| Metric | SPY | HHCCX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 17.87% | -3.07% |
| CAGR﹪ | 18.02% | -3.09% |
| Sharpe | 1.04 | -0.32 |
| Prob. Sharpe Ratio | 84.73% | 38.18% |
| Smart Sharpe | 1.01 | -0.3 |
| Sortino | 1.51 | -0.58 |
| Smart Sortino | 1.47 | -0.55 |
| Sortino/√2 | 1.07 | -0.41 |
| Smart Sortino/√2 | 1.04 | -0.39 |
| Omega | 1.25 | 0.98 |
| Max Drawdown | -8.88% | -15.88% |
| Max DD Date | 2026-03-30 | 2026-05-19 |
| Max DD Period Start | 2026-01-28 | 2025-10-29 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 329 |
| Volatility (ann.) | 12.99% | 17.65% |
| R^2 | 0.17 | 0.17 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 2.03 | -0.19 |
| Skew | -0.15 | 4.86 |
| Kurtosis | 1.05 | 50.15 |
| Ulcer Performance Index | 8.3 | -0.28 |
| Risk-Adjusted Return | 18.02% | -3.26% |
| Risk-Return Ratio | 0.08 | -0.01 |
| Avg. Return | 0.05% | -0.01% |
| Avg. Win | 0.73% | 0.81% |
| Avg. Loss | -0.67% | -0.72% |
| Win/Loss Ratio | 1.09 | 1.12 |
| Profit Ratio | 0.94 | 0.98 |
| Expected Daily | 0.07% | -0.01% |
| Expected Monthly | 1.27% | -0.24% |
| Expected Yearly | 8.57% | -1.55% |
| Kelly Criterion | 10.85% | 0.07% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.84% |
| Expected Shortfall (cVaR) | -1.72% | -2.42% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.25 | -0.02 |
| Gain/Pain (1M) | 2.6 | -0.1 |
| Payoff Ratio | 1.09 | 1.12 |
| Profit Factor | 1.25 | 0.98 |
| Common Sense Ratio | 1.24 | 0.88 |
| CPC Index | 0.73 | 0.52 |
| Tail Ratio | 0.99 | 0.9 |
| Outlier Win Ratio | 2.88 | 4.56 |
| Outlier Loss Ratio | 3.19 | 2.97 |
| MTD | 1.08% | -0.35% |
| 3M | 3.82% | -1.39% |
| 6M | 19.85% | 2.38% |
| YTD | 14.3% | -4.95% |
| 1Y | 17.87% | -3.07% |
| 3Y (ann.) | 18.02% | -3.09% |
| 5Y (ann.) | 18.02% | -3.09% |
| 10Y (ann.) | 18.02% | -3.09% |
| All-time (ann.) | 18.02% | -3.09% |
| Best Day | 2.91% | 11.75% |
| Worst Day | -2.7% | -2.98% |
| Best Month | 10.51% | 9.77% |
| Worst Month | -4.94% | -6.55% |
| Best Year | 14.3% | 1.98% |
| Worst Year | 3.13% | -4.95% |
| Avg. Drawdown | -1.71% | -7.22% |
| Avg. Drawdown Days | 13 | 121 |
| Recovery Factor | 1.94 | 0.1 |
| Ulcer Index | 0.02 | 0.11 |
| Serenity Index | 1.16 | -0.01 |
| Avg. Up Month | 4.91% | 3.03% |
| Avg. Down Month | -4.94% | -6.55% |
| Win Days | 53.6% | 47.26% |
| Win Month | 76.92% | 46.15% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.55 |
| Alpha | - | -0.11 |
| Correlation | - | 40.83% |
| Treynor Ratio | - | -5.53% |
| Year | SPY | HHCCX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 1.98 | 0.63 | - |
| 2026 | 14.30 | -4.95 | -0.35 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-10-29 | 2026-09-22 | -15.88 | 329 |
| 2025-10-02 | 2025-10-27 | -5.32 | 26 |
| 2025-09-24 | 2025-09-30 | -0.48 | 7 |