| Metric | SPY | HFND |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 17.87% | 8.68% |
| CAGR﹪ | 18.02% | 8.75% |
| Sharpe | 1.04 | 0.49 |
| Prob. Sharpe Ratio | 84.73% | 68.72% |
| Smart Sharpe | 1.01 | 0.42 |
| Sortino | 1.51 | 0.71 |
| Smart Sortino | 1.47 | 0.6 |
| Sortino/√2 | 1.07 | 0.5 |
| Smart Sortino/√2 | 1.04 | 0.43 |
| Omega | 1.25 | 1.16 |
| Max Drawdown | -8.88% | -4.94% |
| Max DD Date | 2026-03-30 | 2026-03-20 |
| Max DD Period Start | 2026-01-28 | 2026-02-26 |
| Max DD Period End | 2026-04-13 | 2026-04-16 |
| Longest DD Days | 76 | 50 |
| Volatility (ann.) | 12.99% | 10.03% |
| R^2 | 0.57 | 0.57 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 2.03 | 1.77 |
| Skew | -0.15 | -0.12 |
| Kurtosis | 1.05 | 0.77 |
| Ulcer Performance Index | 8.3 | 5.63 |
| Risk-Adjusted Return | 18.02% | 8.84% |
| Risk-Return Ratio | 0.08 | 0.06 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.76% | 0.54% |
| Avg. Loss | -0.66% | -0.54% |
| Win/Loss Ratio | 1.15 | 1.01 |
| Profit Ratio | 0.94 | 0.99 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.27% | 0.64% |
| Expected Yearly | 8.57% | 4.25% |
| Kelly Criterion | 13.11% | 3.38% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.0% |
| Expected Shortfall (cVaR) | -1.72% | -1.46% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.25 | 0.16 |
| Gain/Pain (1M) | 2.6 | 1.5 |
| Payoff Ratio | 1.15 | 1.01 |
| Profit Factor | 1.25 | 1.16 |
| Common Sense Ratio | 1.24 | 1.24 |
| CPC Index | 0.77 | 0.6 |
| Tail Ratio | 0.99 | 1.07 |
| Outlier Win Ratio | 2.88 | 3.19 |
| Outlier Loss Ratio | 3.19 | 3.63 |
| MTD | 1.08% | -0.34% |
| 3M | 3.82% | -1.34% |
| 6M | 19.85% | 6.58% |
| YTD | 14.3% | 7.99% |
| 1Y | 17.87% | 8.68% |
| 3Y (ann.) | 18.02% | 8.75% |
| 5Y (ann.) | 18.02% | 8.75% |
| 10Y (ann.) | 18.02% | 8.75% |
| All-time (ann.) | 18.02% | 8.75% |
| Best Day | 2.91% | 1.89% |
| Worst Day | -2.7% | -1.77% |
| Best Month | 10.51% | 3.94% |
| Worst Month | -4.94% | -2.87% |
| Best Year | 14.3% | 7.99% |
| Worst Year | 3.13% | 0.64% |
| Avg. Drawdown | -1.71% | -1.44% |
| Avg. Drawdown Days | 13 | 12 |
| Recovery Factor | 1.94 | 1.79 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | 1.02 |
| Avg. Up Month | 3.79% | 2.01% |
| Avg. Down Month | -4.94% | -2.87% |
| Win Days | 53.6% | 51.42% |
| Win Month | 76.92% | 61.54% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.58 |
| Alpha | - | -0.01 |
| Correlation | - | 75.77% |
| Treynor Ratio | - | 14.84% |
| Year | SPY | HFND | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 0.64 | 0.20 | - |
| 2026 | 14.30 | 7.99 | 0.56 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-04-16 | -4.94 | 50 |
| 2026-08-17 | 2026-09-22 | -3.11 | 37 |
| 2026-06-23 | 2026-08-03 | -3.05 | 42 |
| 2025-10-28 | 2025-12-09 | -3.01 | 43 |
| 2025-12-11 | 2026-01-05 | -2.92 | 26 |
| 2026-06-03 | 2026-06-12 | -2.58 | 10 |
| 2026-05-15 | 2026-05-29 | -2.33 | 15 |
| 2026-01-29 | 2026-02-06 | -2.02 | 9 |
| 2025-10-09 | 2025-10-22 | -2.02 | 14 |
| 2026-02-12 | 2026-02-19 | -1.09 | 8 |