Vortex on the full sample, against the S&P 500. Toggle the hedge and compare like-for-like, pure versus shielded. Growth of $100 invested at the start.
Showing Log by default: the axis is cumulative % return, and equal vertical steps mean equal percentage moves, which is the correct way to read a multi-year compounding curve and keeps the steady gap over the S&P 500 visible. Switch to $ growth for the dollar value of $100 invested (which makes recent years dominate the view).
Every calendar year of the backtest (2012 and 2026 are partial). This is the clearest read on the year-to-year reality: strong early years, a flat 2018 and a near-flat 2022 through the bear market, not a single losing year in the sample, then a sharp acceleration from 2023.
| Strategy | Annualised | Volatility | Sharpe | Max drawdown | Worst year | Total return |
|---|
Vortex Shield adds per-stock earnings puts plus an index (QQQ) put ladder. The hedge trades a little annualised return for a shallower deepest drawdown, and in a crash year like 2022 it can swing hard in your favour (+26% hedged vs +3.5% pure).
Over this sample the unhedged version wins on total return, and that is real. But remember what this period was: one of the strongest bull runs in market history, led by US tech and the Nasdaq. In that environment, paying for protection you rarely needed was a drag.
That backdrop will not last forever. The hedged version is built for the years this sample barely contains: a deep, sustained crash. When one arrives, the unhedged curve takes the full hit while the hedge is designed to cushion it. Look less at which line ends higher, and more at the worst-year and max-drawdown columns above. That gap is what you are buying.
Rule of thumb: chasing maximum return in calm markets favours Vortex; surviving a genuine bear market favours Vortex Shield. You can switch anytime.
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