| Metric | SPY | SVPBX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 71.0% |
| Cumulative Return | 109.05% | 15.1% |
| CAGR﹪ | 14.12% | 2.55% |
| Sharpe | 0.67 | -0.19 |
| Prob. Sharpe Ratio | 94.43% | 32.89% |
| Smart Sharpe | 0.65 | -0.15 |
| Sortino | 0.97 | -0.26 |
| Smart Sortino | 0.94 | -0.2 |
| Sortino/√2 | 0.68 | -0.18 |
| Smart Sortino/√2 | 0.67 | -0.14 |
| Omega | 1.17 | 1.16 |
| Max Drawdown | -24.5% | -6.37% |
| Max DD Date | 2022-10-12 | 2022-10-20 |
| Max DD Period Start | 2022-01-04 | 2021-09-22 |
| Max DD Period End | 2023-12-12 | 2023-12-19 |
| Longest DD Days | 708 | 819 |
| Volatility (ann.) | 16.62% | 4.38% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.58 | 0.4 |
| Skew | 0.3 | -0.13 |
| Kurtosis | 9.27 | 134.88 |
| Ulcer Performance Index | 13.63 | 6.37 |
| Risk-Adjusted Return | 14.12% | 3.59% |
| Risk-Return Ratio | 0.06 | 0.04 |
| Avg. Return | 0.04% | 0.01% |
| Avg. Win | 0.8% | 0.19% |
| Avg. Loss | -0.86% | -0.21% |
| Win/Loss Ratio | 0.93 | 0.91 |
| Profit Ratio | 0.83 | 0.25 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.07% | 0.2% |
| Expected Yearly | 13.08% | 2.37% |
| Kelly Criterion | 4.96% | 5.77% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.66% | -0.44% |
| Expected Shortfall (cVaR) | -2.45% | -0.93% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.17 | 0.16 |
| Gain/Pain (1M) | 0.99 | 0.88 |
| Payoff Ratio | 0.93 | 0.91 |
| Profit Factor | 1.17 | 1.16 |
| Common Sense Ratio | 1.18 | 1.17 |
| CPC Index | 0.59 | 0.58 |
| Tail Ratio | 1.01 | 1.01 |
| Outlier Win Ratio | 3.49 | 5.53 |
| Outlier Loss Ratio | 3.87 | 2.54 |
| MTD | 1.47% | 0.2% |
| 3M | 1.46% | 0.51% |
| 6M | 6.94% | 1.33% |
| YTD | 13.33% | 2.84% |
| 1Y | 13.43% | 3.94% |
| 3Y (ann.) | 20.78% | 4.87% |
| 5Y (ann.) | 12.86% | 2.75% |
| 10Y (ann.) | 14.12% | 2.55% |
| All-time (ann.) | 14.12% | 2.55% |
| 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 | -1.76% | -0.6% |
| Avg. Drawdown Days | 18 | 40 |
| Recovery Factor | 3.32 | 2.29 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.58 | 0.33 |
| Avg. Up Month | 3.4% | 0.76% |
| Avg. Down Month | -4.49% | -0.8% |
| Win Days | 54.23% | 55.07% |
| Win Month | 65.22% | 62.69% |
| Win Quarter | 75.0% | 69.57% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.04 |
| Alpha | - | 0.02 |
| Correlation | - | 14.73% |
| Treynor Ratio | - | 388.54% |
| Year | SPY | SVPBX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 21.53 | 0.78 | 0.04 | - |
| 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 | 13.33 | 2.84 | 0.21 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-22 | 2023-12-19 | -6.37 | 819 |
| 2024-12-23 | 2025-10-09 | -4.70 | 291 |
| 2024-09-17 | 2024-12-19 | -2.07 | 94 |
| 2026-08-26 | 2026-11-04 | -1.81 | 71 |
| 2024-02-02 | 2024-05-13 | -1.24 | 102 |
| 2026-03-02 | 2026-04-10 | -1.01 | 40 |
| 2026-04-27 | 2026-06-12 | -0.91 | 47 |
| 2024-08-05 | 2024-09-03 | -0.80 | 30 |
| 2024-01-16 | 2024-01-30 | -0.62 | 15 |
| 2024-05-16 | 2024-06-03 | -0.51 | 19 |