| Metric | SPY | OHFGX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 17.87% | 3.31% |
| CAGR﹪ | 18.02% | 3.34% |
| Sharpe | 1.04 | 0.06 |
| Prob. Sharpe Ratio | 84.73% | 52.51% |
| Smart Sharpe | 1.01 | 0.06 |
| Sortino | 1.51 | 0.09 |
| Smart Sortino | 1.47 | 0.09 |
| Sortino/√2 | 1.07 | 0.06 |
| Smart Sortino/√2 | 1.04 | 0.06 |
| Omega | 1.25 | 1.04 |
| Max Drawdown | -8.88% | -16.13% |
| Max DD Date | 2026-03-30 | 2026-07-29 |
| Max DD Period Start | 2026-01-28 | 2026-06-03 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 118 |
| Volatility (ann.) | 12.99% | 19.67% |
| R^2 | 0.42 | 0.42 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 2.03 | 0.21 |
| Skew | -0.15 | -0.02 |
| Kurtosis | 1.05 | 0.55 |
| Ulcer Performance Index | 8.3 | 0.52 |
| Risk-Adjusted Return | 18.02% | 3.52% |
| Risk-Return Ratio | 0.08 | 0.02 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.75% | 1.1% |
| Avg. Loss | -0.63% | -1.13% |
| Win/Loss Ratio | 1.18 | 0.97 |
| Profit Ratio | 0.94 | 0.78 |
| Expected Daily | 0.07% | 0.01% |
| Expected Monthly | 1.27% | 0.25% |
| Expected Yearly | 8.57% | 1.64% |
| Kelly Criterion | 14.29% | 0.56% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -2.02% |
| Expected Shortfall (cVaR) | -1.72% | -2.48% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.04 |
| Gain/Pain (1M) | 2.6 | 0.26 |
| Payoff Ratio | 1.18 | 0.97 |
| Profit Factor | 1.25 | 1.04 |
| Common Sense Ratio | 1.24 | 0.92 |
| CPC Index | 0.79 | 0.52 |
| Tail Ratio | 0.99 | 0.88 |
| Outlier Win Ratio | 2.88 | 3.44 |
| Outlier Loss Ratio | 3.19 | 2.73 |
| MTD | 1.08% | 1.6% |
| 3M | 3.82% | -10.81% |
| 6M | 19.85% | 3.42% |
| YTD | 14.3% | 4.27% |
| 1Y | 17.87% | 3.31% |
| 3Y (ann.) | 18.02% | 3.34% |
| 5Y (ann.) | 18.02% | 3.34% |
| 10Y (ann.) | 18.02% | 3.34% |
| All-time (ann.) | 18.02% | 3.34% |
| Best Day | 2.91% | 4.28% |
| Worst Day | -2.7% | -3.18% |
| Best Month | 10.51% | 11.45% |
| Worst Month | -4.94% | -9.3% |
| Best Year | 14.3% | 4.27% |
| Worst Year | 3.13% | -0.91% |
| Avg. Drawdown | -1.71% | -3.69% |
| Avg. Drawdown Days | 13 | 25 |
| Recovery Factor | 1.94 | 0.32 |
| Ulcer Index | 0.02 | 0.06 |
| Serenity Index | 1.16 | 0.07 |
| Avg. Up Month | 4.14% | 4.12% |
| Avg. Down Month | -4.94% | -3.58% |
| Win Days | 53.6% | 51.05% |
| Win Month | 76.92% | 53.85% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.98 |
| Alpha | - | -0.12 |
| Correlation | - | 64.66% |
| Treynor Ratio | - | 3.38% |
| Year | SPY | OHFGX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | -0.91 | -0.29 | - |
| 2026 | 14.30 | 4.27 | 0.30 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-03 | 2026-09-22 | -16.13 | 112 |
| 2025-10-30 | 2026-02-24 | -7.87 | 118 |
| 2026-02-26 | 2026-04-07 | -7.24 | 41 |
| 2026-05-15 | 2026-06-01 | -5.68 | 18 |
| 2026-05-07 | 2026-05-08 | -3.07 | 2 |
| 2026-04-21 | 2026-04-29 | -2.68 | 9 |
| 2025-10-10 | 2025-10-23 | -2.36 | 14 |
| 2025-10-07 | 2025-10-07 | -0.99 | 1 |
| 2026-05-12 | 2026-05-12 | -0.83 | 1 |
| 2025-09-24 | 2025-10-01 | -0.77 | 8 |