| Metric | SPY | VMNIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 18.6% | 10.41% |
| CAGR﹪ | 40.67% | 21.91% |
| Sharpe | 2.32 | 2.38 |
| Prob. Sharpe Ratio | 95.04% | 95.77% |
| Smart Sharpe | 2.3 | 2.26 |
| Sortino | 3.78 | 4.05 |
| Smart Sortino | 3.75 | 3.84 |
| Sortino/√2 | 2.67 | 2.86 |
| Smart Sortino/√2 | 2.65 | 2.72 |
| Omega | 1.54 | 1.61 |
| Max Drawdown | -4.49% | -3.33% |
| Max DD Date | 2026-06-10 | 2026-08-24 |
| Max DD Period Start | 2026-06-03 | 2026-07-31 |
| Max DD Period End | 2026-07-31 | 2026-09-16 |
| Longest DD Days | 59 | 48 |
| Volatility (ann.) | 13.55% | 6.91% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 9.05 | 6.59 |
| Skew | 0.1 | 0.37 |
| Kurtosis | 1.12 | 0.56 |
| Ulcer Performance Index | 11.86 | 8.72 |
| Risk-Adjusted Return | 40.67% | 22.82% |
| Risk-Return Ratio | 0.16 | 0.18 |
| Avg. Return | 0.13% | 0.08% |
| Avg. Win | 0.68% | 0.41% |
| Avg. Loss | -0.46% | -0.27% |
| Win/Loss Ratio | 1.47 | 1.52 |
| Profit Ratio | 1.12 | 0.79 |
| Expected Daily | 0.14% | 0.08% |
| Expected Monthly | 2.47% | 1.42% |
| Expected Yearly | 18.6% | 10.41% |
| Kelly Criterion | 22.69% | 28.16% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.64% |
| Expected Shortfall (cVaR) | -1.77% | -0.8% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.54 | 0.61 |
| Gain/Pain (1M) | 10.92 | 5.79 |
| Payoff Ratio | 1.47 | 1.52 |
| Profit Factor | 1.54 | 1.61 |
| Common Sense Ratio | 2.01 | 2.06 |
| CPC Index | 1.22 | 1.38 |
| Tail Ratio | 1.3 | 1.28 |
| Outlier Win Ratio | 3.21 | 3.26 |
| Outlier Loss Ratio | 3.16 | 2.42 |
| MTD | 1.08% | 1.64% |
| 3M | 3.82% | 2.67% |
| 6M | 18.6% | 10.41% |
| YTD | 18.6% | 10.41% |
| 1Y | 18.6% | 10.41% |
| 3Y (ann.) | 40.67% | 21.91% |
| 5Y (ann.) | 40.67% | 21.91% |
| 10Y (ann.) | 40.67% | 21.91% |
| All-time (ann.) | 40.67% | 21.91% |
| Best Day | 2.91% | 1.61% |
| Worst Day | -2.58% | -1.01% |
| Best Month | 10.51% | 3.81% |
| Worst Month | -1.03% | -1.73% |
| Best Year | 18.6% | 10.41% |
| Worst Year | 18.6% | 10.41% |
| Avg. Drawdown | -1.13% | -0.74% |
| Avg. Drawdown Days | 9 | 7 |
| Recovery Factor | 3.9 | 3.02 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 2.75 | 1.32 |
| Avg. Up Month | 4.22% | 2.02% |
| Avg. Down Month | - | - |
| Win Days | 53.97% | 56.67% |
| Win Month | 71.43% | 85.71% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.04 |
| Alpha | - | 0.22 |
| Correlation | - | -8.79% |
| Treynor Ratio | - | -231.97% |
| Year | SPY | VMNIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | 10.41 | 0.56 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 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 |
| 2026-04-14 | 2026-04-21 | -0.87 | 8 |
| 2026-06-23 | 2026-06-26 | -0.69 | 4 |
| 2026-09-21 | 2026-09-22 | -0.68 | 2 |
| 2026-06-15 | 2026-06-18 | -0.63 | 4 |
| 2026-06-09 | 2026-06-11 | -0.51 | 3 |
| 2026-03-31 | 2026-03-31 | -0.47 | 1 |