| Metric | SPY | HF |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 77.77% | 30.06% |
| CAGR﹪ | 19.42% | 8.45% |
| Sharpe | 0.95 | 0.59 |
| Prob. Sharpe Ratio | 95.87% | 85.69% |
| Smart Sharpe | 0.89 | 0.55 |
| Sortino | 1.39 | 0.86 |
| Smart Sortino | 1.31 | 0.8 |
| Sortino/√2 | 0.99 | 0.6 |
| Smart Sortino/√2 | 0.93 | 0.57 |
| Omega | 1.26 | 1.27 |
| Max Drawdown | -18.76% | -5.94% |
| Max DD Date | 2025-04-08 | 2025-03-13 |
| Max DD Period Start | 2025-02-20 | 2024-10-15 |
| Max DD Period End | 2025-06-25 | 2025-10-02 |
| Longest DD Days | 126 | 353 |
| Volatility (ann.) | 15.05% | 6.21% |
| R^2 | 0.3 | 0.3 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.04 | 1.42 |
| Skew | 0.89 | 0.03 |
| Kurtosis | 20.84 | 3.38 |
| Ulcer Performance Index | 23.75 | 14.01 |
| Risk-Adjusted Return | 19.42% | 8.53% |
| Risk-Return Ratio | 0.08 | 0.08 |
| Avg. Return | 0.08% | 0.03% |
| Avg. Win | 0.63% | 0.32% |
| Avg. Loss | -0.68% | -0.33% |
| Win/Loss Ratio | 0.93 | 0.98 |
| Profit Ratio | 0.77 | 0.8 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.45% | 0.66% |
| Expected Yearly | 15.47% | 6.79% |
| Kelly Criterion | 8.78% | 9.68% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.48% | -0.61% |
| Expected Shortfall (cVaR) | -2.17% | -0.83% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.26 | 0.27 |
| Gain/Pain (1M) | 2.13 | 1.99 |
| Payoff Ratio | 0.93 | 0.98 |
| Profit Factor | 1.26 | 1.27 |
| Common Sense Ratio | 1.23 | 1.27 |
| CPC Index | 0.66 | 0.69 |
| Tail Ratio | 0.97 | 1.0 |
| Outlier Win Ratio | 3.22 | 3.59 |
| Outlier Loss Ratio | 3.62 | 3.51 |
| MTD | 1.47% | 0.13% |
| 3M | 1.46% | 0.62% |
| 6M | 6.94% | 4.09% |
| YTD | 13.33% | 7.33% |
| 1Y | 13.43% | 7.87% |
| 3Y (ann.) | 20.78% | 8.14% |
| 5Y (ann.) | 19.42% | 8.45% |
| 10Y (ann.) | 19.42% | 8.45% |
| All-time (ann.) | 19.42% | 8.45% |
| Best Day | 10.5% | 2.48% |
| Worst Day | -5.85% | -1.87% |
| Best Month | 10.51% | 5.56% |
| Worst Month | -5.57% | -2.41% |
| Best Year | 24.89% | 9.55% |
| Worst Year | 6.7% | 4.38% |
| Avg. Drawdown | -1.67% | -0.96% |
| Avg. Drawdown Days | 12 | 19 |
| Recovery Factor | 3.26 | 4.53 |
| Ulcer Index | 0.03 | 0.02 |
| Serenity Index | 1.85 | 1.01 |
| Avg. Up Month | 3.35% | 1.53% |
| Avg. Down Month | -2.78% | -1.25% |
| Win Days | 56.06% | 55.32% |
| Win Month | 67.5% | 72.5% |
| Win Quarter | 78.57% | 78.57% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.23 |
| Alpha | - | 0.04 |
| Correlation | - | 55.19% |
| Treynor Ratio | - | 131.93% |
| Year | SPY | HF | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 6.70 | 5.98 | 0.89 | - |
| 2024 | 24.89 | 9.55 | 0.38 | - |
| 2025 | 17.72 | 4.38 | 0.25 | - |
| 2026 | 13.33 | 7.33 | 0.55 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-10-15 | 2025-10-02 | -5.94 | 353 |
| 2023-08-08 | 2023-11-09 | -4.27 | 94 |
| 2024-07-17 | 2024-09-23 | -3.89 | 69 |
| 2026-01-30 | 2026-04-29 | -3.14 | 90 |
| 2024-04-01 | 2024-05-14 | -3.08 | 44 |
| 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 |
| 2024-02-13 | 2024-02-14 | -1.87 | 2 |
| 2026-06-16 | 2026-07-09 | -1.67 | 24 |