| Metric | VNQ | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 12.52% | 16.71% |
| CAGR﹪ | 12.63% | 16.85% |
| Sharpe | 0.93 | 1.09 |
| Prob. Sharpe Ratio | 82.07% | 86.17% |
| Smart Sharpe | 0.86 | 1.02 |
| Sortino | 1.36 | 1.66 |
| Smart Sortino | 1.26 | 1.54 |
| Sortino/√2 | 0.96 | 1.17 |
| Smart Sortino/√2 | 0.89 | 1.09 |
| Omega | 1.17 | 1.19 |
| Max Drawdown | -8.34% | -10.33% |
| Max DD Date | 2026-03-27 | 2026-03-27 |
| Max DD Period Start | 2026-03-03 | 2026-02-18 |
| Max DD Period End | 2026-04-15 | 2026-04-16 |
| Longest DD Days | 80 | 96 |
| Volatility (ann.) | 13.85% | 15.35% |
| R^2 | 0.77 | 0.77 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 1.51 | 1.63 |
| Skew | -0.18 | 0.07 |
| Kurtosis | 0.7 | 0.44 |
| Ulcer Performance Index | 4.77 | 5.58 |
| Risk-Adjusted Return | 12.63% | 16.85% |
| Risk-Return Ratio | 0.06 | 0.07 |
| Avg. Return | 0.05% | 0.07% |
| Avg. Win | 0.78% | 0.89% |
| Avg. Loss | -0.75% | -0.82% |
| Win/Loss Ratio | 1.03 | 1.08 |
| Profit Ratio | 0.79 | 1.12 |
| Expected Daily | 0.05% | 0.06% |
| Expected Monthly | 0.91% | 1.2% |
| Expected Yearly | 6.08% | 8.03% |
| Kelly Criterion | 10.4% | 5.06% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.38% | -1.52% |
| Expected Shortfall (cVaR) | -1.95% | -2.02% |
| Max Consecutive Wins | 15 | 6 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.17 | 0.19 |
| Gain/Pain (1M) | 0.89 | 1.23 |
| Payoff Ratio | 1.03 | 1.08 |
| Profit Factor | 1.17 | 1.19 |
| Common Sense Ratio | 1.33 | 1.34 |
| CPC Index | 0.66 | 0.66 |
| Tail Ratio | 1.14 | 1.12 |
| Outlier Win Ratio | 3.12 | 3.22 |
| Outlier Loss Ratio | 3.28 | 3.36 |
| MTD | -2.6% | -0.24% |
| 3M | 0.63% | 3.23% |
| 6M | 4.68% | 6.37% |
| YTD | 11.05% | 12.07% |
| 1Y | 12.52% | 16.71% |
| 3Y (ann.) | 12.63% | 16.85% |
| 5Y (ann.) | 12.63% | 16.85% |
| 10Y (ann.) | 12.63% | 16.85% |
| All-time (ann.) | 12.63% | 16.85% |
| Best Day | 2.3% | 2.87% |
| Worst Day | -3.1% | -2.65% |
| Best Month | 8.6% | 8.87% |
| Worst Month | -6.31% | -7.9% |
| Best Year | 11.05% | 12.07% |
| Worst Year | 1.33% | 4.14% |
| Avg. Drawdown | -2.43% | -2.28% |
| Avg. Drawdown Days | 15 | 14 |
| Recovery Factor | 1.53 | 1.61 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 0.63 | 0.68 |
| Avg. Up Month | 4.06% | 4.23% |
| Avg. Down Month | -3.79% | -3.15% |
| Win Days | 54.44% | 50.6% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 60.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.97 |
| Alpha | - | 0.04 |
| Correlation | - | 87.51% |
| Treynor Ratio | - | 17.23% |
| Year | VNQ | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.33 | 4.14 | 3.12 | + |
| 2026 | 11.05 | 12.07 | 1.09 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-18 | 2026-04-16 | -10.33 | 58 |
| 2025-09-12 | 2025-12-16 | -5.27 | 96 |
| 2026-07-30 | 2026-08-11 | -3.97 | 13 |
| 2026-01-20 | 2026-02-09 | -3.71 | 21 |
| 2026-05-08 | 2026-05-19 | -3.23 | 12 |
| 2026-06-15 | 2026-06-24 | -3.03 | 10 |
| 2026-04-21 | 2026-05-05 | -2.86 | 15 |
| 2026-07-08 | 2026-07-28 | -2.72 | 21 |
| 2025-08-25 | 2025-09-04 | -2.13 | 11 |
| 2025-09-08 | 2025-09-10 | -1.86 | 3 |