| Metric | SPY | VCX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 18.6% | -83.93% |
| CAGR﹪ | 40.67% | -97.42% |
| Sharpe | 2.32 | -0.83 |
| Prob. Sharpe Ratio | 95.04% | 28.54% |
| Smart Sharpe | 2.3 | -0.67 |
| Sortino | 3.78 | -1.27 |
| Smart Sortino | 3.75 | -1.02 |
| Sortino/√2 | 2.67 | -0.9 |
| Smart Sortino/√2 | 2.65 | -0.72 |
| Omega | 1.54 | 0.86 |
| Max Drawdown | -4.49% | -92.08% |
| Max DD Date | 2026-06-10 | 2026-09-15 |
| Max DD Period Start | 2026-06-03 | 2026-03-26 |
| Max DD Period End | 2026-07-31 | 2026-09-22 |
| Longest DD Days | 59 | 181 |
| Volatility (ann.) | 13.55% | 203.38% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 9.05 | -1.06 |
| Skew | 0.1 | 1.16 |
| Kurtosis | 1.12 | 6.21 |
| Ulcer Performance Index | 11.86 | -1.1 |
| Risk-Adjusted Return | 40.67% | -97.42% |
| Risk-Return Ratio | 0.16 | -0.05 |
| Avg. Return | 0.13% | -0.66% |
| Avg. Win | 0.88% | 9.64% |
| Avg. Loss | -0.61% | -8.26% |
| Win/Loss Ratio | 1.44 | 1.17 |
| Profit Ratio | 1.12 | 1.85 |
| Expected Daily | 0.14% | -1.44% |
| Expected Monthly | 2.47% | -22.98% |
| Expected Yearly | 18.6% | -83.93% |
| Kelly Criterion | 22.06% | -11.41% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -21.73% |
| Expected Shortfall (cVaR) | -1.77% | -32.98% |
| Max Consecutive Wins | 7 | 3 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.54 | -0.14 |
| Gain/Pain (1M) | 10.92 | -0.41 |
| Payoff Ratio | 1.44 | 1.17 |
| Profit Factor | 1.54 | 0.86 |
| Common Sense Ratio | 2.01 | 1.03 |
| CPC Index | 1.2 | 0.4 |
| Tail Ratio | 1.3 | 1.21 |
| Outlier Win Ratio | 3.21 | 4.34 |
| Outlier Loss Ratio | 3.16 | 4.37 |
| MTD | 1.08% | -11.84% |
| 3M | 3.82% | -69.33% |
| 6M | 18.6% | -83.93% |
| YTD | 18.6% | -83.93% |
| 1Y | 18.6% | -83.93% |
| 3Y (ann.) | 40.67% | -97.42% |
| 5Y (ann.) | 40.67% | -97.42% |
| 10Y (ann.) | 40.67% | -97.42% |
| All-time (ann.) | 40.67% | -97.42% |
| Best Day | 2.91% | 64.22% |
| Worst Day | -2.58% | -35.84% |
| Best Month | 10.51% | 122.6% |
| Worst Month | -1.03% | -61.82% |
| Best Year | 18.6% | -83.93% |
| Worst Year | 18.6% | -83.93% |
| Avg. Drawdown | -1.13% | -92.08% |
| Avg. Drawdown Days | 9 | 181 |
| Recovery Factor | 3.9 | 0.9 |
| Ulcer Index | 0.02 | 0.76 |
| Serenity Index | 2.75 | -0.13 |
| Avg. Up Month | 3.97% | 64.28% |
| Avg. Down Month | -0.9% | -45.38% |
| Win Days | 53.97% | 40.0% |
| Win Month | 71.43% | 28.57% |
| Win Quarter | 66.67% | 0.0% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 3.99 |
| Alpha | - | -3.05 |
| Correlation | - | 26.6% |
| Treynor Ratio | - | -21.02% |
| Year | SPY | VCX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | -83.93 | -4.51 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-26 | 2026-09-22 | -92.08 | 181 |