| Metric | SPY | VMNIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 204.97% | 92.17% |
| CAGR﹪ | 16.25% | 9.22% |
| Sharpe | 0.72 | 0.89 |
| Prob. Sharpe Ratio | 97.45% | 99.16% |
| Smart Sharpe | 0.63 | 0.85 |
| Sortino | 1.02 | 1.28 |
| Smart Sortino | 0.88 | 1.22 |
| Sortino/√2 | 0.72 | 0.91 |
| Smart Sortino/√2 | 0.62 | 0.87 |
| Omega | 1.18 | 1.24 |
| Max Drawdown | -33.72% | -15.1% |
| Max DD Date | 2020-03-23 | 2020-11-10 |
| Max DD Period Start | 2020-02-20 | 2019-10-16 |
| Max DD Period End | 2020-08-07 | 2021-11-17 |
| Longest DD Days | 708 | 764 |
| Volatility (ann.) | 19.45% | 6.97% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.48 | 0.61 |
| Skew | -0.29 | -0.36 |
| Kurtosis | 13.94 | 3.26 |
| Ulcer Performance Index | 25.91 | 21.23 |
| Risk-Adjusted Return | 16.25% | 10.02% |
| Risk-Return Ratio | 0.05 | 0.08 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.81% | 0.37% |
| Avg. Loss | -0.91% | -0.38% |
| Win/Loss Ratio | 0.88 | 0.99 |
| Profit Ratio | 0.78 | 0.64 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.25% | 0.73% |
| Expected Yearly | 14.96% | 8.51% |
| Kelly Criterion | 4.44% | 8.16% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.69% |
| Expected Shortfall (cVaR) | -3.2% | -0.99% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.18 | 0.24 |
| Gain/Pain (1M) | 1.15 | 1.58 |
| Payoff Ratio | 0.88 | 0.99 |
| Profit Factor | 1.18 | 1.24 |
| Common Sense Ratio | 1.13 | 1.41 |
| CPC Index | 0.58 | 0.67 |
| Tail Ratio | 0.96 | 1.14 |
| Outlier Win Ratio | 3.69 | 3.27 |
| Outlier Loss Ratio | 4.12 | 3.0 |
| MTD | 1.47% | -1.42% |
| 3M | 1.46% | 2.97% |
| 6M | 6.94% | 7.85% |
| YTD | 13.33% | 19.49% |
| 1Y | 13.43% | 21.4% |
| 3Y (ann.) | 20.78% | 12.52% |
| 5Y (ann.) | 12.86% | 12.89% |
| 10Y (ann.) | 16.25% | 9.22% |
| All-time (ann.) | 16.25% | 9.22% |
| Best Day | 10.5% | 2.17% |
| Worst Day | -10.94% | -3.61% |
| Best Month | 12.7% | 5.38% |
| Worst Month | -12.49% | -3.34% |
| Best Year | 28.73% | 23.39% |
| Worst Year | -18.18% | -11.58% |
| Avg. Drawdown | -1.79% | -1.35% |
| Avg. Drawdown Days | 16 | 28 |
| Recovery Factor | 3.72 | 4.44 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 1.03 | 0.64 |
| Avg. Up Month | 3.88% | 1.69% |
| Avg. Down Month | -5.38% | -1.71% |
| Win Days | 55.15% | 54.28% |
| Win Month | 65.56% | 62.22% |
| Win Quarter | 77.42% | 67.74% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.02 |
| Alpha | - | 0.09 |
| Correlation | - | 4.44% |
| Treynor Ratio | - | 5794.24% |
| Year | SPY | VMNIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | -0.08 | -0.00 | - |
| 2020 | 18.33 | -11.58 | -0.63 | - |
| 2021 | 28.73 | 23.39 | 0.81 | - |
| 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 | 13.33 | 19.49 | 1.46 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2019-10-16 | 2021-11-17 | -15.10 | 764 |
| 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 | 2022-04-20 | -4.16 | 76 |
| 2026-10-22 | 2026-11-04 | -3.82 | 14 |