| Metric | SPY | SVPBX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 69.0% |
| Cumulative Return | 18.62% | 1.59% |
| CAGR﹪ | 41.09% | 3.24% |
| Sharpe | 2.33 | -0.16 |
| Prob. Sharpe Ratio | 95.05% | 45.46% |
| Smart Sharpe | 2.31 | -0.13 |
| Sortino | 3.8 | -0.21 |
| Smart Sortino | 3.76 | -0.17 |
| Sortino/√2 | 2.69 | -0.15 |
| Smart Sortino/√2 | 2.66 | -0.12 |
| Omega | 1.54 | 1.25 |
| Max Drawdown | -4.49% | -0.91% |
| Max DD Date | 2026-06-10 | 2026-06-05 |
| Max DD Period Start | 2026-06-03 | 2026-04-27 |
| Max DD Period End | 2026-07-31 | 2026-06-12 |
| Longest DD Days | 59 | 47 |
| Volatility (ann.) | 13.6% | 2.57% |
| R^2 | 0.3 | 0.3 |
| Information Ratio | -0.16 | -0.16 |
| Calmar | 9.14 | 3.56 |
| Skew | 0.1 | -1.01 |
| Kurtosis | 1.09 | 3.02 |
| Ulcer Performance Index | 11.83 | 4.84 |
| Risk-Adjusted Return | 41.09% | 4.7% |
| Risk-Return Ratio | 0.16 | 0.08 |
| Avg. Return | 0.21% | 0.02% |
| Avg. Win | 0.88% | 0.15% |
| Avg. Loss | -0.62% | -0.21% |
| Win/Loss Ratio | 1.41 | 0.71 |
| Profit Ratio | 1.08 | 0.16 |
| Expected Daily | 0.14% | 0.01% |
| Expected Monthly | 2.47% | 0.23% |
| Expected Yearly | 18.62% | 1.59% |
| Kelly Criterion | 22.08% | 7.26% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.27% | -0.25% |
| Expected Shortfall (cVaR) | -1.77% | -0.39% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 2 |
| Gain/Pain Ratio | 0.54 | 0.25 |
| Gain/Pain (1M) | 10.93 | 5.29 |
| Payoff Ratio | 1.41 | 0.71 |
| Profit Factor | 1.54 | 1.25 |
| Common Sense Ratio | 2.01 | 0.84 |
| CPC Index | 1.18 | 0.55 |
| Tail Ratio | 1.31 | 0.67 |
| Outlier Win Ratio | 3.22 | 4.03 |
| Outlier Loss Ratio | 3.1 | 2.13 |
| MTD | 1.09% | -0.3% |
| 3M | 3.84% | 0.52% |
| 6M | 18.62% | 1.59% |
| YTD | 18.62% | 1.59% |
| 1Y | 18.62% | 1.59% |
| 3Y (ann.) | 41.09% | 3.24% |
| 5Y (ann.) | 41.09% | 3.24% |
| 10Y (ann.) | 41.09% | 3.24% |
| All-time (ann.) | 41.09% | 3.24% |
| Best Day | 2.91% | 0.41% |
| Worst Day | -2.58% | -0.71% |
| Best Month | 10.51% | 0.51% |
| Worst Month | -1.03% | -0.3% |
| Best Year | 18.62% | 1.59% |
| Worst Year | 18.62% | 1.59% |
| Avg. Drawdown | -1.13% | -0.34% |
| Avg. Drawdown Days | 9 | 10 |
| Recovery Factor | 3.9 | 1.76 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 2.75 | 0.95 |
| Avg. Up Month | 4.41% | 0.37% |
| Avg. Down Month | - | - |
| Win Days | 54.4% | 61.63% |
| Win Month | 71.43% | 83.33% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.1 |
| Alpha | - | -0.0 |
| Correlation | - | 54.99% |
| Treynor Ratio | - | 15.35% |
| Year | SPY | SVPBX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.62 | 1.59 | 0.09 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-04-27 | 2026-06-12 | -0.91 | 47 |
| 2026-08-26 | 2026-09-21 | -0.90 | 27 |
| 2026-07-07 | 2026-07-29 | -0.40 | 23 |
| 2026-06-17 | 2026-06-23 | -0.40 | 7 |
| 2026-03-26 | 2026-03-27 | -0.30 | 2 |
| 2026-04-21 | 2026-04-23 | -0.30 | 3 |
| 2026-06-30 | 2026-07-02 | -0.20 | 3 |
| 2026-08-06 | 2026-08-06 | -0.20 | 1 |
| 2026-04-06 | 2026-04-06 | -0.10 | 1 |
| 2026-03-24 | 2026-03-24 | -0.10 | 1 |