| Metric | SPY | HFND |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 125.76% | 30.81% |
| CAGR﹪ | 22.28% | 6.86% |
| Sharpe | 1.08 | 0.26 |
| Prob. Sharpe Ratio | 98.65% | 70.12% |
| Smart Sharpe | 1.01 | 0.24 |
| Sortino | 1.63 | 0.37 |
| Smart Sortino | 1.53 | 0.34 |
| Sortino/√2 | 1.15 | 0.26 |
| Smart Sortino/√2 | 1.08 | 0.24 |
| Omega | 1.28 | 1.14 |
| Max Drawdown | -18.76% | -13.31% |
| Max DD Date | 2025-04-08 | 2025-04-08 |
| Max DD Period Start | 2025-02-20 | 2025-02-20 |
| Max DD Period End | 2025-06-25 | 2025-07-22 |
| Longest DD Days | 126 | 377 |
| Volatility (ann.) | 15.5% | 9.39% |
| R^2 | 0.61 | 0.61 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | 1.19 | 0.52 |
| Skew | 0.83 | 0.28 |
| Kurtosis | 15.56 | 9.67 |
| Ulcer Performance Index | 38.13 | 10.73 |
| Risk-Adjusted Return | 22.28% | 6.86% |
| Risk-Return Ratio | 0.09 | 0.05 |
| Avg. Return | 0.09% | 0.03% |
| Avg. Win | 0.79% | 0.47% |
| Avg. Loss | -0.76% | -0.5% |
| Win/Loss Ratio | 1.04 | 0.92 |
| Profit Ratio | 0.83 | 0.81 |
| Expected Daily | 0.08% | 0.03% |
| Expected Monthly | 1.64% | 0.54% |
| Expected Yearly | 17.69% | 5.52% |
| Kelly Criterion | 12.41% | 4.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.52% | -0.94% |
| Expected Shortfall (cVaR) | -2.12% | -1.4% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.28 | 0.14 |
| Gain/Pain (1M) | 2.24 | 0.87 |
| Payoff Ratio | 1.04 | 0.92 |
| Profit Factor | 1.28 | 1.14 |
| Common Sense Ratio | 1.32 | 1.14 |
| CPC Index | 0.74 | 0.57 |
| Tail Ratio | 1.03 | 1.0 |
| Outlier Win Ratio | 3.49 | 3.4 |
| Outlier Loss Ratio | 3.52 | 3.6 |
| MTD | 1.47% | 0.27% |
| 3M | 1.46% | -3.29% |
| 6M | 6.94% | -2.2% |
| YTD | 13.33% | 4.52% |
| 1Y | 13.43% | 3.03% |
| 3Y (ann.) | 20.78% | 8.43% |
| 5Y (ann.) | 22.28% | 6.86% |
| 10Y (ann.) | 22.28% | 6.86% |
| All-time (ann.) | 22.28% | 6.86% |
| Best Day | 10.5% | 5.58% |
| Worst Day | -5.85% | -3.36% |
| Best Month | 10.51% | 3.94% |
| Worst Month | -5.76% | -3.25% |
| Best Year | 26.18% | 8.93% |
| Worst Year | 7.39% | 2.38% |
| Avg. Drawdown | -1.8% | -1.42% |
| Avg. Drawdown Days | 13 | 20 |
| Recovery Factor | 4.6 | 2.15 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 2.8 | 0.86 |
| Avg. Up Month | 4.33% | 2.19% |
| Avg. Down Month | -2.72% | -1.93% |
| Win Days | 55.35% | 53.99% |
| Win Month | 68.0% | 58.0% |
| Win Quarter | 82.35% | 70.59% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.47 |
| Alpha | - | -0.03 |
| Correlation | - | 78.0% |
| Treynor Ratio | - | 65.23% |
| Year | SPY | HFND | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 7.39 | 2.38 | 0.32 | - |
| 2023 | 26.18 | 3.58 | 0.14 | - |
| 2024 | 24.89 | 8.34 | 0.34 | - |
| 2025 | 17.72 | 8.93 | 0.50 | - |
| 2026 | 13.33 | 4.52 | 0.34 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-20 | 2025-07-22 | -13.31 | 153 |
| 2023-02-03 | 2024-02-14 | -6.96 | 377 |
| 2024-07-17 | 2024-09-23 | -5.43 | 69 |
| 2026-08-17 | 2026-11-04 | -5.25 | 80 |
| 2026-02-26 | 2026-04-16 | -4.94 | 50 |
| 2024-12-10 | 2025-02-06 | -4.18 | 59 |
| 2024-04-01 | 2024-07-02 | -3.70 | 93 |
| 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 |