| Metric | SPY | SVPBX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 74.0% |
| Cumulative Return | 86.61% | 13.39% |
| CAGR﹪ | 13.38% | 2.56% |
| Sharpe | 0.6 | -0.25 |
| Prob. Sharpe Ratio | 90.86% | 28.73% |
| Smart Sharpe | 0.58 | -0.2 |
| Sortino | 0.86 | -0.35 |
| Smart Sortino | 0.83 | -0.27 |
| Sortino/√2 | 0.61 | -0.25 |
| Smart Sortino/√2 | 0.59 | -0.19 |
| Omega | 1.16 | 1.15 |
| Max Drawdown | -24.5% | -6.36% |
| Max DD Date | 2022-10-12 | 2022-10-20 |
| Max DD Period Start | 2022-01-04 | 2021-12-15 |
| Max DD Period End | 2023-12-12 | 2023-12-19 |
| Longest DD Days | 708 | 735 |
| Volatility (ann.) | 17.21% | 4.61% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 0.4 |
| Skew | 0.32 | -0.11 |
| Kurtosis | 8.94 | 123.71 |
| Ulcer Performance Index | 10.24 | 5.36 |
| Risk-Adjusted Return | 13.38% | 3.46% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.04% | 0.01% |
| Avg. Win | 0.82% | 0.2% |
| Avg. Loss | -0.89% | -0.22% |
| Win/Loss Ratio | 0.92 | 0.93 |
| Profit Ratio | 0.83 | 0.29 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.03% | 0.21% |
| Expected Yearly | 10.96% | 2.12% |
| Kelly Criterion | 4.19% | 5.41% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.47% |
| Expected Shortfall (cVaR) | -2.58% | -0.94% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.16 | 0.15 |
| Gain/Pain (1M) | 0.87 | 0.85 |
| Payoff Ratio | 0.92 | 0.93 |
| Profit Factor | 1.16 | 1.15 |
| Common Sense Ratio | 1.17 | 1.16 |
| CPC Index | 0.58 | 0.58 |
| Tail Ratio | 1.01 | 1.01 |
| Outlier Win Ratio | 3.41 | 5.18 |
| Outlier Loss Ratio | 3.77 | 2.49 |
| MTD | 1.09% | -0.3% |
| 3M | 3.84% | 0.52% |
| 6M | 19.87% | 1.8% |
| YTD | 14.32% | 2.22% |
| 1Y | 17.8% | 4.0% |
| 3Y (ann.) | 24.9% | 5.56% |
| 5Y (ann.) | 13.12% | 2.68% |
| 10Y (ann.) | 13.38% | 2.56% |
| All-time (ann.) | 13.38% | 2.56% |
| Best Day | 10.5% | 4.93% |
| Worst Day | -5.85% | -4.6% |
| Best Month | 10.51% | 2.1% |
| Worst Month | -9.24% | -1.8% |
| Best Year | 26.18% | 6.06% |
| Worst Year | -18.18% | -4.36% |
| Avg. Drawdown | -1.89% | -0.63% |
| Avg. Drawdown Days | 20 | 40 |
| Recovery Factor | 2.85 | 2.06 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.47 | 0.29 |
| Avg. Up Month | 3.55% | 0.85% |
| Avg. Down Month | -4.68% | -0.74% |
| Win Days | 54.08% | 54.53% |
| Win Month | 63.93% | 60.0% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.04 |
| Alpha | - | 0.02 |
| Correlation | - | 14.89% |
| Treynor Ratio | - | 335.61% |
| Year | SPY | SVPBX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -0.12 | -0.02 | - |
| 2022 | -18.18 | -4.36 | 0.24 | + |
| 2023 | 26.18 | 5.31 | 0.20 | - |
| 2024 | 24.89 | 3.97 | 0.16 | - |
| 2025 | 17.72 | 6.06 | 0.34 | - |
| 2026 | 14.32 | 2.22 | 0.15 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-15 | 2023-12-19 | -6.36 | 735 |
| 2024-12-23 | 2025-10-09 | -4.70 | 291 |
| 2024-09-25 | 2024-12-19 | -2.07 | 86 |
| 2024-02-02 | 2024-05-14 | -1.24 | 103 |
| 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 |
| 2024-08-05 | 2024-09-03 | -0.80 | 30 |
| 2021-10-04 | 2021-12-13 | -0.69 | 71 |
| 2024-01-16 | 2024-01-30 | -0.62 | 15 |