| Metric | SPY | HFMF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 24.93% | 11.82% |
| CAGR﹪ | 18.53% | 8.9% |
| Sharpe | 1.12 | 0.37 |
| Prob. Sharpe Ratio | 89.75% | 66.3% |
| Smart Sharpe | 1.08 | 0.34 |
| Sortino | 1.62 | 0.52 |
| Smart Sortino | 1.57 | 0.48 |
| Sortino/√2 | 1.15 | 0.37 |
| Smart Sortino/√2 | 1.11 | 0.34 |
| Omega | 1.27 | 1.11 |
| 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.) | 12.34% | 15.58% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 2.09 | 0.59 |
| Skew | -0.17 | -0.14 |
| Kurtosis | 1.15 | 2.34 |
| Ulcer Performance Index | 12.79 | 1.57 |
| Risk-Adjusted Return | 18.53% | 8.9% |
| Risk-Return Ratio | 0.09 | 0.04 |
| Avg. Return | 0.08% | 0.04% |
| Avg. Win | 0.61% | 0.79% |
| Avg. Loss | -0.65% | -0.89% |
| Win/Loss Ratio | 0.94 | 0.88 |
| Profit Ratio | 0.97 | 0.85 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.32% | 0.66% |
| Expected Yearly | 11.77% | 5.74% |
| Kelly Criterion | 3.75% | 0.13% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.21% | -1.58% |
| Expected Shortfall (cVaR) | -1.65% | -2.33% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.27 | 0.11 |
| Gain/Pain (1M) | 2.99 | 0.97 |
| Payoff Ratio | 0.94 | 0.88 |
| Profit Factor | 1.27 | 1.11 |
| Common Sense Ratio | 1.3 | 1.01 |
| CPC Index | 0.64 | 0.52 |
| Tail Ratio | 1.02 | 0.9 |
| Outlier Win Ratio | 2.88 | 3.9 |
| Outlier Loss Ratio | 3.18 | 3.49 |
| MTD | 1.47% | -3.12% |
| 3M | 1.46% | 3.68% |
| 6M | 6.94% | -4.77% |
| YTD | 13.33% | 5.15% |
| 1Y | 13.43% | 5.59% |
| 3Y (ann.) | 18.53% | 8.9% |
| 5Y (ann.) | 18.53% | 8.9% |
| 10Y (ann.) | 18.53% | 8.9% |
| All-time (ann.) | 18.53% | 8.9% |
| 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 | 13.33% | 6.34% |
| Worst Year | 10.24% | 5.15% |
| Avg. Drawdown | -1.5% | -2.56% |
| Avg. Drawdown Days | 12 | 22 |
| Recovery Factor | 2.62 | 0.84 |
| Ulcer Index | 0.02 | 0.08 |
| Serenity Index | 1.74 | 0.12 |
| Avg. Up Month | 1.75% | 2.38% |
| Avg. Down Month | -2.98% | -2.84% |
| Win Days | 53.33% | 53.19% |
| Win Month | 70.59% | 58.82% |
| Win Quarter | 83.33% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.35 |
| Alpha | - | 0.04 |
| Correlation | - | 27.52% |
| Treynor Ratio | - | 33.99% |
| Year | SPY | HFMF | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 10.24 | 6.34 | 0.62 | - |
| 2026 | 13.33 | 5.15 | 0.39 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-11 | 2026-11-04 | -15.13 | 239 |
| 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 |