| Metric | SPY | VMNIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 86.58% | 89.13% |
| CAGR﹪ | 13.36% | 13.67% |
| Sharpe | 0.59 | 1.28 |
| Prob. Sharpe Ratio | 90.85% | 99.78% |
| Smart Sharpe | 0.58 | 1.21 |
| Sortino | 0.86 | 1.91 |
| Smart Sortino | 0.83 | 1.8 |
| Sortino/√2 | 0.61 | 1.35 |
| Smart Sortino/√2 | 0.59 | 1.27 |
| Omega | 1.16 | 1.34 |
| Max Drawdown | -24.5% | -6.69% |
| Max DD Date | 2022-10-12 | 2022-08-08 |
| Max DD Period Start | 2022-01-04 | 2022-05-12 |
| Max DD Period End | 2023-12-12 | 2022-10-19 |
| Longest DD Days | 708 | 269 |
| Volatility (ann.) | 17.2% | 7.24% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.55 | 2.04 |
| Skew | 0.32 | -0.1 |
| Kurtosis | 8.95 | 0.74 |
| Ulcer Performance Index | 10.24 | 42.73 |
| Risk-Adjusted Return | 13.36% | 14.7% |
| Risk-Return Ratio | 0.05 | 0.11 |
| Avg. Return | 0.04% | 0.06% |
| Avg. Win | 0.75% | 0.4% |
| Avg. Loss | -0.85% | -0.39% |
| Win/Loss Ratio | 0.89 | 1.02 |
| Profit Ratio | 0.83 | 0.63 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.03% | 1.05% |
| Expected Yearly | 10.95% | 11.21% |
| Kelly Criterion | 2.18% | 13.1% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.7% |
| Expected Shortfall (cVaR) | -2.58% | -0.96% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.16 | 0.34 |
| Gain/Pain (1M) | 0.87 | 3.11 |
| Payoff Ratio | 0.89 | 1.02 |
| Profit Factor | 1.16 | 1.34 |
| Common Sense Ratio | 1.17 | 1.48 |
| CPC Index | 0.55 | 0.77 |
| Tail Ratio | 1.01 | 1.11 |
| Outlier Win Ratio | 3.41 | 3.14 |
| Outlier Loss Ratio | 3.77 | 2.85 |
| MTD | 1.08% | 1.64% |
| 3M | 3.82% | 2.67% |
| 6M | 19.85% | 10.64% |
| YTD | 14.3% | 16.04% |
| 1Y | 17.78% | 18.4% |
| 3Y (ann.) | 24.86% | 11.79% |
| 5Y (ann.) | 13.06% | 13.72% |
| 10Y (ann.) | 13.36% | 13.67% |
| All-time (ann.) | 13.36% | 13.67% |
| Best Day | 10.5% | 2.17% |
| Worst Day | -5.85% | -1.92% |
| Best Month | 10.51% | 5.38% |
| Worst Month | -9.24% | -2.16% |
| Best Year | 26.18% | 16.04% |
| Worst Year | -18.18% | 5.83% |
| Avg. Drawdown | -1.89% | -1.2% |
| Avg. Drawdown Days | 20 | 20 |
| Recovery Factor | 2.85 | 9.72 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.47 | 3.15 |
| Avg. Up Month | 3.8% | 1.71% |
| Avg. Down Month | -4.35% | -1.23% |
| Win Days | 54.04% | 56.19% |
| Win Month | 63.93% | 70.49% |
| Win Quarter | 66.67% | 80.95% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.0 |
| Alpha | - | 0.13 |
| Correlation | - | 0.35% |
| Treynor Ratio | - | 59913.93% |
| Year | SPY | VMNIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 10.48 | 1.39 | + |
| 2022 | -18.18 | 13.47 | -0.74 | + |
| 2023 | 26.18 | 12.33 | 0.47 | - |
| 2024 | 24.89 | 5.83 | 0.23 | - |
| 2025 | 17.72 | 9.36 | 0.53 | - |
| 2026 | 14.30 | 16.04 | 1.12 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-05-12 | 2022-10-19 | -6.69 | 161 |
| 2024-09-03 | 2025-05-29 | -5.37 | 269 |
| 2025-06-03 | 2025-08-07 | -4.95 | 66 |
| 2022-10-25 | 2022-12-15 | -4.71 | 52 |
| 2023-03-09 | 2023-07-14 | -4.68 | 128 |
| 2025-09-23 | 2025-11-04 | -4.65 | 43 |
| 2025-11-14 | 2026-02-04 | -4.63 | 83 |
| 2022-02-04 | 2022-04-19 | -4.16 | 75 |
| 2026-07-31 | 2026-09-16 | -3.33 | 48 |
| 2023-11-13 | 2024-01-04 | -3.29 | 53 |