| Metric | VNQ | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 20.07% | 31.32% |
| CAGR﹪ | 14.61% | 22.52% |
| Sharpe | 0.96 | 1.23 |
| Prob. Sharpe Ratio | 86.96% | 92.8% |
| Smart Sharpe | 0.82 | 1.04 |
| Sortino | 1.44 | 1.94 |
| Smart Sortino | 1.22 | 1.65 |
| Sortino/√2 | 1.02 | 1.37 |
| Smart Sortino/√2 | 0.86 | 1.16 |
| Omega | 1.18 | 1.24 |
| 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.) | 15.37% | 17.85% |
| R^2 | 0.8 | 0.8 |
| Information Ratio | 0.06 | 0.06 |
| Calmar | 1.75 | 2.18 |
| Skew | 0.33 | 0.85 |
| Kurtosis | 4.21 | 6.82 |
| Ulcer Performance Index | 8.26 | 11.12 |
| Risk-Adjusted Return | 14.61% | 22.52% |
| Risk-Return Ratio | 0.06 | 0.08 |
| Avg. Return | 0.06% | 0.09% |
| Avg. Win | 0.8% | 0.96% |
| Avg. Loss | -0.82% | -0.92% |
| Win/Loss Ratio | 0.98 | 1.05 |
| Profit Ratio | 0.72 | 1.02 |
| Expected Daily | 0.05% | 0.08% |
| Expected Monthly | 1.08% | 1.62% |
| Expected Yearly | 9.57% | 14.59% |
| Kelly Criterion | 10.65% | 6.54% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.53% | -1.76% |
| Expected Shortfall (cVaR) | -2.17% | -2.37% |
| Max Consecutive Wins | 15 | 6 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.18 | 0.24 |
| Gain/Pain (1M) | 1.39 | 2.17 |
| Payoff Ratio | 0.98 | 1.05 |
| Profit Factor | 1.18 | 1.24 |
| Common Sense Ratio | 1.25 | 1.31 |
| CPC Index | 0.65 | 0.68 |
| Tail Ratio | 1.05 | 1.06 |
| Outlier Win Ratio | 3.13 | 3.06 |
| Outlier Loss Ratio | 3.54 | 3.59 |
| MTD | -2.6% | -0.24% |
| 3M | 0.63% | 3.23% |
| 6M | 4.68% | 6.37% |
| YTD | 11.05% | 12.07% |
| 1Y | 12.41% | 16.89% |
| 3Y (ann.) | 14.61% | 22.52% |
| 5Y (ann.) | 14.61% | 22.52% |
| 10Y (ann.) | 14.61% | 22.52% |
| All-time (ann.) | 14.61% | 22.52% |
| Best Day | 5.97% | 7.91% |
| Worst Day | -3.1% | -3.4% |
| Best Month | 8.6% | 8.87% |
| Worst Month | -6.31% | -7.9% |
| Best Year | 11.05% | 17.18% |
| Worst Year | 8.12% | 12.07% |
| Avg. Drawdown | -2.53% | -2.51% |
| Avg. Drawdown Days | 14 | 14 |
| Recovery Factor | 2.38 | 2.84 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 1.33 | 1.54 |
| Avg. Up Month | 3.1% | 3.74% |
| Avg. Down Month | -3.79% | -3.15% |
| Win Days | 55.82% | 52.23% |
| Win Month | 70.59% | 70.59% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.04 |
| Alpha | - | 0.07 |
| Correlation | - | 89.33% |
| Treynor Ratio | - | 30.18% |
| Year | VNQ | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 8.12 | 17.18 | 2.12 | + |
| 2026 | 11.05 | 12.07 | 1.09 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-18 | 2026-04-16 | -10.33 | 58 |
| 2025-04-07 | 2025-04-08 | -5.67 | 2 |
| 2025-09-12 | 2025-12-16 | -5.27 | 96 |
| 2025-05-19 | 2025-06-30 | -4.86 | 43 |
| 2025-07-23 | 2025-08-21 | -4.43 | 30 |
| 2026-07-30 | 2026-08-11 | -3.97 | 13 |
| 2026-01-20 | 2026-02-09 | -3.71 | 21 |
| 2025-04-10 | 2025-04-21 | -3.40 | 12 |
| 2026-05-08 | 2026-05-19 | -3.23 | 12 |
| 2026-06-15 | 2026-06-24 | -3.03 | 10 |