| Metric | SPY | HHCCX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 199.51% | 4.6% |
| CAGR﹪ | 15.99% | 0.61% |
| Sharpe | 0.71 | -0.06 |
| Prob. Sharpe Ratio | 97.25% | 43.82% |
| Smart Sharpe | 0.61 | -0.05 |
| Sortino | 1.0 | -0.08 |
| Smart Sortino | 0.87 | -0.07 |
| Sortino/√2 | 0.71 | -0.06 |
| Smart Sortino/√2 | 0.61 | -0.05 |
| Omega | 1.18 | 1.03 |
| Max Drawdown | -33.72% | -32.01% |
| Max DD Date | 2020-03-23 | 2022-06-16 |
| Max DD Period Start | 2020-02-20 | 2021-04-27 |
| Max DD Period End | 2020-08-07 | 2026-11-04 |
| Longest DD Days | 708 | 2018 |
| Volatility (ann.) | 19.45% | 16.3% |
| R^2 | 0.38 | 0.38 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.47 | 0.02 |
| Skew | -0.29 | -0.05 |
| Kurtosis | 13.96 | 25.95 |
| Ulcer Performance Index | 25.05 | 0.23 |
| Risk-Adjusted Return | 15.99% | 0.67% |
| Risk-Return Ratio | 0.05 | 0.01 |
| Avg. Return | 0.07% | 0.01% |
| Avg. Win | 0.96% | 0.69% |
| Avg. Loss | -1.02% | -0.72% |
| Win/Loss Ratio | 0.95 | 0.96 |
| Profit Ratio | 0.78 | 0.61 |
| Expected Daily | 0.06% | 0.0% |
| Expected Monthly | 1.23% | 0.05% |
| Expected Yearly | 14.7% | 0.56% |
| Kelly Criterion | 7.86% | 1.32% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.68% |
| Expected Shortfall (cVaR) | -3.2% | -2.81% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.18 | 0.03 |
| Gain/Pain (1M) | 1.12 | 0.14 |
| Payoff Ratio | 0.95 | 0.96 |
| Profit Factor | 1.18 | 1.03 |
| Common Sense Ratio | 1.13 | 1.02 |
| CPC Index | 0.62 | 0.51 |
| Tail Ratio | 0.95 | 0.99 |
| Outlier Win Ratio | 3.69 | 5.46 |
| Outlier Loss Ratio | 4.12 | 4.64 |
| 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.) | 15.99% | 0.61% |
| All-time (ann.) | 15.99% | 0.61% |
| Best Day | 10.5% | 11.75% |
| Worst Day | -10.94% | -11.22% |
| Best Month | 12.7% | 17.16% |
| Worst Month | -12.49% | -13.11% |
| Best Year | 28.73% | 21.0% |
| Worst Year | -18.18% | -18.12% |
| Avg. Drawdown | -1.82% | -4.15% |
| Avg. Drawdown Days | 16 | 70 |
| Recovery Factor | 3.67 | 0.45 |
| Ulcer Index | 0.08 | 0.2 |
| Serenity Index | 1.01 | 0.02 |
| Avg. Up Month | 4.9% | 2.8% |
| Avg. Down Month | -4.63% | -3.19% |
| Win Days | 55.1% | 51.67% |
| Win Month | 65.56% | 56.67% |
| Win Quarter | 77.42% | 58.06% |
| Win Year | 87.5% | 62.5% |
| Beta | - | 0.52 |
| Alpha | - | -0.07 |
| Correlation | - | 62.02% |
| Treynor Ratio | - | 8.85% |
| Year | SPY | HHCCX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 8.41 | 0.51 | - |
| 2020 | 18.33 | 21.00 | 1.15 | + |
| 2021 | 28.73 | -18.12 | -0.63 | - |
| 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 |
|---|---|---|---|
| 2021-04-27 | 2026-11-04 | -32.01 | 2018 |
| 2020-02-20 | 2020-05-15 | -31.45 | 86 |
| 2019-07-05 | 2019-12-03 | -15.03 | 152 |
| 2020-05-28 | 2020-07-16 | -8.64 | 50 |
| 2021-02-10 | 2021-04-22 | -8.32 | 72 |
| 2020-01-17 | 2020-02-14 | -6.60 | 29 |
| 2021-01-26 | 2021-02-08 | -6.15 | 14 |
| 2020-09-03 | 2020-10-02 | -5.53 | 30 |
| 2020-10-14 | 2020-11-03 | -5.19 | 21 |
| 2020-11-16 | 2020-12-07 | -3.44 | 22 |