| Metric | SPY | OHFGX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 69.22% | 34.03% |
| CAGR﹪ | 21.15% | 11.27% |
| Sharpe | 1.01 | 0.46 |
| Prob. Sharpe Ratio | 95.63% | 77.71% |
| Smart Sharpe | 0.93 | 0.43 |
| Sortino | 1.5 | 0.67 |
| Smart Sortino | 1.38 | 0.64 |
| Sortino/√2 | 1.06 | 0.47 |
| Smart Sortino/√2 | 0.97 | 0.45 |
| Omega | 1.28 | 1.15 |
| 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 | 118 |
| Volatility (ann.) | 15.55% | 16.01% |
| R^2 | 0.57 | 0.57 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.13 | 0.7 |
| Skew | 0.96 | 0.71 |
| Kurtosis | 21.54 | 8.72 |
| Ulcer Performance Index | 20.81 | 7.02 |
| Risk-Adjusted Return | 21.15% | 12.25% |
| Risk-Return Ratio | 0.08 | 0.05 |
| Avg. Return | 0.08% | 0.05% |
| Avg. Win | 0.76% | 0.79% |
| Avg. Loss | -0.74% | -0.86% |
| Win/Loss Ratio | 1.02 | 0.92 |
| Profit Ratio | 0.75 | 0.57 |
| Expected Daily | 0.08% | 0.04% |
| Expected Monthly | 1.56% | 0.87% |
| Expected Yearly | 14.06% | 7.6% |
| Kelly Criterion | 13.89% | 5.64% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.53% | -1.61% |
| Expected Shortfall (cVaR) | -2.26% | -2.29% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.28 | 0.15 |
| Gain/Pain (1M) | 2.71 | 0.88 |
| Payoff Ratio | 1.02 | 0.92 |
| Profit Factor | 1.28 | 1.15 |
| Common Sense Ratio | 1.21 | 1.0 |
| CPC Index | 0.74 | 0.58 |
| Tail Ratio | 0.95 | 0.87 |
| Outlier Win Ratio | 3.25 | 4.62 |
| Outlier Loss Ratio | 3.89 | 3.43 |
| MTD | 1.08% | 1.6% |
| 3M | 3.82% | -10.81% |
| 6M | 19.85% | 3.42% |
| YTD | 14.3% | 4.27% |
| 1Y | 17.78% | 3.07% |
| 3Y (ann.) | 21.15% | 11.27% |
| 5Y (ann.) | 21.15% | 11.27% |
| 10Y (ann.) | 21.15% | 11.27% |
| All-time (ann.) | 21.15% | 11.27% |
| 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 | -1.64% | -2.51% |
| Avg. Drawdown Days | 12 | 20 |
| Recovery Factor | 2.98 | 2.02 |
| Ulcer Index | 0.03 | 0.05 |
| Serenity Index | 1.67 | 0.56 |
| Avg. Up Month | 3.63% | 2.98% |
| Avg. Down Month | -3.18% | -3.38% |
| Win Days | 56.58% | 54.76% |
| Win Month | 73.53% | 67.65% |
| Win Quarter | 83.33% | 75.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.77 |
| Alpha | - | -0.04 |
| Correlation | - | 75.27% |
| Treynor Ratio | - | 43.93% |
| 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 | 14.30 | 4.27 | 0.30 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-01-29 | 2025-05-15 | -16.20 | 107 |
| 2026-06-03 | 2026-09-22 | -16.13 | 112 |
| 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 |