| Metric | SPY | HF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 14.39% | 8.12% |
| CAGR﹪ | 14.51% | 8.19% |
| Sharpe | 0.83 | 0.76 |
| Prob. Sharpe Ratio | 79.61% | 77.26% |
| Smart Sharpe | 0.82 | 0.68 |
| Sortino | 1.22 | 1.08 |
| Smart Sortino | 1.2 | 0.97 |
| Sortino/√2 | 0.86 | 0.76 |
| Smart Sortino/√2 | 0.85 | 0.69 |
| Omega | 1.2 | 1.27 |
| Max Drawdown | -8.88% | -3.14% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-01-30 |
| Max DD Period End | 2026-04-13 | 2026-04-29 |
| Longest DD Days | 76 | 90 |
| Volatility (ann.) | 12.86% | 5.79% |
| R^2 | 0.63 | 0.63 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 1.63 | 2.6 |
| Skew | -0.02 | -0.2 |
| Kurtosis | 0.78 | 1.65 |
| Ulcer Performance Index | 6.68 | 7.82 |
| Risk-Adjusted Return | 14.51% | 8.36% |
| Risk-Return Ratio | 0.07 | 0.09 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.68% | 0.32% |
| Avg. Loss | -0.7% | -0.32% |
| Win/Loss Ratio | 0.98 | 1.0 |
| Profit Ratio | 1.02 | 0.71 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.04% | 0.6% |
| Expected Yearly | 6.95% | 3.98% |
| Kelly Criterion | 2.86% | 12.47% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.57% |
| Expected Shortfall (cVaR) | -1.66% | -0.79% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.2 | 0.27 |
| Gain/Pain (1M) | 1.83 | 2.96 |
| Payoff Ratio | 0.98 | 1.0 |
| Profit Factor | 1.2 | 1.27 |
| Common Sense Ratio | 1.19 | 1.26 |
| CPC Index | 0.61 | 0.71 |
| Tail Ratio | 0.99 | 0.99 |
| Outlier Win Ratio | 2.84 | 3.66 |
| Outlier Loss Ratio | 3.01 | 3.34 |
| MTD | 1.47% | 0.13% |
| 3M | 1.46% | 0.62% |
| 6M | 6.94% | 4.09% |
| YTD | 13.33% | 7.33% |
| 1Y | 14.39% | 8.12% |
| 3Y (ann.) | 14.51% | 8.19% |
| 5Y (ann.) | 14.51% | 8.19% |
| 10Y (ann.) | 14.51% | 8.19% |
| All-time (ann.) | 14.51% | 8.19% |
| Best Day | 2.91% | 1.23% |
| Worst Day | -2.58% | -1.42% |
| Best Month | 10.51% | 3.26% |
| Worst Month | -4.94% | -1.76% |
| Best Year | 13.33% | 7.33% |
| Worst Year | 0.94% | 0.74% |
| Avg. Drawdown | -1.74% | -0.98% |
| Avg. Drawdown Days | 14 | 17 |
| Recovery Factor | 1.61 | 2.54 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 1.17 |
| Avg. Up Month | 2.8% | 1.17% |
| Avg. Down Month | -2.63% | -1.34% |
| Win Days | 52.0% | 56.33% |
| Win Month | 61.54% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.36 |
| Alpha | - | 0.03 |
| Correlation | - | 79.42% |
| Treynor Ratio | - | 22.71% |
| Year | SPY | HF | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 0.74 | 0.79 | - |
| 2026 | 13.33 | 7.33 | 0.55 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-30 | 2026-04-29 | -3.14 | 90 |
| 2026-06-05 | 2026-06-12 | -2.15 | 8 |
| 2025-11-13 | 2025-12-19 | -2.01 | 37 |
| 2026-08-14 | 2026-11-04 | -1.88 | 83 |
| 2026-06-16 | 2026-07-09 | -1.67 | 24 |
| 2026-07-13 | 2026-07-31 | -1.26 | 19 |
| 2026-05-15 | 2026-05-20 | -0.90 | 6 |
| 2026-05-01 | 2026-05-05 | -0.87 | 5 |
| 2026-05-07 | 2026-05-12 | -0.76 | 6 |
| 2026-01-13 | 2026-01-21 | -0.75 | 9 |