| Metric | VNQ | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 5.38% | 6.54% |
| CAGR﹪ | 11.34% | 13.86% |
| Sharpe | 0.79 | 0.89 |
| Prob. Sharpe Ratio | 70.76% | 73.27% |
| Smart Sharpe | 0.78 | 0.88 |
| Sortino | 1.14 | 1.33 |
| Smart Sortino | 1.13 | 1.31 |
| Sortino/√2 | 0.81 | 0.94 |
| Smart Sortino/√2 | 0.8 | 0.92 |
| Omega | 1.14 | 1.16 |
| 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 | 44 | 58 |
| Volatility (ann.) | 15.05% | 15.95% |
| R^2 | 0.74 | 0.74 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 1.36 | 1.34 |
| Skew | -0.18 | -0.02 |
| Kurtosis | 0.64 | 0.41 |
| Ulcer Performance Index | 1.97 | 1.86 |
| Risk-Adjusted Return | 11.45% | 13.86% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.05% | 0.06% |
| Avg. Win | 0.87% | 0.97% |
| Avg. Loss | -0.88% | -0.92% |
| Win/Loss Ratio | 0.98 | 1.05 |
| Profit Ratio | 0.7 | 1.12 |
| Expected Daily | 0.04% | 0.05% |
| Expected Monthly | 0.75% | 0.91% |
| Expected Yearly | 5.38% | 6.54% |
| Kelly Criterion | 9.93% | 2.31% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.51% | -1.6% |
| Expected Shortfall (cVaR) | -2.07% | -2.09% |
| Max Consecutive Wins | 15 | 6 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.14 | 0.16 |
| Gain/Pain (1M) | 0.6 | 0.72 |
| Payoff Ratio | 0.98 | 1.05 |
| Profit Factor | 1.14 | 1.16 |
| Common Sense Ratio | 1.21 | 1.18 |
| CPC Index | 0.62 | 0.61 |
| Tail Ratio | 1.06 | 1.02 |
| Outlier Win Ratio | 3.27 | 2.98 |
| Outlier Loss Ratio | 3.06 | 3.27 |
| MTD | -2.6% | -0.24% |
| 3M | 0.63% | 3.23% |
| 6M | 5.38% | 6.54% |
| YTD | 5.38% | 6.54% |
| 1Y | 5.38% | 6.54% |
| 3Y (ann.) | 11.34% | 13.86% |
| 5Y (ann.) | 11.34% | 13.86% |
| 10Y (ann.) | 11.34% | 13.86% |
| All-time (ann.) | 11.34% | 13.86% |
| 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 | 5.38% | 6.54% |
| Worst Year | 5.38% | 6.54% |
| Avg. Drawdown | -2.76% | -2.78% |
| Avg. Drawdown Days | 13 | 13 |
| Recovery Factor | 0.69 | 0.67 |
| Ulcer Index | 0.03 | 0.04 |
| Serenity Index | 0.28 | 0.24 |
| Avg. Up Month | 4.29% | 4.56% |
| Avg. Down Month | -4.46% | -4.07% |
| Win Days | 55.37% | 50.0% |
| Win Month | 57.14% | 57.14% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.91 |
| Alpha | - | 0.03 |
| Correlation | - | 86.27% |
| Treynor Ratio | - | 7.15% |
| Year | VNQ | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 5.38 | 6.54 | 1.22 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-18 | 2026-04-16 | -10.33 | 58 |
| 2026-07-30 | 2026-08-11 | -3.97 | 13 |
| 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 |
| 2026-05-29 | 2026-06-04 | -1.72 | 7 |
| 2026-06-29 | 2026-07-01 | -1.10 | 3 |
| 2026-07-06 | 2026-07-06 | -0.93 | 1 |
| 2026-06-08 | 2026-06-08 | -0.63 | 1 |