| Metric | SPY | HF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 6.48% | 4.14% |
| CAGR﹪ | 13.27% | 8.38% |
| Sharpe | 0.78 | 0.75 |
| Prob. Sharpe Ratio | 70.87% | 69.98% |
| Smart Sharpe | 0.75 | 0.62 |
| Sortino | 1.14 | 1.06 |
| Smart Sortino | 1.09 | 0.87 |
| Sortino/√2 | 0.8 | 0.75 |
| Smart Sortino/√2 | 0.77 | 0.62 |
| Omega | 1.19 | 1.26 |
| Max Drawdown | -4.49% | -2.15% |
| Max DD Date | 2026-06-10 | 2026-06-10 |
| Max DD Period Start | 2026-06-03 | 2026-06-05 |
| Max DD Period End | 2026-07-31 | 2026-06-12 |
| Longest DD Days | 59 | 83 |
| Volatility (ann.) | 12.4% | 6.28% |
| R^2 | 0.64 | 0.64 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 2.95 | 3.89 |
| Skew | -0.15 | -0.34 |
| Kurtosis | 0.59 | 1.63 |
| Ulcer Performance Index | 3.89 | 4.55 |
| Risk-Adjusted Return | 13.27% | 8.47% |
| Risk-Return Ratio | 0.07 | 0.08 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.67% | 0.36% |
| Avg. Loss | -0.66% | -0.34% |
| Win/Loss Ratio | 1.02 | 1.06 |
| Profit Ratio | 1.15 | 0.78 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 0.9% | 0.58% |
| Expected Yearly | 6.48% | 4.14% |
| Kelly Criterion | 1.81% | 13.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.62% |
| Expected Shortfall (cVaR) | -1.63% | -0.86% |
| Max Consecutive Wins | 4 | 5 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.19 | 0.26 |
| Gain/Pain (1M) | 3.26 | 4.48 |
| Payoff Ratio | 1.02 | 1.06 |
| Profit Factor | 1.19 | 1.26 |
| Common Sense Ratio | 1.47 | 1.12 |
| CPC Index | 0.61 | 0.74 |
| Tail Ratio | 1.23 | 0.89 |
| Outlier Win Ratio | 2.66 | 3.47 |
| Outlier Loss Ratio | 3.07 | 3.3 |
| MTD | 1.47% | 0.13% |
| 3M | 1.46% | 0.62% |
| 6M | 6.48% | 4.14% |
| YTD | 6.48% | 4.14% |
| 1Y | 6.48% | 4.14% |
| 3Y (ann.) | 13.27% | 8.38% |
| 5Y (ann.) | 13.27% | 8.38% |
| 10Y (ann.) | 13.27% | 8.38% |
| All-time (ann.) | 13.27% | 8.38% |
| Best Day | 1.8% | 1.2% |
| Worst Day | -2.58% | -1.42% |
| Best Month | 4.52% | 2.2% |
| Worst Month | -1.03% | -0.93% |
| Best Year | 6.48% | 4.14% |
| Worst Year | 6.48% | 4.14% |
| Avg. Drawdown | -1.57% | -0.89% |
| Avg. Drawdown Days | 17 | 14 |
| Recovery Factor | 1.48 | 1.93 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.91 | 0.98 |
| Avg. Up Month | 2.18% | 1.01% |
| Avg. Down Month | -0.33% | -0.93% |
| Win Days | 50.39% | 55.2% |
| Win Month | 57.14% | 85.71% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.41 |
| Alpha | - | 0.03 |
| Correlation | - | 80.16% |
| Treynor Ratio | - | 10.2% |
| Year | SPY | HF | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 4.14 | 0.64 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-05 | 2026-06-12 | -2.15 | 8 |
| 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 |
| 2026-05-07 | 2026-05-12 | -0.76 | 6 |
| 2026-06-03 | 2026-06-03 | -0.39 | 1 |
| 2026-08-05 | 2026-08-06 | -0.31 | 2 |
| 2026-05-29 | 2026-06-01 | -0.19 | 4 |
| 2026-05-27 | 2026-05-27 | -0.18 | 1 |