| Metric | SPY | HMEZX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 71.0% |
| Cumulative Return | 17.87% | 4.95% |
| CAGR﹪ | 18.02% | 4.99% |
| Sharpe | 1.04 | 0.69 |
| Prob. Sharpe Ratio | 84.73% | 75.48% |
| Smart Sharpe | 1.01 | 0.61 |
| Sortino | 1.51 | 1.04 |
| Smart Sortino | 1.47 | 0.91 |
| Sortino/√2 | 1.07 | 0.73 |
| Smart Sortino/√2 | 1.04 | 0.65 |
| Omega | 1.25 | 1.91 |
| Max Drawdown | -8.88% | -0.55% |
| Max DD Date | 2026-03-30 | 2026-02-04 |
| Max DD Period Start | 2026-01-28 | 2026-01-23 |
| Max DD Period End | 2026-04-13 | 2026-02-10 |
| Longest DD Days | 76 | 36 |
| Volatility (ann.) | 12.99% | 1.32% |
| R^2 | 0.22 | 0.22 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 2.03 | 9.1 |
| Skew | -0.15 | 0.11 |
| Kurtosis | 1.05 | 0.83 |
| Ulcer Performance Index | 8.3 | 42.4 |
| Risk-Adjusted Return | 18.02% | 7.03% |
| Risk-Return Ratio | 0.08 | 0.23 |
| Avg. Return | 0.12% | 0.03% |
| Avg. Win | 0.75% | 0.1% |
| Avg. Loss | -0.78% | -0.09% |
| Win/Loss Ratio | 0.97 | 1.11 |
| Profit Ratio | 0.94 | 0.26 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.27% | 0.37% |
| Expected Yearly | 8.57% | 2.44% |
| Kelly Criterion | 5.73% | 28.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.12% |
| Expected Shortfall (cVaR) | -1.72% | -0.17% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.25 | 0.91 |
| Gain/Pain (1M) | 2.6 | 99.08 |
| Payoff Ratio | 0.97 | 1.11 |
| Profit Factor | 1.25 | 1.91 |
| Common Sense Ratio | 1.24 | 2.87 |
| CPC Index | 0.65 | 1.31 |
| Tail Ratio | 0.99 | 1.5 |
| Outlier Win Ratio | 2.88 | 3.61 |
| Outlier Loss Ratio | 3.19 | 2.5 |
| MTD | 1.08% | 0.34% |
| 3M | 3.82% | 1.41% |
| 6M | 19.85% | 2.59% |
| YTD | 14.3% | 3.06% |
| 1Y | 17.87% | 4.95% |
| 3Y (ann.) | 18.02% | 4.99% |
| 5Y (ann.) | 18.02% | 4.99% |
| 10Y (ann.) | 18.02% | 4.99% |
| All-time (ann.) | 18.02% | 4.99% |
| Best Day | 2.91% | 0.3% |
| Worst Day | -2.7% | -0.2% |
| Best Month | 10.51% | 0.75% |
| Worst Month | -4.94% | -0.05% |
| Best Year | 14.3% | 3.06% |
| Worst Year | 3.13% | 1.83% |
| Avg. Drawdown | -1.71% | -0.14% |
| Avg. Drawdown Days | 13 | 7 |
| Recovery Factor | 1.94 | 8.82 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 1.16 | 11.8 |
| Avg. Up Month | 2.41% | 0.42% |
| Avg. Down Month | -0.86% | -0.05% |
| Win Days | 53.6% | 62.15% |
| Win Month | 76.92% | 92.31% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.05 |
| Alpha | - | 0.04 |
| Correlation | - | 46.55% |
| Treynor Ratio | - | 104.36% |
| Year | SPY | HMEZX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 1.83 | 0.59 | - |
| 2026 | 14.30 | 3.06 | 0.21 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-23 | 2026-02-10 | -0.55 | 19 |
| 2026-02-12 | 2026-03-19 | -0.35 | 36 |
| 2026-09-08 | 2026-09-18 | -0.30 | 11 |
| 2025-11-13 | 2025-11-24 | -0.30 | 12 |
| 2026-06-08 | 2026-06-22 | -0.30 | 15 |
| 2026-07-17 | 2026-08-04 | -0.25 | 19 |
| 2025-10-06 | 2025-10-16 | -0.25 | 11 |
| 2026-08-28 | 2026-09-02 | -0.20 | 6 |
| 2026-08-17 | 2026-08-24 | -0.15 | 8 |
| 2026-04-09 | 2026-04-10 | -0.10 | 2 |