% | 0.04% |
| Expected Monthly | 1.55% | 0.8% |
| Expected Yearly | 12.25% | 6.14% |
| Kelly Criterion | 5.9% | 2.43% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.21% | -1.61% |
| Expected Shortfall (cVaR) | -1.64% | -2.36% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.31 | 0.13 |
| Gain/Pain (1M) | 3.62 | 1.35 |
| Payoff Ratio | 0.96 | 0.87 |
| Profit Factor | 1.31 | 1.13 |
| Common Sense Ratio | 1.39 | 1.01 |
| CPC Index | 0.68 | 0.54 |
| Tail Ratio | 1.06 | 0.89 |
| Outlier Win Ratio | 2.87 | 3.93 |
| Outlier Loss Ratio | 3.2 | 3.36 |
| MTD | 1.08% | 2.14% |
| 3M | 3.82% | 1.61% |
| 6M | 19.85% | -4.11% |
| YTD | 14.3% | 5.93% |
| 1Y | 17.78% | 7.3% |
| 3Y (ann.) | 21.5% | 10.56% |
| 5Y (ann.) | 21.5% | 10.56% |
| 10Y (ann.) | 21.5% | 10.56% |
| All-time (ann.) | 21.5% | 10.56% |
| 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% | 6.34% |
| Worst Year | 10.24% | 5.93% |
| Avg. Drawdown | -1.44% | -2.56% |
| Avg. Drawdown Days | 11 | 20 |
| Recovery Factor | 2.71 | 0.89 |
| Ulcer Index | 0.02 | 0.07 |
| Serenity Index | 1.75 | 0.13 |
| Avg. Up Month | 1.67% | 2.35% |
| Avg. Down Month | -2.98% | -2.84% |
| Win Days | 53.85% | 54.7% |
| Win Month | 80.0% | 60.0% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.38 |
| Alpha | - | 0.04 |
| Correlation | - | 30.02% |
| Treynor Ratio | - | 32.91% |
| Year | SPY | HFMF | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 10.24 | 6.34 | 0.62 | - |
| 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 |
| 2025-08-14 | 2025-08-21 | -2.04 | 8 |
| 2026-01-15 | 2026-01-20 | -1.71 | 6 |
| 2025-09-23 | 2025-10-03 | -1.39 | 11 |
| 2025-07-16 | 2025-07-21 | -1.22 | 6 |