| Metric | SPY | HHCCX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 87.0% |
| Cumulative Return | 83.24% | 1.14% |
| CAGR﹪ | 12.97% | 0.23% |
| Sharpe | 0.57 | -0.33 |
| Prob. Sharpe Ratio | 90.08% | 24.69% |
| Smart Sharpe | 0.56 | -0.32 |
| Sortino | 0.83 | -0.52 |
| Smart Sortino | 0.8 | -0.51 |
| Sortino/√2 | 0.59 | -0.37 |
| Smart Sortino/√2 | 0.57 | -0.36 |
| Omega | 1.15 | 1.02 |
| Max Drawdown | -24.5% | -15.88% |
| Max DD Date | 2022-10-12 | 2026-05-19 |
| Max DD Period Start | 2022-01-04 | 2025-10-29 |
| Max DD Period End | 2023-12-12 | 2026-09-22 |
| Longest DD Days | 708 | 1096 |
| Volatility (ann.) | 17.2% | 9.55% |
| R^2 | 0.15 | 0.15 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.53 | 0.01 |
| Skew | 0.32 | 5.81 |
| Kurtosis | 8.97 | 120.33 |
| Ulcer Performance Index | 9.75 | 0.15 |
| Risk-Adjusted Return | 12.97% | 0.26% |
| Risk-Return Ratio | 0.05 | 0.0 |
| Avg. Return | 0.06% | 0.0% |
| Avg. Win | 0.93% | 0.38% |
| Avg. Loss | -0.94% | -0.4% |
| Win/Loss Ratio | 0.99 | 0.95 |
| Profit Ratio | 0.83 | 0.5 |
| Expected Daily | 0.05% | 0.0% |
| Expected Monthly | 1.0% | 0.02% |
| Expected Yearly | 10.62% | 0.19% |
| Kelly Criterion | 7.27% | 1.96% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.99% |
| Expected Shortfall (cVaR) | -2.58% | -1.5% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.15 | 0.02 |
| Gain/Pain (1M) | 0.83 | 0.07 |
| Payoff Ratio | 0.99 | 0.95 |
| Profit Factor | 1.15 | 1.02 |
| Common Sense Ratio | 1.16 | 0.86 |
| CPC Index | 0.61 | 0.51 |
| Tail Ratio | 1.01 | 0.84 |
| Outlier Win Ratio | 3.42 | 5.23 |
| Outlier Loss Ratio | 3.77 | 4.43 |
| MTD | 1.08% | -0.35% |
| 3M | 3.82% | -1.39% |
| 6M | 19.85% | 2.38% |
| YTD | 14.3% | -4.95% |
| 1Y | 17.78% | -3.2% |
| 3Y (ann.) | 24.15% | 2.33% |
| 5Y (ann.) | 12.66% | 1.01% |
| 10Y (ann.) | 12.97% | 0.23% |
| All-time (ann.) | 12.97% | 0.23% |
| Best Day | 10.5% | 11.75% |
| Worst Day | -5.85% | -3.28% |
| Best Month | 10.51% | 9.77% |
| Worst Month | -9.24% | -7.18% |
| Best Year | 26.18% | 6.22% |
| Worst Year | -18.18% | -6.47% |
| Avg. Drawdown | -1.94% | -2.92% |
| Avg. Drawdown Days | 21 | 111 |
| Recovery Factor | 2.77 | 0.21 |
| Ulcer Index | 0.09 | 0.08 |
| Serenity Index | 0.45 | 0.02 |
| Avg. Up Month | 4.58% | 1.55% |
| Avg. Down Month | -4.94% | -2.61% |
| Win Days | 53.96% | 52.22% |
| Win Month | 63.93% | 60.66% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 83.33% | 50.0% |
| Beta | - | 0.21 |
| Alpha | - | -0.02 |
| Correlation | - | 38.72% |
| Treynor Ratio | - | 5.3% |
| Year | SPY | HHCCX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -2.73 | -0.36 | - |
| 2022 | -18.18 | -6.47 | 0.36 | + |
| 2023 | 26.18 | 4.43 | 0.17 | - |
| 2024 | 24.89 | 6.22 | 0.25 | - |
| 2025 | 15.61 | 5.43 | 0.35 | - |
| 2026 | 14.30 | -4.95 | -0.35 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-10-29 | 2026-09-22 | -15.88 | 329 |
| 2021-09-27 | 2024-09-26 | -13.69 | 1096 |
| 2025-10-02 | 2025-10-27 | -5.32 | 26 |
| 2024-11-11 | 2025-06-26 | -4.93 | 228 |
| 2025-07-30 | 2025-08-12 | -1.56 | 14 |
| 2025-09-12 | 2025-09-30 | -1.29 | 19 |
| 2024-10-18 | 2024-11-01 | -0.91 | 15 |
| 2025-08-14 | 2025-08-28 | -0.74 | 15 |
| 2025-07-11 | 2025-07-21 | -0.62 | 11 |
| 2025-09-02 | 2025-09-10 | -0.54 | 9 |