| Metric | SPY | VCX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 18.13% | -59.52% |
| CAGR﹪ | 38.82% | -83.14% |
| Sharpe | 2.21 | 0.28 |
| Prob. Sharpe Ratio | 94.24% | 57.95% |
| Smart Sharpe | 2.18 | 0.17 |
| Sortino | 3.55 | 0.49 |
| Smart Sortino | 3.5 | 0.31 |
| Sortino/√2 | 2.51 | 0.35 |
| Smart Sortino/√2 | 2.48 | 0.22 |
| Omega | 1.51 | 1.06 |
| 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.) | 13.68% | 233.61% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 8.64 | -0.9 |
| Skew | 0.08 | 1.63 |
| Kurtosis | 1.0 | 6.24 |
| Ulcer Performance Index | 11.53 | -0.79 |
| Risk-Adjusted Return | 38.82% | -83.14% |
| Risk-Return Ratio | 0.16 | 0.02 |
| Avg. Return | 0.13% | 0.27% |
| Avg. Win | 0.89% | 11.21% |
| Avg. Loss | -0.61% | -8.26% |
| Win/Loss Ratio | 1.45 | 1.36 |
| Profit Ratio | 1.1 | 2.12 |
| Expected Daily | 0.13% | -0.7% |
| Expected Monthly | 2.41% | -12.12% |
| Expected Yearly | 18.13% | -59.52% |
| Kelly Criterion | 22.13% | -2.57% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -23.93% |
| Expected Shortfall (cVaR) | -1.72% | -32.98% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.51 | 0.06 |
| Gain/Pain (1M) | 8.62 | 0.17 |
| Payoff Ratio | 1.45 | 1.36 |
| Profit Factor | 1.51 | 1.06 |
| Common Sense Ratio | 1.78 | 1.35 |
| CPC Index | 1.18 | 0.59 |
| Tail Ratio | 1.18 | 1.28 |
| Outlier Win Ratio | 3.17 | 5.32 |
| Outlier Loss Ratio | 3.07 | 4.36 |
| MTD | 1.08% | -11.84% |
| 3M | 3.82% | -69.33% |
| 6M | 19.85% | -73.81% |
| YTD | 18.13% | -59.52% |
| 1Y | 18.13% | -59.52% |
| 3Y (ann.) | 38.82% | -83.14% |
| 5Y (ann.) | 38.82% | -83.14% |
| 10Y (ann.) | 38.82% | -83.14% |
| All-time (ann.) | 38.82% | -83.14% |
| 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 | 18.13% | -59.52% |
| Worst Year | 18.13% | -59.52% |
| Avg. Drawdown | -1.2% | -92.08% |
| Avg. Drawdown Days | 10 | 181 |
| Recovery Factor | 3.81 | 0.38 |
| Ulcer Index | 0.02 | 0.76 |
| Serenity Index | 2.68 | 0.06 |
| Avg. Up Month | 3.97% | 64.28% |
| Avg. Down Month | -1.03% | -59.04% |
| Win Days | 53.91% | 40.94% |
| Win Month | 71.43% | 42.86% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 3.55 |
| Alpha | - | -0.51 |
| Correlation | - | 20.82% |
| Treynor Ratio | - | -16.75% |
| Year | SPY | VCX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.13 | -59.52 | -3.28 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-26 | 2026-09-22 | -92.08 | 181 |