| Metric | SPY | VCX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.13% | -71.73% |
| CAGR﹪ | 28.47% | -86.5% |
| Sharpe | 1.7 | -0.01 |
| Prob. Sharpe Ratio | 91.15% | 49.64% |
| Smart Sharpe | 1.68 | -0.01 |
| Sortino | 2.64 | -0.02 |
| Smart Sortino | 2.61 | -0.01 |
| Sortino/√2 | 1.87 | -0.01 |
| Smart Sortino/√2 | 1.84 | -0.01 |
| Omega | 1.38 | 1.0 |
| Max Drawdown | -4.49% | -94.33% |
| Max DD Date | 2026-06-10 | 2026-11-04 |
| Max DD Period Start | 2026-06-03 | 2026-03-26 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 224 |
| Volatility (ann.) | 13.26% | 210.7% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 6.33 | -0.92 |
| Skew | 0.06 | 1.84 |
| Kurtosis | 0.99 | 8.3 |
| Ulcer Performance Index | 10.92 | -0.9 |
| Risk-Adjusted Return | 28.47% | -86.5% |
| Risk-Return Ratio | 0.12 | 0.0 |
| Avg. Return | 0.1% | 0.0% |
| Avg. Win | 0.81% | 9.45% |
| Avg. Loss | -0.6% | -7.07% |
| Win/Loss Ratio | 1.34 | 1.34 |
| Profit Ratio | 1.1 | 2.32 |
| Expected Daily | 0.1% | -0.79% |
| Expected Monthly | 1.77% | -13.1% |
| Expected Yearly | 17.13% | -71.73% |
| Kelly Criterion | 17.63% | -6.21% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.27% | -21.83% |
| Expected Shortfall (cVaR) | -1.73% | -32.98% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.38 | 0.0 |
| Gain/Pain (1M) | 5.23 | 0.0 |
| Payoff Ratio | 1.34 | 1.34 |
| Profit Factor | 1.38 | 1.0 |
| Common Sense Ratio | 1.7 | 1.26 |
| CPC Index | 0.98 | 0.53 |
| Tail Ratio | 1.23 | 1.26 |
| Outlier Win Ratio | 2.99 | 5.84 |
| Outlier Loss Ratio | 3.1 | 4.95 |
| MTD | 1.47% | -2.97% |
| 3M | 1.46% | -40.85% |
| 6M | 6.94% | -77.23% |
| YTD | 17.13% | -71.73% |
| 1Y | 17.13% | -71.73% |
| 3Y (ann.) | 28.47% | -86.5% |
| 5Y (ann.) | 28.47% | -86.5% |
| 10Y (ann.) | 28.47% | -86.5% |
| All-time (ann.) | 28.47% | -86.5% |
| Best Day | 2.91% | 64.22% |
| Worst Day | -2.58% | -35.84% |
| Best Month | 10.51% | 122.6% |
| Worst Month | -1.16% | -61.82% |
| Best Year | 17.13% | -71.73% |
| Worst Year | 17.13% | -71.73% |
| Avg. Drawdown | -1.35% | -94.33% |
| Avg. Drawdown Days | 12 | 224 |
| Recovery Factor | 3.64 | 0.01 |
| Ulcer Index | 0.02 | 0.79 |
| Serenity Index | 2.56 | 0.0 |
| Avg. Up Month | 3.97% | 64.28% |
| Avg. Down Month | -0.75% | -33.14% |
| Win Days | 52.83% | 39.24% |
| Win Month | 55.56% | 33.33% |
| Win Quarter | 75.0% | 25.0% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 3.22 |
| Alpha | - | -0.82 |
| Correlation | - | 20.25% |
| Treynor Ratio | - | -22.3% |
| Year | SPY | VCX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 17.13 | -71.73 | -4.19 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-26 | 2026-11-04 | -94.33 | 224 |