| Metric | SPY | VMNIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 17.87% | 18.4% |
| CAGR﹪ | 18.02% | 18.56% |
| Sharpe | 1.04 | 1.78 |
| Prob. Sharpe Ratio | 84.73% | 96.37% |
| Smart Sharpe | 1.01 | 1.74 |
| Sortino | 1.51 | 2.83 |
| Smart Sortino | 1.47 | 2.78 |
| Sortino/√2 | 1.07 | 2.0 |
| Smart Sortino/√2 | 1.04 | 1.96 |
| Omega | 1.25 | 1.46 |
| Max Drawdown | -8.88% | -4.63% |
| Max DD Date | 2026-03-30 | 2026-01-16 |
| Max DD Period Start | 2026-01-28 | 2025-11-14 |
| Max DD Period End | 2026-04-13 | 2026-02-04 |
| Longest DD Days | 76 | 83 |
| Volatility (ann.) | 12.99% | 7.5% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 2.03 | 4.01 |
| Skew | -0.15 | 0.3 |
| Kurtosis | 1.05 | 1.46 |
| Ulcer Performance Index | 8.3 | 11.79 |
| Risk-Adjusted Return | 18.02% | 19.74% |
| Risk-Return Ratio | 0.08 | 0.15 |
| Avg. Return | 0.07% | 0.07% |
| Avg. Win | 0.62% | 0.43% |
| Avg. Loss | -0.55% | -0.36% |
| Win/Loss Ratio | 1.14 | 1.2 |
| Profit Ratio | 0.94 | 0.67 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.27% | 1.31% |
| Expected Yearly | 8.57% | 8.81% |
| Kelly Criterion | 12.98% | 21.08% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.71% |
| Expected Shortfall (cVaR) | -1.72% | -0.96% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.25 | 0.46 |
| Gain/Pain (1M) | 2.6 | 6.63 |
| Payoff Ratio | 1.14 | 1.2 |
| Profit Factor | 1.25 | 1.46 |
| Common Sense Ratio | 1.24 | 1.71 |
| CPC Index | 0.76 | 1.0 |
| Tail Ratio | 0.99 | 1.17 |
| Outlier Win Ratio | 2.88 | 3.22 |
| Outlier Loss Ratio | 3.19 | 2.88 |
| MTD | 1.08% | 1.64% |
| 3M | 3.82% | 2.67% |
| 6M | 19.85% | 10.64% |
| YTD | 14.3% | 16.04% |
| 1Y | 17.87% | 18.4% |
| 3Y (ann.) | 18.02% | 18.56% |
| 5Y (ann.) | 18.02% | 18.56% |
| 10Y (ann.) | 18.02% | 18.56% |
| All-time (ann.) | 18.02% | 18.56% |
| Best Day | 2.91% | 2.17% |
| Worst Day | -2.7% | -1.23% |
| Best Month | 10.51% | 3.81% |
| Worst Month | -4.94% | -1.73% |
| Best Year | 14.3% | 16.04% |
| Worst Year | 3.13% | 2.03% |
| Avg. Drawdown | -1.71% | -0.99% |
| Avg. Drawdown Days | 13 | 11 |
| Recovery Factor | 1.94 | 3.71 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | 1.48 |
| Avg. Up Month | 2.51% | 1.49% |
| Avg. Down Month | - | - |
| Win Days | 53.6% | 57.02% |
| Win Month | 76.92% | 76.92% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.05 |
| Alpha | - | 0.18 |
| Correlation | - | -8.9% |
| Treynor Ratio | - | -358.2% |
| Year | SPY | VMNIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 2.03 | 0.65 | - |
| 2026 | 14.30 | 16.04 | 1.12 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-11-14 | 2026-02-04 | -4.63 | 83 |
| 2025-09-29 | 2025-10-31 | -4.38 | 33 |
| 2026-07-31 | 2026-09-16 | -3.33 | 48 |
| 2026-05-06 | 2026-05-29 | -1.42 | 24 |
| 2026-06-30 | 2026-07-07 | -1.38 | 8 |
| 2026-07-14 | 2026-07-23 | -0.93 | 10 |
| 2026-02-27 | 2026-03-10 | -0.90 | 12 |
| 2026-04-14 | 2026-04-21 | -0.87 | 8 |
| 2026-06-23 | 2026-06-26 | -0.69 | 4 |
| 2026-09-21 | 2026-09-22 | -0.68 | 2 |