| Metric | SPY | OHFGX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 14.39% | -1.98% |
| CAGR﹪ | 14.51% | -2.0% |
| Sharpe | 0.83 | -0.2 |
| Prob. Sharpe Ratio | 79.61% | 42.29% |
| Smart Sharpe | 0.82 | -0.19 |
| Sortino | 1.22 | -0.27 |
| Smart Sortino | 1.2 | -0.26 |
| Sortino/√2 | 0.86 | -0.19 |
| Smart Sortino/√2 | 0.85 | -0.19 |
| Omega | 1.2 | 1.0 |
| 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 | 2026-11-04 |
| Longest DD Days | 76 | 155 |
| Volatility (ann.) | 12.86% | 19.43% |
| R^2 | 0.39 | 0.39 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 1.63 | -0.12 |
| Skew | -0.02 | 0.01 |
| Kurtosis | 0.78 | 0.69 |
| Ulcer Performance Index | 6.68 | -0.26 |
| Risk-Adjusted Return | 14.51% | -2.12% |
| Risk-Return Ratio | 0.07 | -0.0 |
| Avg. Return | 0.05% | -0.0% |
| Avg. Win | 0.75% | 1.08% |
| Avg. Loss | -0.63% | -1.12% |
| Win/Loss Ratio | 1.2 | 0.97 |
| Profit Ratio | 1.02 | 0.77 |
| Expected Daily | 0.05% | -0.01% |
| Expected Monthly | 1.04% | -0.15% |
| Expected Yearly | 6.95% | -0.99% |
| Kelly Criterion | 11.99% | -1.01% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -2.01% |
| Expected Shortfall (cVaR) | -1.66% | -2.5% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | -0.0 |
| Gain/Pain (1M) | 1.83 | -0.01 |
| Payoff Ratio | 1.2 | 0.97 |
| Profit Factor | 1.2 | 1.0 |
| Common Sense Ratio | 1.19 | 0.87 |
| CPC Index | 0.75 | 0.49 |
| Tail Ratio | 0.99 | 0.88 |
| Outlier Win Ratio | 2.84 | 3.58 |
| Outlier Loss Ratio | 3.01 | 2.77 |
| MTD | 1.47% | -0.8% |
| 3M | 1.46% | -4.38% |
| 6M | 6.94% | -10.63% |
| YTD | 13.33% | 2.05% |
| 1Y | 14.39% | -1.98% |
| 3Y (ann.) | 14.51% | -2.0% |
| 5Y (ann.) | 14.51% | -2.0% |
| 10Y (ann.) | 14.51% | -2.0% |
| All-time (ann.) | 14.51% | -2.0% |
| Best Day | 2.91% | 4.28% |
| Worst Day | -2.58% | -3.18% |
| Best Month | 10.51% | 11.45% |
| Worst Month | -4.94% | -9.3% |
| Best Year | 13.33% | 2.05% |
| Worst Year | 0.94% | -3.95% |
| Avg. Drawdown | -1.74% | -4.34% |
| Avg. Drawdown Days | 14 | 30 |
| Recovery Factor | 1.61 | 0.01 |
| Ulcer Index | 0.02 | 0.08 |
| Serenity Index | 0.94 | -0.0 |
| Avg. Up Month | 5.75% | 4.79% |
| Avg. Down Month | -2.92% | -2.53% |
| Win Days | 52.0% | 50.21% |
| Win Month | 61.54% | 46.15% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.94 |
| Alpha | - | -0.14 |
| Correlation | - | 62.47% |
| Treynor Ratio | - | -2.1% |
| Year | SPY | OHFGX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | -3.95 | -4.21 | - |
| 2026 | 13.33 | 2.05 | 0.15 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-03 | 2026-11-04 | -16.13 | 155 |
| 2026-02-26 | 2026-04-07 | -7.24 | 41 |
| 2025-11-11 | 2026-01-27 | -6.56 | 78 |
| 2026-05-15 | 2026-06-01 | -5.68 | 18 |
| 2026-01-29 | 2026-02-23 | -4.77 | 26 |
| 2026-05-07 | 2026-05-08 | -3.07 | 2 |
| 2026-04-21 | 2026-04-29 | -2.68 | 9 |
| 2026-05-12 | 2026-05-12 | -0.83 | 1 |
| 2025-11-06 | 2025-11-07 | -0.67 | 2 |
| 2026-04-09 | 2026-04-09 | -0.08 | 1 |