| Metric | SPY | VMNIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 6.48% | 7.15% |
| CAGR﹪ | 13.27% | 14.69% |
| Sharpe | 0.78 | 1.44 |
| Prob. Sharpe Ratio | 70.87% | 84.42% |
| Smart Sharpe | 0.75 | 1.34 |
| Sortino | 1.14 | 2.16 |
| Smart Sortino | 1.09 | 2.01 |
| Sortino/√2 | 0.8 | 1.52 |
| Smart Sortino/√2 | 0.77 | 1.42 |
| Omega | 1.19 | 1.37 |
| Max Drawdown | -4.49% | -3.82% |
| Max DD Date | 2026-06-10 | 2026-11-04 |
| Max DD Period Start | 2026-06-03 | 2026-10-22 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 48 |
| Volatility (ann.) | 12.4% | 7.23% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 2.95 | 3.85 |
| Skew | -0.15 | -0.15 |
| Kurtosis | 0.59 | 0.67 |
| Ulcer Performance Index | 3.89 | 5.33 |
| Risk-Adjusted Return | 13.27% | 15.46% |
| Risk-Return Ratio | 0.07 | 0.12 |
| Avg. Return | 0.04% | 0.06% |
| Avg. Win | 0.6% | 0.4% |
| Avg. Loss | -0.54% | -0.33% |
| Win/Loss Ratio | 1.11 | 1.21 |
| Profit Ratio | 1.15 | 0.66 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 0.9% | 0.99% |
| Expected Yearly | 6.48% | 7.15% |
| Kelly Criterion | 5.72% | 20.88% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.69% |
| Expected Shortfall (cVaR) | -1.63% | -0.97% |
| Max Consecutive Wins | 4 | 9 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.19 | 0.37 |
| Gain/Pain (1M) | 3.26 | 1.89 |
| Payoff Ratio | 1.11 | 1.21 |
| Profit Factor | 1.19 | 1.37 |
| Common Sense Ratio | 1.47 | 1.53 |
| CPC Index | 0.67 | 0.94 |
| Tail Ratio | 1.23 | 1.12 |
| Outlier Win Ratio | 2.66 | 3.28 |
| Outlier Loss Ratio | 3.07 | 3.1 |
| MTD | 1.47% | -1.42% |
| 3M | 1.46% | 2.97% |
| 6M | 6.48% | 7.15% |
| YTD | 6.48% | 7.15% |
| 1Y | 6.48% | 7.15% |
| 3Y (ann.) | 13.27% | 14.69% |
| 5Y (ann.) | 13.27% | 14.69% |
| 10Y (ann.) | 13.27% | 14.69% |
| All-time (ann.) | 13.27% | 14.69% |
| Best Day | 1.8% | 1.37% |
| Worst Day | -2.58% | -1.39% |
| Best Month | 4.52% | 4.09% |
| Worst Month | -1.03% | -1.73% |
| Best Year | 6.48% | 7.15% |
| Worst Year | 6.48% | 7.15% |
| Avg. Drawdown | -1.57% | -1.12% |
| Avg. Drawdown Days | 17 | 10 |
| Recovery Factor | 1.48 | 1.84 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.91 | 0.81 |
| Avg. Up Month | 0.03% | 1.51% |
| Avg. Down Month | - | - |
| Win Days | 50.39% | 56.67% |
| Win Month | 57.14% | 57.14% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.03 |
| Alpha | - | 0.14 |
| Correlation | - | -5.72% |
| Treynor Ratio | - | -214.27% |
| Year | SPY | VMNIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 7.15 | 1.10 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-10-22 | 2026-11-04 | -3.82 | 14 |
| 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 |
| 2026-06-23 | 2026-06-26 | -0.69 | 4 |
| 2026-09-21 | 2026-09-23 | -0.68 | 3 |
| 2026-06-15 | 2026-06-18 | -0.63 | 4 |
| 2026-10-15 | 2026-10-20 | -0.52 | 6 |
| 2026-06-09 | 2026-06-11 | -0.51 | 3 |