| Metric | SPY | HMEZX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 72.0% |
| Cumulative Return | 74.99% | 25.28% |
| CAGR﹪ | 11.91% | 4.64% |
| Sharpe | 0.52 | 0.39 |
| Prob. Sharpe Ratio | 87.6% | 80.6% |
| Smart Sharpe | 0.5 | 0.33 |
| Sortino | 0.74 | 0.54 |
| Smart Sortino | 0.72 | 0.45 |
| Sortino/√2 | 0.53 | 0.38 |
| Smart Sortino/√2 | 0.51 | 0.32 |
| Omega | 1.14 | 1.72 |
| Max Drawdown | -24.5% | -1.94% |
| Max DD Date | 2022-10-12 | 2023-05-16 |
| Max DD Period Start | 2022-01-04 | 2023-01-24 |
| Max DD Period End | 2023-12-12 | 2023-08-08 |
| Longest DD Days | 708 | 197 |
| Volatility (ann.) | 17.19% | 1.75% |
| R^2 | 0.16 | 0.16 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 2.39 |
| Skew | 0.33 | -0.97 |
| Kurtosis | 8.98 | 25.68 |
| Ulcer Performance Index | 8.86 | 69.32 |
| Risk-Adjusted Return | 11.91% | 6.44% |
| Risk-Return Ratio | 0.05 | 0.16 |
| Avg. Return | 0.09% | 0.03% |
| Avg. Win | 0.89% | 0.1% |
| Avg. Loss | -1.05% | -0.1% |
| Win/Loss Ratio | 0.85 | 1.05 |
| Profit Ratio | 0.86 | 0.22 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.37% |
| Expected Yearly | 9.77% | 3.83% |
| Kelly Criterion | -1.22% | 28.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.16% |
| Expected Shortfall (cVaR) | -2.58% | -0.35% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.14 | 0.72 |
| Gain/Pain (1M) | 0.79 | 8.69 |
| Payoff Ratio | 0.85 | 1.05 |
| Profit Factor | 1.14 | 1.72 |
| Common Sense Ratio | 1.15 | 2.57 |
| CPC Index | 0.52 | 1.15 |
| Tail Ratio | 1.0 | 1.49 |
| Outlier Win Ratio | 3.4 | 4.77 |
| Outlier Loss Ratio | 3.8 | 2.66 |
| MTD | 1.47% | 0.1% |
| 3M | 1.46% | 1.05% |
| 6M | 6.94% | 1.82% |
| YTD | 13.33% | 3.43% |
| 1Y | 13.43% | 4.43% |
| 3Y (ann.) | 20.78% | 5.58% |
| 5Y (ann.) | 12.86% | 4.72% |
| 10Y (ann.) | 11.91% | 4.64% |
| All-time (ann.) | 11.91% | 4.64% |
| Best Day | 10.5% | 1.11% |
| Worst Day | -5.85% | -1.15% |
| Best Month | 10.51% | 1.81% |
| Worst Month | -9.24% | -1.18% |
| Best Year | 26.18% | 6.3% |
| Worst Year | -18.18% | 0.51% |
| Avg. Drawdown | -1.94% | -0.15% |
| Avg. Drawdown Days | 21 | 8 |
| Recovery Factor | 2.58 | 11.67 |
| Ulcer Index | 0.08 | 0.0 |
| Serenity Index | 0.43 | 6.5 |
| Avg. Up Month | 3.87% | 0.51% |
| Avg. Down Month | -5.35% | -0.12% |
| Win Days | 53.48% | 63.52% |
| Win Month | 62.3% | 88.52% |
| Win Quarter | 71.43% | 95.24% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.04 |
| Alpha | - | 0.04 |
| Correlation | - | 40.47% |
| Treynor Ratio | - | 613.51% |
| Year | SPY | HMEZX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.51 | 0.30 | - |
| 2022 | -18.18 | 2.70 | -0.15 | + |
| 2023 | 26.18 | 4.10 | 0.16 | - |
| 2024 | 24.89 | 6.05 | 0.24 | - |
| 2025 | 17.72 | 6.30 | 0.36 | - |
| 2026 | 13.33 | 3.43 | 0.26 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-01-24 | 2023-08-08 | -1.94 | 197 |
| 2024-09-24 | 2024-12-31 | -1.15 | 99 |
| 2025-04-03 | 2025-04-23 | -1.06 | 21 |
| 2022-06-06 | 2022-06-30 | -0.89 | 25 |
| 2022-09-13 | 2022-10-14 | -0.69 | 32 |
| 2022-03-09 | 2022-06-01 | -0.62 | 85 |
| 2026-01-23 | 2026-02-10 | -0.55 | 19 |
| 2024-08-01 | 2024-08-08 | -0.35 | 8 |
| 2026-02-12 | 2026-03-19 | -0.35 | 36 |
| 2025-03-04 | 2025-03-14 | -0.30 | 11 |