| Metric | SPY | VARBX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 40.0% |
| Cumulative Return | 14.39% | 3.68% |
| CAGR﹪ | 14.51% | 3.71% |
| Sharpe | 0.83 | -0.02 |
| Prob. Sharpe Ratio | 79.61% | 49.28% |
| Smart Sharpe | 0.82 | -0.01 |
| Sortino | 1.22 | -0.03 |
| Smart Sortino | 1.2 | -0.02 |
| Sortino/√2 | 0.86 | -0.02 |
| Smart Sortino/√2 | 0.85 | -0.01 |
| Omega | 1.2 | 2.1 |
| Max Drawdown | -8.88% | -0.28% |
| Max DD Date | 2026-03-30 | 2026-02-04 |
| Max DD Period Start | 2026-01-28 | 2026-02-03 |
| Max DD Period End | 2026-04-13 | 2026-02-06 |
| Longest DD Days | 76 | 21 |
| Volatility (ann.) | 12.86% | 1.06% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.63 | 13.08 |
| Skew | -0.02 | 0.23 |
| Kurtosis | 0.78 | 1.36 |
| Ulcer Performance Index | 6.68 | 56.48 |
| Risk-Adjusted Return | 14.51% | 9.26% |
| Risk-Return Ratio | 0.07 | 0.22 |
| Avg. Return | 0.12% | 0.04% |
| Avg. Win | 0.81% | 0.1% |
| Avg. Loss | -0.85% | -0.11% |
| Win/Loss Ratio | 0.95 | 0.95 |
| Profit Ratio | 1.02 | 0.05 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.04% | 0.28% |
| Expected Yearly | 6.95% | 1.82% |
| Kelly Criterion | 1.53% | 31.73% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.09% |
| Expected Shortfall (cVaR) | -1.66% | -0.19% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 2 |
| Gain/Pain Ratio | 0.2 | 1.1 |
| Gain/Pain (1M) | 1.83 | - |
| Payoff Ratio | 0.95 | 0.95 |
| Profit Factor | 1.2 | 2.1 |
| Common Sense Ratio | 1.19 | 2.13 |
| CPC Index | 0.59 | 1.34 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 2.84 | 5.89 |
| Outlier Loss Ratio | 3.01 | 1.41 |
| MTD | 1.47% | 0.18% |
| 3M | 1.46% | 0.83% |
| 6M | 6.94% | 1.96% |
| YTD | 13.33% | 3.32% |
| 1Y | 14.39% | 3.68% |
| 3Y (ann.) | 14.51% | 3.71% |
| 5Y (ann.) | 14.51% | 3.71% |
| 10Y (ann.) | 14.51% | 3.71% |
| All-time (ann.) | 14.51% | 3.71% |
| Best Day | 2.91% | 0.28% |
| Worst Day | -2.58% | -0.19% |
| Best Month | 10.51% | 0.47% |
| Worst Month | -4.94% | -0.0% |
| Best Year | 13.33% | 3.32% |
| Worst Year | 0.94% | 0.35% |
| Avg. Drawdown | -1.74% | -0.12% |
| Avg. Drawdown Days | 14 | 5 |
| Recovery Factor | 1.61 | 12.76 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 0.94 | 18.64 |
| Avg. Up Month | 3.07% | 0.36% |
| Avg. Down Month | -0.91% | -0.0% |
| Win Days | 52.0% | 66.67% |
| Win Month | 61.54% | 84.62% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.02 |
| Alpha | - | 0.03 |
| Correlation | - | 24.23% |
| Treynor Ratio | - | 184.8% |
| Year | SPY | VARBX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 0.35 | 0.37 | - |
| 2026 | 13.33 | 3.32 | 0.25 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-03 | 2026-02-06 | -0.28 | 4 |
| 2026-10-22 | 2026-11-04 | -0.28 | 14 |
| 2026-03-06 | 2026-03-13 | -0.19 | 8 |
| 2026-02-11 | 2026-02-24 | -0.19 | 14 |
| 2026-07-08 | 2026-07-09 | -0.19 | 2 |
| 2026-10-15 | 2026-10-20 | -0.18 | 6 |
| 2025-12-16 | 2025-12-16 | -0.09 | 1 |
| 2026-01-09 | 2026-01-09 | -0.09 | 1 |
| 2026-01-26 | 2026-01-26 | -0.09 | 1 |
| 2026-02-26 | 2026-03-03 | -0.09 | 6 |