| Metric | SPY | SVPBX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 66.0% |
| Cumulative Return | 17.89% | 4.0% |
| CAGR﹪ | 18.12% | 4.05% |
| Sharpe | 1.04 | 0.0 |
| Prob. Sharpe Ratio | 84.76% | 50.19% |
| Smart Sharpe | 1.01 | 0.0 |
| Sortino | 1.51 | 0.01 |
| Smart Sortino | 1.47 | 0.01 |
| Sortino/√2 | 1.07 | 0.0 |
| Smart Sortino/√2 | 1.04 | 0.0 |
| Omega | 1.25 | 1.38 |
| Max Drawdown | -8.88% | -1.01% |
| Max DD Date | 2026-03-30 | 2026-03-26 |
| Max DD Period Start | 2026-01-28 | 2026-03-02 |
| Max DD Period End | 2026-04-13 | 2026-04-10 |
| Longest DD Days | 76 | 40 |
| Volatility (ann.) | 13.02% | 2.25% |
| R^2 | 0.17 | 0.17 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 2.04 | 4.02 |
| Skew | -0.15 | -0.82 |
| Kurtosis | 1.03 | 2.94 |
| Ulcer Performance Index | 8.29 | 13.25 |
| Risk-Adjusted Return | 18.12% | 6.13% |
| Risk-Return Ratio | 0.08 | 0.11 |
| Avg. Return | 0.11% | 0.02% |
| Avg. Win | 0.8% | 0.14% |
| Avg. Loss | -0.66% | -0.18% |
| Win/Loss Ratio | 1.2 | 0.78 |
| Profit Ratio | 0.92 | 0.16 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.27% | 0.3% |
| Expected Yearly | 8.58% | 1.98% |
| Kelly Criterion | 15.39% | 12.16% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.22% |
| Expected Shortfall (cVaR) | -1.72% | -0.37% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.25 | 0.38 |
| Gain/Pain (1M) | 2.61 | 5.57 |
| Payoff Ratio | 1.2 | 0.78 |
| Profit Factor | 1.25 | 1.38 |
| Common Sense Ratio | 1.24 | 1.38 |
| CPC Index | 0.81 | 0.66 |
| Tail Ratio | 0.99 | 1.0 |
| Outlier Win Ratio | 2.88 | 3.98 |
| Outlier Loss Ratio | 3.17 | 2.44 |
| MTD | 1.09% | -0.3% |
| 3M | 3.84% | 0.52% |
| 6M | 19.87% | 1.8% |
| YTD | 14.32% | 2.22% |
| 1Y | 17.89% | 4.0% |
| 3Y (ann.) | 18.12% | 4.05% |
| 5Y (ann.) | 18.12% | 4.05% |
| 10Y (ann.) | 18.12% | 4.05% |
| All-time (ann.) | 18.12% | 4.05% |
| Best Day | 2.91% | 0.41% |
| Worst Day | -2.7% | -0.71% |
| Best Month | 10.51% | 1.12% |
| Worst Month | -4.94% | -0.35% |
| Best Year | 14.32% | 2.22% |
| Worst Year | 3.13% | 1.74% |
| Avg. Drawdown | -1.71% | -0.29% |
| Avg. Drawdown Days | 13 | 10 |
| Recovery Factor | 1.95 | 3.92 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 1.16 | 2.48 |
| Avg. Up Month | 2.48% | 0.45% |
| Avg. Down Month | -4.94% | -0.35% |
| Win Days | 53.82% | 61.59% |
| Win Month | 76.92% | 75.0% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.07 |
| Alpha | - | 0.03 |
| Correlation | - | 41.69% |
| Treynor Ratio | - | 55.5% |
| Year | SPY | SVPBX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 1.74 | 0.56 | - |
| 2026 | 14.32 | 2.22 | 0.15 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-04-10 | -1.01 | 40 |
| 2026-05-11 | 2026-06-12 | -0.91 | 33 |
| 2026-08-26 | 2026-09-21 | -0.90 | 27 |
| 2025-10-22 | 2025-11-18 | -0.41 | 28 |
| 2026-07-07 | 2026-07-31 | -0.40 | 25 |
| 2026-06-17 | 2026-06-23 | -0.40 | 7 |
| 2026-01-15 | 2026-01-28 | -0.31 | 14 |
| 2025-12-01 | 2025-12-15 | -0.30 | 15 |
| 2026-04-27 | 2026-05-05 | -0.30 | 9 |
| 2026-04-21 | 2026-04-23 | -0.30 | 3 |