| Metric | SPY | HF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 17.87% | 8.8% |
| CAGR﹪ | 18.02% | 8.87% |
| Sharpe | 1.04 | 0.8 |
| Prob. Sharpe Ratio | 84.73% | 78.55% |
| Smart Sharpe | 1.01 | 0.71 |
| Sortino | 1.51 | 1.14 |
| Smart Sortino | 1.47 | 1.02 |
| Sortino/√2 | 1.07 | 0.81 |
| Smart Sortino/√2 | 1.04 | 0.72 |
| Omega | 1.25 | 1.29 |
| 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.) | 12.99% | 5.88% |
| R^2 | 0.62 | 0.62 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 2.03 | 2.82 |
| Skew | -0.15 | -0.23 |
| Kurtosis | 1.05 | 1.47 |
| Ulcer Performance Index | 8.3 | 9.21 |
| Risk-Adjusted Return | 18.02% | 9.05% |
| Risk-Return Ratio | 0.08 | 0.09 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.68% | 0.33% |
| Avg. Loss | -0.71% | -0.34% |
| Win/Loss Ratio | 0.96 | 0.97 |
| Profit Ratio | 0.94 | 0.7 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.27% | 0.65% |
| Expected Yearly | 8.57% | 4.31% |
| Kelly Criterion | 5.02% | 11.55% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.58% |
| Expected Shortfall (cVaR) | -1.72% | -0.79% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.25 | 0.29 |
| Gain/Pain (1M) | 2.6 | 4.66 |
| Payoff Ratio | 0.96 | 0.97 |
| Profit Factor | 1.25 | 1.29 |
| Common Sense Ratio | 1.24 | 1.25 |
| CPC Index | 0.64 | 0.7 |
| Tail Ratio | 0.99 | 0.97 |
| Outlier Win Ratio | 2.88 | 3.57 |
| Outlier Loss Ratio | 3.19 | 3.24 |
| MTD | 1.08% | -0.08% |
| 3M | 3.82% | 1.71% |
| 6M | 19.85% | 7.57% |
| YTD | 14.3% | 7.33% |
| 1Y | 17.87% | 8.8% |
| 3Y (ann.) | 18.02% | 8.87% |
| 5Y (ann.) | 18.02% | 8.87% |
| 10Y (ann.) | 18.02% | 8.87% |
| All-time (ann.) | 18.02% | 8.87% |
| Best Day | 2.91% | 1.23% |
| Worst Day | -2.7% | -1.42% |
| Best Month | 10.51% | 3.26% |
| Worst Month | -4.94% | -1.76% |
| Best Year | 14.3% | 7.33% |
| Worst Year | 3.13% | 1.37% |
| Avg. Drawdown | -1.71% | -0.92% |
| Avg. Drawdown Days | 13 | 14 |
| Recovery Factor | 1.94 | 2.74 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 1.43 |
| Avg. Up Month | 2.56% | 1.1% |
| Avg. Down Month | -4.94% | -1.76% |
| Win Days | 53.6% | 56.56% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.36 |
| Alpha | - | 0.02 |
| Correlation | - | 78.99% |
| Treynor Ratio | - | 24.59% |
| Year | SPY | HF | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 1.37 | 0.44 | - |
| 2026 | 14.30 | 7.33 | 0.51 | - |
| 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 |
| 2026-06-16 | 2026-07-09 | -1.67 | 24 |
| 2025-10-21 | 2025-11-11 | -1.27 | 22 |
| 2026-07-13 | 2026-07-31 | -1.26 | 19 |
| 2026-08-14 | 2026-09-22 | -1.09 | 40 |
| 2025-10-09 | 2025-10-17 | -0.94 | 9 |
| 2026-05-15 | 2026-05-20 | -0.90 | 6 |
| 2026-05-01 | 2026-05-05 | -0.87 | 5 |