| Metric | VOO | Fractional Momentum |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 157.64% | 313.49% |
| CAGR﹪ | 8.51% | 13.03% |
| Sharpe | 0.74 | 0.99 |
| Prob. Sharpe Ratio | 97.71% | 99.6% |
| Smart Sharpe | 0.65 | 0.87 |
| Sortino | 1.04 | 1.42 |
| Smart Sortino | 0.91 | 1.24 |
| Sortino/√2 | 0.73 | 1.0 |
| Smart Sortino/√2 | 0.64 | 0.88 |
| Omega | 1.23 | 1.23 |
| Max Drawdown | -34.01% | -41.38% |
| Longest DD Days | 702 | 526 |
| Volatility (ann.) | 19.7% | 21.5% |
| R^2 | 0.82 | 0.82 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 0.25 | 0.31 |
| Skew | -0.49 | -0.35 |
| Kurtosis | 15.81 | 24.05 |
| Expected Daily | 0.05% | 0.08% |
| Expected Monthly | 0.98% | 1.47% |
| Expected Yearly | 11.09% | 17.08% |
| Kelly Criterion | 5.49% | 9.94% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.98% | -2.14% |
| Expected Shortfall (cVaR) | -1.98% | -2.14% |
| Max Consecutive Wins | 9 | 12 |
| Max Consecutive Losses | 8 | 7 |
| Gain/Pain Ratio | 0.16 | 0.23 |
| Gain/Pain (1M) | 0.9 | 1.43 |
| Payoff Ratio | 0.91 | 0.96 |
| Profit Factor | 1.16 | 1.23 |
| Common Sense Ratio | 1.05 | 1.3 |
| CPC Index | 0.58 | 0.66 |
| Tail Ratio | 0.9 | 1.06 |
| Outlier Win Ratio | 4.13 | 3.8 |
| Outlier Loss Ratio | 4.34 | 4.07 |
| MTD | 4.15% | 5.82% |
| 3M | 10.96% | 13.33% |
| 6M | 8.51% | 11.55% |
| YTD | 24.32% | 19.62% |
| 1Y | 26.18% | 21.25% |
| 3Y (ann.) | 5.85% | 6.77% |
| 5Y (ann.) | 9.36% | 13.83% |
| 10Y (ann.) | 8.51% | 13.03% |
| All-time (ann.) | 8.51% | 13.03% |
| Best Day | 9.54% | 14.75% |
| Worst Day | -11.74% | -14.1% |
| Best Month | 12.79% | 17.64% |
| Worst Month | -12.46% | -13.72% |
| Best Year | 31.35% | 44.22% |
| Worst Year | -19.93% | -4.61% |
| Avg. Drawdown | -1.73% | -1.81% |
| Avg. Drawdown Days | 18 | 15 |
| Recovery Factor | 3.21 | 3.85 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 1.01 | 2.81 |
| Avg. Up Month | 3.39% | 4.15% |
| Avg. Down Month | -4.58% | -4.16% |
| Win Days | 54.92% | 55.89% |
| Win Month | 71.13% | 68.04% |
| Win Quarter | 75.76% | 81.82% |
| Win Year | 66.67% | 77.78% |
| Beta | - | 0.99 |
| Alpha | - | 0.07 |
| Correlation | - | 90.66% |
| Treynor Ratio | - | 316.85% |
| Year | VOO | Fractional Momentum | Multiplier | Won |
|---|---|---|---|---|
| 2015 | -0.99 | -0.85 | 0.85 | + |
| 2016 | 12.17 | 14.44 | 1.19 | + |
| 2017 | 21.77 | 30.39 | 1.40 | + |
| 2018 | -4.50 | 3.89 | -0.86 | + |
| 2019 | 31.35 | 41.97 | 1.34 | + |
| 2020 | 18.29 | 44.22 | 2.42 | + |
| 2021 | 28.97 | 15.13 | 0.52 | - |
| 2022 | -19.93 | -4.61 | 0.23 | + |
| 2023 | 24.32 | 19.62 | 0.81 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-20 | 2020-05-28 | -41.38 | 99 |
| 2022-02-10 | 2023-07-20 | -20.27 | 526 |
| 2018-12-04 | 2019-02-01 | -15.73 | 60 |
| 2016-01-04 | 2016-03-28 | -13.46 | 85 |
| 2023-07-26 | 2023-11-22 | -10.87 | 120 |
| 2021-09-03 | 2022-01-28 | -9.87 | 148 |
| 2018-01-29 | 2018-06-05 | -9.46 | 128 |
| 2018-10-17 | 2018-11-30 | -8.44 | 45 |
| 2020-09-03 | 2020-10-09 | -7.66 | 37 |
| 2020-10-13 | 2020-11-04 | -6.59 | 23 |