| Metric | SPY | OHFGX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 67.79% | 31.18% |
| CAGR﹪ | 19.8% | 9.94% |
| Sharpe | 0.95 | 0.39 |
| Prob. Sharpe Ratio | 95.0% | 74.59% |
| Smart Sharpe | 0.88 | 0.37 |
| Sortino | 1.41 | 0.57 |
| Smart Sortino | 1.3 | 0.55 |
| Sortino/√2 | 0.99 | 0.4 |
| Smart Sortino/√2 | 0.92 | 0.39 |
| Omega | 1.26 | 1.13 |
| Max Drawdown | -18.76% | -16.2% |
| Max DD Date | 2025-04-08 | 2025-04-08 |
| Max DD Period Start | 2025-02-20 | 2025-01-29 |
| Max DD Period End | 2025-06-25 | 2025-05-15 |
| Longest DD Days | 126 | 155 |
| Volatility (ann.) | 15.39% | 15.89% |
| R^2 | 0.56 | 0.56 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.06 | 0.61 |
| Skew | 0.94 | 0.69 |
| Kurtosis | 21.52 | 8.62 |
| Ulcer Performance Index | 20.73 | 5.79 |
| Risk-Adjusted Return | 19.8% | 10.8% |
| Risk-Return Ratio | 0.08 | 0.04 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.75% | 0.78% |
| Avg. Loss | -0.74% | -0.85% |
| Win/Loss Ratio | 1.01 | 0.92 |
| Profit Ratio | 0.77 | 0.57 |
| Expected Daily | 0.07% | 0.04% |
| Expected Monthly | 1.45% | 0.76% |
| Expected Yearly | 13.81% | 7.02% |
| Kelly Criterion | 13.01% | 5.05% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.52% | -1.6% |
| Expected Shortfall (cVaR) | -2.2% | -2.25% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.26 | 0.13 |
| Gain/Pain (1M) | 2.53 | 0.78 |
| Payoff Ratio | 1.01 | 0.92 |
| Profit Factor | 1.26 | 1.13 |
| Common Sense Ratio | 1.21 | 0.96 |
| CPC Index | 0.72 | 0.57 |
| Tail Ratio | 0.95 | 0.85 |
| Outlier Win Ratio | 3.23 | 4.6 |
| Outlier Loss Ratio | 3.84 | 3.43 |
| MTD | 1.47% | -0.8% |
| 3M | 1.46% | -4.38% |
| 6M | 6.94% | -10.63% |
| YTD | 13.33% | 2.05% |
| 1Y | 13.43% | -2.49% |
| 3Y (ann.) | 19.8% | 9.94% |
| 5Y (ann.) | 19.8% | 9.94% |
| 10Y (ann.) | 19.8% | 9.94% |
| All-time (ann.) | 19.8% | 9.94% |
| Best Day | 10.5% | 8.58% |
| Worst Day | -5.85% | -3.74% |
| Best Month | 10.51% | 11.45% |
| Worst Month | -5.57% | -9.3% |
| Best Year | 24.89% | 14.44% |
| Worst Year | 0.71% | 0.2% |
| Avg. Drawdown | -1.66% | -2.51% |
| Avg. Drawdown Days | 12 | 21 |
| Recovery Factor | 2.94 | 1.9 |
| Ulcer Index | 0.03 | 0.05 |
| Serenity Index | 1.66 | 0.46 |
| Avg. Up Month | 3.76% | 3.06% |
| Avg. Down Month | -2.86% | -3.11% |
| Win Days | 56.23% | 54.48% |
| Win Month | 69.44% | 63.89% |
| Win Quarter | 84.62% | 69.23% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.77 |
| Alpha | - | -0.04 |
| Correlation | - | 74.79% |
| Treynor Ratio | - | 40.39% |
| Year | SPY | OHFGX | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 0.71 | 0.20 | 0.28 | - |
| 2024 | 24.89 | 12.10 | 0.49 | - |
| 2025 | 17.72 | 14.44 | 0.81 | - |
| 2026 | 13.33 | 2.05 | 0.15 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-01-29 | 2025-05-15 | -16.20 | 107 |
| 2026-06-03 | 2026-11-04 | -16.13 | 155 |
| 2025-10-30 | 2026-02-24 | -7.87 | 118 |
| 2024-07-11 | 2024-10-10 | -7.86 | 92 |
| 2026-02-26 | 2026-04-07 | -7.24 | 41 |
| 2026-05-15 | 2026-06-01 | -5.68 | 18 |
| 2024-04-02 | 2024-05-14 | -4.17 | 43 |
| 2024-12-09 | 2025-01-21 | -3.94 | 44 |
| 2026-05-07 | 2026-05-08 | -3.07 | 2 |
| 2026-04-21 | 2026-04-29 | -2.68 | 9 |