| Metric | SPY | VMNIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 14.39% | 21.15% |
| CAGR﹪ | 14.51% | 21.33% |
| Sharpe | 0.83 | 2.09 |
| Prob. Sharpe Ratio | 79.61% | 98.24% |
| Smart Sharpe | 0.82 | 2.09 |
| Sortino | 1.22 | 3.35 |
| Smart Sortino | 1.2 | 3.34 |
| Sortino/√2 | 0.86 | 2.37 |
| Smart Sortino/√2 | 0.85 | 2.36 |
| Omega | 1.2 | 1.53 |
| 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.) | 12.86% | 7.64% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 1.63 | 4.6 |
| Skew | -0.02 | 0.23 |
| Kurtosis | 0.78 | 1.62 |
| Ulcer Performance Index | 6.68 | 15.06 |
| Risk-Adjusted Return | 14.51% | 22.69% |
| Risk-Return Ratio | 0.07 | 0.16 |
| Avg. Return | 0.06% | 0.08% |
| Avg. Win | 0.64% | 0.43% |
| Avg. Loss | -0.56% | -0.36% |
| Win/Loss Ratio | 1.14 | 1.19 |
| Profit Ratio | 1.02 | 0.64 |
| Expected Daily | 0.05% | 0.08% |
| Expected Monthly | 1.04% | 1.49% |
| Expected Yearly | 6.95% | 10.07% |
| Kelly Criterion | 10.05% | 23.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.71% |
| Expected Shortfall (cVaR) | -1.66% | -1.02% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.2 | 0.53 |
| Gain/Pain (1M) | 1.83 | 5.19 |
| Payoff Ratio | 1.14 | 1.19 |
| Profit Factor | 1.2 | 1.53 |
| Common Sense Ratio | 1.19 | 2.12 |
| CPC Index | 0.71 | 1.07 |
| Tail Ratio | 0.99 | 1.38 |
| Outlier Win Ratio | 2.84 | 3.52 |
| Outlier Loss Ratio | 3.01 | 3.09 |
| MTD | 1.47% | -1.42% |
| 3M | 1.46% | 2.97% |
| 6M | 6.94% | 7.85% |
| YTD | 13.33% | 19.49% |
| 1Y | 14.39% | 21.15% |
| 3Y (ann.) | 14.51% | 21.33% |
| 5Y (ann.) | 14.51% | 21.33% |
| 10Y (ann.) | 14.51% | 21.33% |
| All-time (ann.) | 14.51% | 21.33% |
| Best Day | 2.91% | 2.17% |
| Worst Day | -2.58% | -1.39% |
| Best Month | 10.51% | 4.09% |
| Worst Month | -4.94% | -1.73% |
| Best Year | 13.33% | 19.49% |
| Worst Year | 0.94% | 1.39% |
| Avg. Drawdown | -1.74% | -0.95% |
| Avg. Drawdown Days | 14 | 10 |
| Recovery Factor | 1.61 | 4.2 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 2.01 |
| Avg. Up Month | 3.97% | 1.97% |
| Avg. Down Month | - | - |
| Win Days | 52.0% | 58.3% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.04 |
| Alpha | - | 0.2 |
| Correlation | - | -6.98% |
| Treynor Ratio | - | -510.14% |
| Year | SPY | VMNIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.39 | 1.48 | + |
| 2026 | 13.33 | 19.49 | 1.46 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-11-14 | 2026-02-04 | -4.63 | 83 |
| 2026-10-22 | 2026-11-04 | -3.82 | 14 |
| 2026-07-31 | 2026-09-17 | -3.33 | 49 |
| 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 | 2026-09-23 | -0.68 | 3 |