| Metric | SPY | HHCCX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 18.6% | 0.57% |
| CAGR﹪ | 40.67% | 1.14% |
| Sharpe | 2.32 | -0.16 |
| Prob. Sharpe Ratio | 95.04% | 45.41% |
| Smart Sharpe | 2.3 | -0.16 |
| Sortino | 3.78 | -0.26 |
| Smart Sortino | 3.75 | -0.26 |
| Sortino/√2 | 2.67 | -0.18 |
| Smart Sortino/√2 | 2.65 | -0.18 |
| Omega | 1.54 | 1.03 |
| Max Drawdown | -4.49% | -5.45% |
| Max DD Date | 2026-06-10 | 2026-09-15 |
| Max DD Period Start | 2026-06-03 | 2026-08-05 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 49 |
| Volatility (ann.) | 13.55% | 11.26% |
| R^2 | 0.32 | 0.32 |
| Information Ratio | -0.18 | -0.18 |
| Calmar | 9.05 | 0.21 |
| Skew | 0.1 | 1.19 |
| Kurtosis | 1.12 | 4.29 |
| Ulcer Performance Index | 11.86 | 0.27 |
| Risk-Adjusted Return | 40.67% | 1.21% |
| Risk-Return Ratio | 0.16 | 0.01 |
| Avg. Return | 0.11% | 0.01% |
| Avg. Win | 0.84% | 0.61% |
| Avg. Loss | -0.6% | -0.57% |
| Win/Loss Ratio | 1.38 | 1.08 |
| Profit Ratio | 1.12 | 0.96 |
| Expected Daily | 0.14% | 0.0% |
| Expected Monthly | 2.47% | 0.08% |
| Expected Yearly | 18.6% | 0.57% |
| Kelly Criterion | 20.64% | -1.39% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -1.16% |
| Expected Shortfall (cVaR) | -1.77% | -1.24% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.54 | 0.03 |
| Gain/Pain (1M) | 10.92 | 0.4 |
| Payoff Ratio | 1.38 | 1.08 |
| Profit Factor | 1.54 | 1.03 |
| Common Sense Ratio | 2.01 | 1.09 |
| CPC Index | 1.15 | 0.52 |
| Tail Ratio | 1.3 | 1.06 |
| Outlier Win Ratio | 3.21 | 3.59 |
| Outlier Loss Ratio | 3.16 | 2.3 |
| MTD | 1.08% | -0.35% |
| 3M | 3.82% | -1.39% |
| 6M | 18.6% | 0.57% |
| YTD | 18.6% | 0.57% |
| 1Y | 18.6% | 0.57% |
| 3Y (ann.) | 40.67% | 1.14% |
| 5Y (ann.) | 40.67% | 1.14% |
| 10Y (ann.) | 40.67% | 1.14% |
| All-time (ann.) | 40.67% | 1.14% |
| Best Day | 2.91% | 3.57% |
| Worst Day | -2.58% | -1.29% |
| Best Month | 10.51% | 1.68% |
| Worst Month | -1.03% | -1.92% |
| Best Year | 18.6% | 0.57% |
| Worst Year | 18.6% | 0.57% |
| Avg. Drawdown | -1.13% | -2.09% |
| Avg. Drawdown Days | 9 | 16 |
| Recovery Factor | 3.9 | 0.16 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 2.75 | 0.07 |
| Avg. Up Month | 7.88% | 0.63% |
| Avg. Down Month | - | - |
| Win Days | 53.97% | 47.46% |
| Win Month | 71.43% | 50.0% |
| Win Quarter | 66.67% | 50.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.47 |
| Alpha | - | -0.15 |
| Correlation | - | 56.68% |
| Treynor Ratio | - | 1.2% |
| Year | SPY | HHCCX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 0.57 | 0.03 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-05 | 2026-09-22 | -5.45 | 49 |
| 2026-07-01 | 2026-07-31 | -3.37 | 31 |
| 2026-05-04 | 2026-05-28 | -3.08 | 25 |
| 2026-06-01 | 2026-06-15 | -2.10 | 15 |
| 2026-03-26 | 2026-03-30 | -1.91 | 5 |
| 2026-06-22 | 2026-06-25 | -1.60 | 4 |
| 2026-04-02 | 2026-04-16 | -1.20 | 15 |
| 2026-04-20 | 2026-04-30 | -1.20 | 11 |
| 2026-06-17 | 2026-06-17 | -0.63 | 1 |
| 2026-03-24 | 2026-03-24 | -0.42 | 1 |