| Metric | SPY | HMEZX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 74.0% |
| Cumulative Return | 204.97% | 49.11% |
| CAGR﹪ | 16.25% | 5.54% |
| Sharpe | 0.72 | 1.23 |
| Prob. Sharpe Ratio | 97.45% | 99.92% |
| Smart Sharpe | 0.63 | 1.05 |
| Sortino | 1.02 | 1.74 |
| Smart Sortino | 0.88 | 1.48 |
| Sortino/√2 | 0.72 | 1.23 |
| Smart Sortino/√2 | 0.62 | 1.05 |
| Omega | 1.18 | 1.77 |
| Max Drawdown | -33.72% | -4.29% |
| Max DD Date | 2020-03-23 | 2020-03-18 |
| Max DD Period Start | 2020-02-20 | 2020-02-21 |
| Max DD Period End | 2020-08-07 | 2020-06-04 |
| Longest DD Days | 708 | 197 |
| Volatility (ann.) | 19.45% | 2.06% |
| R^2 | 0.15 | 0.15 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.48 | 1.29 |
| Skew | -0.29 | -1.19 |
| Kurtosis | 13.94 | 23.74 |
| Ulcer Performance Index | 25.91 | 106.74 |
| Risk-Adjusted Return | 16.25% | 7.49% |
| Risk-Return Ratio | 0.05 | 0.17 |
| Avg. Return | 0.11% | 0.03% |
| Avg. Win | 0.88% | 0.11% |
| Avg. Loss | -1.15% | -0.11% |
| Win/Loss Ratio | 0.77 | 0.98 |
| Profit Ratio | 0.78 | 0.22 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.44% |
| Expected Yearly | 14.96% | 5.12% |
| Kelly Criterion | -3.11% | 27.82% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.19% |
| Expected Shortfall (cVaR) | -3.2% | -0.37% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.18 | 0.77 |
| Gain/Pain (1M) | 1.15 | 8.88 |
| Payoff Ratio | 0.77 | 0.98 |
| Profit Factor | 1.18 | 1.77 |
| Common Sense Ratio | 1.13 | 2.33 |
| CPC Index | 0.5 | 1.11 |
| Tail Ratio | 0.96 | 1.32 |
| Outlier Win Ratio | 3.69 | 5.52 |
| Outlier Loss Ratio | 4.12 | 2.97 |
| 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.) | 16.25% | 5.54% |
| All-time (ann.) | 16.25% | 5.54% |
| Best Day | 10.5% | 1.11% |
| Worst Day | -10.94% | -1.39% |
| Best Month | 12.7% | 1.86% |
| Worst Month | -12.49% | -1.88% |
| Best Year | 28.73% | 8.46% |
| Worst Year | -18.18% | 2.7% |
| Avg. Drawdown | -1.79% | -0.17% |
| Avg. Drawdown Days | 16 | 7 |
| Recovery Factor | 3.72 | 9.34 |
| Ulcer Index | 0.08 | 0.0 |
| Serenity Index | 1.03 | 7.59 |
| Avg. Up Month | 4.04% | 0.61% |
| Avg. Down Month | -6.78% | -0.47% |
| Win Days | 55.15% | 64.36% |
| Win Month | 65.56% | 90.0% |
| Win Quarter | 77.42% | 90.32% |
| Win Year | 87.5% | 100.0% |
| Beta | - | 0.04 |
| Alpha | - | 0.05 |
| Correlation | - | 38.43% |
| Treynor Ratio | - | 1208.35% |
| Year | SPY | HMEZX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 4.68 | 0.29 | - |
| 2020 | 18.33 | 8.46 | 0.46 | - |
| 2021 | 28.73 | 5.37 | 0.19 | - |
| 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 |
|---|---|---|---|
| 2020-02-21 | 2020-06-04 | -4.29 | 105 |
| 2023-01-24 | 2023-08-08 | -1.94 | 197 |
| 2024-09-24 | 2024-12-31 | -1.15 | 99 |
| 2025-04-03 | 2025-04-22 | -1.06 | 20 |
| 2022-06-06 | 2022-06-30 | -0.89 | 25 |
| 2021-06-15 | 2021-07-16 | -0.72 | 32 |
| 2022-09-15 | 2022-10-14 | -0.69 | 30 |
| 2022-03-09 | 2022-06-01 | -0.62 | 85 |
| 2026-01-23 | 2026-03-19 | -0.55 | 56 |
| 2019-09-19 | 2019-10-17 | -0.52 | 29 |