| Metric | SPY | HFND |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 14.39% | 3.59% |
| CAGR﹪ | 14.51% | 3.62% |
| Sharpe | 0.83 | 0.04 |
| Prob. Sharpe Ratio | 79.61% | 51.55% |
| Smart Sharpe | 0.82 | 0.03 |
| Sortino | 1.22 | 0.06 |
| Smart Sortino | 1.2 | 0.05 |
| Sortino/√2 | 0.86 | 0.04 |
| Smart Sortino/√2 | 0.85 | 0.03 |
| Omega | 1.2 | 1.07 |
| Max Drawdown | -8.88% | -5.25% |
| Max DD Date | 2026-03-30 | 2026-11-02 |
| Max DD Period Start | 2026-01-28 | 2026-08-17 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 80 |
| Volatility (ann.) | 12.86% | 10.02% |
| R^2 | 0.58 | 0.58 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 1.63 | 0.69 |
| Skew | -0.02 | -0.04 |
| Kurtosis | 0.78 | 0.61 |
| Ulcer Performance Index | 6.68 | 1.76 |
| Risk-Adjusted Return | 14.51% | 3.65% |
| Risk-Return Ratio | 0.07 | 0.03 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.75% | 0.53% |
| Avg. Loss | -0.64% | -0.54% |
| Win/Loss Ratio | 1.18 | 0.97 |
| Profit Ratio | 1.02 | 0.94 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.04% | 0.27% |
| Expected Yearly | 6.95% | 1.78% |
| Kelly Criterion | 11.25% | 0.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.02% |
| Expected Shortfall (cVaR) | -1.66% | -1.45% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.2 | 0.07 |
| Gain/Pain (1M) | 1.83 | 0.46 |
| Payoff Ratio | 1.18 | 0.97 |
| Profit Factor | 1.2 | 1.07 |
| Common Sense Ratio | 1.19 | 1.1 |
| CPC Index | 0.74 | 0.53 |
| Tail Ratio | 0.99 | 1.03 |
| Outlier Win Ratio | 2.84 | 3.27 |
| Outlier Loss Ratio | 3.01 | 3.41 |
| MTD | 1.47% | 0.27% |
| 3M | 1.46% | -3.29% |
| 6M | 6.94% | -2.2% |
| YTD | 13.33% | 4.52% |
| 1Y | 14.39% | 3.59% |
| 3Y (ann.) | 14.51% | 3.62% |
| 5Y (ann.) | 14.51% | 3.62% |
| 10Y (ann.) | 14.51% | 3.62% |
| All-time (ann.) | 14.51% | 3.62% |
| Best Day | 2.91% | 1.89% |
| Worst Day | -2.58% | -1.76% |
| Best Month | 10.51% | 3.94% |
| Worst Month | -4.94% | -2.87% |
| Best Year | 13.33% | 4.52% |
| Worst Year | 0.94% | -0.89% |
| Avg. Drawdown | -1.74% | -1.6% |
| Avg. Drawdown Days | 14 | 15 |
| Recovery Factor | 1.61 | 0.77 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 0.27 |
| Avg. Up Month | 4.28% | 2.03% |
| Avg. Down Month | -2.06% | -2.24% |
| Win Days | 52.0% | 51.01% |
| Win Month | 61.54% | 53.85% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.59 |
| Alpha | - | -0.04 |
| Correlation | - | 76.1% |
| Treynor Ratio | - | 6.05% |
| Year | SPY | HFND | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | -0.89 | -0.95 | - |
| 2026 | 13.33 | 4.52 | 0.34 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-17 | 2026-11-04 | -5.25 | 80 |
| 2026-02-26 | 2026-04-16 | -4.94 | 50 |
| 2026-06-23 | 2026-08-13 | -3.05 | 52 |
| 2025-12-11 | 2026-01-05 | -2.92 | 26 |
| 2025-11-11 | 2025-12-09 | -2.82 | 29 |
| 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 |
| 2026-02-12 | 2026-02-19 | -1.09 | 8 |
| 2026-02-23 | 2026-02-24 | -0.96 | 2 |