| Metric | SPY | SVPBX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 67.0% |
| Cumulative Return | 14.39% | 4.05% |
| CAGR﹪ | 14.51% | 4.08% |
| Sharpe | 0.83 | 0.15 |
| Prob. Sharpe Ratio | 79.61% | 56.07% |
| Smart Sharpe | 0.82 | 0.14 |
| Sortino | 1.22 | 0.2 |
| Smart Sortino | 1.2 | 0.18 |
| Sortino/√2 | 0.86 | 0.14 |
| Smart Sortino/√2 | 0.85 | 0.13 |
| Omega | 1.2 | 1.36 |
| Max Drawdown | -8.88% | -1.81% |
| Max DD Date | 2026-03-30 | 2026-09-29 |
| Max DD Period Start | 2026-01-28 | 2026-08-26 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 71 |
| Volatility (ann.) | 12.86% | 2.38% |
| R^2 | 0.17 | 0.17 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.63 | 2.26 |
| Skew | -0.02 | -1.05 |
| Kurtosis | 0.78 | 3.27 |
| Ulcer Performance Index | 6.68 | 8.23 |
| Risk-Adjusted Return | 14.51% | 6.09% |
| Risk-Return Ratio | 0.07 | 0.11 |
| Avg. Return | 0.08% | 0.02% |
| Avg. Win | 0.79% | 0.15% |
| Avg. Loss | -0.65% | -0.2% |
| Win/Loss Ratio | 1.21 | 0.74 |
| Profit Ratio | 1.02 | 0.15 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.04% | 0.31% |
| Expected Yearly | 6.95% | 2.0% |
| Kelly Criterion | 12.33% | 12.14% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.23% |
| Expected Shortfall (cVaR) | -1.66% | -0.39% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.2 | 0.36 |
| Gain/Pain (1M) | 1.83 | 2.27 |
| Payoff Ratio | 1.21 | 0.74 |
| Profit Factor | 1.2 | 1.36 |
| Common Sense Ratio | 1.19 | 1.08 |
| CPC Index | 0.76 | 0.63 |
| Tail Ratio | 0.99 | 0.79 |
| Outlier Win Ratio | 2.84 | 3.83 |
| Outlier Loss Ratio | 3.01 | 2.27 |
| MTD | 1.47% | 0.2% |
| 3M | 1.46% | 0.51% |
| 6M | 6.94% | 1.33% |
| YTD | 13.33% | 2.84% |
| 1Y | 14.39% | 4.05% |
| 3Y (ann.) | 14.51% | 4.08% |
| 5Y (ann.) | 14.51% | 4.08% |
| 10Y (ann.) | 14.51% | 4.08% |
| All-time (ann.) | 14.51% | 4.08% |
| Best Day | 2.91% | 0.41% |
| Worst Day | -2.58% | -0.71% |
| Best Month | 10.51% | 1.54% |
| Worst Month | -4.94% | -1.41% |
| Best Year | 13.33% | 2.84% |
| Worst Year | 0.94% | 1.18% |
| Avg. Drawdown | -1.74% | -0.33% |
| Avg. Drawdown Days | 14 | 11 |
| Recovery Factor | 1.61 | 2.21 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 0.94 | 0.92 |
| Avg. Up Month | 2.44% | 0.39% |
| Avg. Down Month | -2.63% | -0.88% |
| Win Days | 52.0% | 62.65% |
| Win Month | 61.54% | 83.33% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.08 |
| Alpha | - | 0.03 |
| Correlation | - | 40.87% |
| Treynor Ratio | - | 53.64% |
| Year | SPY | SVPBX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.18 | 1.26 | + |
| 2026 | 13.33 | 2.84 | 0.21 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-26 | 2026-11-04 | -1.81 | 71 |
| 2026-03-02 | 2026-04-10 | -1.01 | 40 |
| 2026-05-11 | 2026-06-12 | -0.91 | 33 |
| 2026-07-07 | 2026-07-29 | -0.40 | 23 |
| 2026-06-17 | 2026-06-23 | -0.40 | 7 |
| 2026-01-15 | 2026-01-29 | -0.31 | 15 |
| 2025-12-04 | 2025-12-10 | -0.30 | 7 |
| 2026-04-21 | 2026-04-23 | -0.30 | 3 |
| 2026-04-27 | 2026-05-05 | -0.30 | 9 |
| 2025-11-13 | 2025-11-17 | -0.20 | 5 |