| Metric | SPY | HFND |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 127.69% | 35.15% |
| CAGR﹪ | 23.33% | 7.98% |
| Sharpe | 1.12 | 0.37 |
| Prob. Sharpe Ratio | 98.83% | 76.58% |
| Smart Sharpe | 1.05 | 0.34 |
| Sortino | 1.7 | 0.52 |
| Smart Sortino | 1.59 | 0.48 |
| Sortino/√2 | 1.2 | 0.37 |
| Smart Sortino/√2 | 1.12 | 0.34 |
| Omega | 1.29 | 1.16 |
| 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.) | 15.62% | 9.42% |
| R^2 | 0.61 | 0.61 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | 1.24 | 0.6 |
| Skew | 0.84 | 0.29 |
| Kurtosis | 15.56 | 9.81 |
| Ulcer Performance Index | 38.25 | 12.41 |
| Risk-Adjusted Return | 23.33% | 7.98% |
| 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 | 0.93 |
| Profit Ratio | 0.82 | 0.82 |
| Expected Daily | 0.08% | 0.03% |
| Expected Monthly | 1.73% | 0.63% |
| Expected Yearly | 17.89% | 6.21% |
| Kelly Criterion | 12.78% | 5.03% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.53% | -0.94% |
| Expected Shortfall (cVaR) | -2.15% | -1.42% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.29 | 0.16 |
| Gain/Pain (1M) | 2.33 | 1.08 |
| Payoff Ratio | 1.04 | 0.93 |
| Profit Factor | 1.29 | 1.16 |
| Common Sense Ratio | 1.33 | 1.18 |
| CPC Index | 0.75 | 0.59 |
| Tail Ratio | 1.03 | 1.02 |
| Outlier Win Ratio | 3.5 | 3.41 |
| Outlier Loss Ratio | 3.54 | 3.64 |
| MTD | 1.08% | -0.34% |
| 3M | 3.82% | -1.34% |
| 6M | 19.85% | 6.58% |
| YTD | 14.3% | 7.99% |
| 1Y | 17.78% | 8.73% |
| 3Y (ann.) | 24.86% | 10.97% |
| 5Y (ann.) | 23.33% | 7.98% |
| 10Y (ann.) | 23.33% | 7.98% |
| All-time (ann.) | 23.33% | 7.98% |
| 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 | -1.78% | -1.39% |
| Avg. Drawdown Days | 13 | 19 |
| Recovery Factor | 4.64 | 2.39 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 2.78 | 0.99 |
| Avg. Up Month | 4.44% | 2.26% |
| Avg. Down Month | -3.07% | -1.93% |
| Win Days | 55.57% | 54.17% |
| Win Month | 70.83% | 58.33% |
| Win Quarter | 81.25% | 75.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.47 |
| Alpha | - | -0.02 |
| Correlation | - | 77.93% |
| Treynor Ratio | - | 74.76% |
| 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 | 14.30 | 7.99 | 0.56 | - |
| 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 |
| 2026-02-26 | 2026-04-16 | -4.94 | 50 |
| 2024-12-10 | 2025-02-06 | -4.18 | 59 |
| 2024-04-01 | 2024-07-02 | -3.70 | 93 |
| 2026-08-17 | 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 |