| Metric | SPY | HHCCX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 87.0% |
| Cumulative Return | 71.85% | -1.41% |
| CAGR﹪ | 11.52% | -0.29% |
| Sharpe | 0.5 | -0.39 |
| Prob. Sharpe Ratio | 86.64% | 20.84% |
| Smart Sharpe | 0.48 | -0.38 |
| Sortino | 0.71 | -0.64 |
| Smart Sortino | 0.69 | -0.61 |
| Sortino/√2 | 0.5 | -0.45 |
| Smart Sortino/√2 | 0.49 | -0.43 |
| Omega | 1.14 | 1.0 |
| Max Drawdown | -24.5% | -20.07% |
| Max DD Date | 2022-10-12 | 2026-10-19 |
| Max DD Period Start | 2022-01-04 | 2025-10-29 |
| Max DD Period End | 2023-12-12 | 2026-11-04 |
| Longest DD Days | 708 | 809 |
| Volatility (ann.) | 17.19% | 9.4% |
| R^2 | 0.15 | 0.15 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.47 | -0.01 |
| Skew | 0.33 | 6.19 |
| Kurtosis | 9.01 | 126.94 |
| Ulcer Performance Index | 8.42 | -0.2 |
| Risk-Adjusted Return | 11.52% | -0.33% |
| Risk-Return Ratio | 0.05 | 0.0 |
| Avg. Return | 0.05% | 0.0% |
| Avg. Win | 0.92% | 0.38% |
| Avg. Loss | -0.94% | -0.4% |
| Win/Loss Ratio | 0.99 | 0.94 |
| Profit Ratio | 0.86 | 0.5 |
| Expected Daily | 0.04% | -0.0% |
| Expected Monthly | 0.89% | -0.02% |
| Expected Yearly | 9.44% | -0.24% |
| Kelly Criterion | 6.24% | 1.13% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.97% |
| Expected Shortfall (cVaR) | -2.58% | -1.44% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.14 | 0.0 |
| Gain/Pain (1M) | 0.75 | 0.02 |
| Payoff Ratio | 0.99 | 0.94 |
| Profit Factor | 1.14 | 1.0 |
| Common Sense Ratio | 1.13 | 0.82 |
| CPC Index | 0.6 | 0.49 |
| Tail Ratio | 1.0 | 0.82 |
| Outlier Win Ratio | 3.41 | 5.12 |
| Outlier Loss Ratio | 3.8 | 4.37 |
| MTD | 1.47% | -1.77% |
| 3M | 1.46% | -9.95% |
| 6M | 6.94% | -6.73% |
| YTD | 13.33% | -10.97% |
| 1Y | 13.43% | -17.74% |
| 3Y (ann.) | 20.09% | -0.11% |
| 5Y (ann.) | 12.46% | 0.78% |
| 10Y (ann.) | 11.52% | -0.29% |
| All-time (ann.) | 11.52% | -0.29% |
| Best Day | 10.5% | 11.75% |
| Worst Day | -5.85% | -2.98% |
| Best Month | 10.51% | 9.77% |
| Worst Month | -9.24% | -7.18% |
| Best Year | 26.18% | 6.22% |
| Worst Year | -18.18% | -10.97% |
| Avg. Drawdown | -1.98% | -2.14% |
| Avg. Drawdown Days | 21 | 61 |
| Recovery Factor | 2.51 | 0.04 |
| Ulcer Index | 0.09 | 0.07 |
| Serenity Index | 0.41 | 0.0 |
| Avg. Up Month | 4.49% | 1.57% |
| Avg. Down Month | -4.57% | -2.43% |
| Win Days | 53.4% | 52.08% |
| Win Month | 62.3% | 59.02% |
| Win Quarter | 71.43% | 61.9% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.21 |
| Alpha | - | -0.02 |
| Correlation | - | 38.67% |
| Treynor Ratio | - | -6.66% |
| Year | SPY | HHCCX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 1.24 | 0.71 | - |
| 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 | 13.33 | -10.97 | -0.82 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-10-29 | 2026-11-04 | -20.07 | 372 |
| 2021-12-31 | 2024-03-18 | -11.71 | 809 |
| 2021-11-09 | 2021-12-23 | -6.37 | 45 |
| 2025-10-02 | 2025-10-27 | -5.32 | 26 |
| 2024-11-11 | 2025-06-11 | -4.93 | 213 |
| 2025-07-30 | 2025-08-12 | -1.56 | 14 |
| 2024-07-15 | 2024-09-12 | -1.50 | 60 |
| 2025-09-02 | 2025-09-30 | -1.29 | 29 |
| 2024-05-10 | 2024-07-10 | -1.22 | 62 |
| 2024-10-18 | 2024-11-01 | -0.91 | 15 |