Your GPS is a liar! VMC not VMG...

The VMG, Velocity Made Good, is indicating the speed of a sailboat towards, or from, the direction of the wind, using the heading of your boat and not your course over ground, COG. 

The VMC, Velocity Made Good on Course, is the speed of your boat in the direction of the wind using your COG. 

Thus, unless it is connected to a wind vane that shows the direction of the wind, the GPS will in fact indicate the VMC and not the VMG even if "VMG" is displayed on your screen!