| Metric | SPY | VARBX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 42.0% |
| Cumulative Return | 17.89% | 4.8% |
| CAGR﹪ | 18.12% | 4.86% |
| Sharpe | 1.04 | 0.75 |
| Prob. Sharpe Ratio | 84.76% | 77.22% |
| Smart Sharpe | 1.01 | 0.61 |
| Sortino | 1.51 | 1.16 |
| Smart Sortino | 1.47 | 0.94 |
| Sortino/√2 | 1.07 | 0.82 |
| Smart Sortino/√2 | 1.04 | 0.67 |
| Omega | 1.25 | 2.66 |
| 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 | 36 |
| Volatility (ann.) | 13.02% | 1.02% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 2.04 | 17.15 |
| Skew | -0.15 | 0.06 |
| Kurtosis | 1.03 | 0.6 |
| Ulcer Performance Index | 8.29 | 86.85 |
| Risk-Adjusted Return | 18.12% | 11.57% |
| Risk-Return Ratio | 0.08 | 0.29 |
| Avg. Return | 0.14% | 0.05% |
| Avg. Win | 0.75% | 0.1% |
| Avg. Loss | -0.77% | -0.1% |
| Win/Loss Ratio | 0.98 | 0.97 |
| Profit Ratio | 0.92 | 0.05 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.27% | 0.36% |
| Expected Yearly | 8.58% | 2.37% |
| Kelly Criterion | 6.59% | 42.95% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.09% |
| Expected Shortfall (cVaR) | -1.72% | -0.1% |
| Max Consecutive Wins | 7 | 4 |
| Max Consecutive Losses | 4 | 2 |
| Gain/Pain Ratio | 0.25 | 1.66 |
| Gain/Pain (1M) | 2.61 | - |
| Payoff Ratio | 0.98 | 0.97 |
| Profit Factor | 1.25 | 2.66 |
| Common Sense Ratio | 1.24 | 2.7 |
| CPC Index | 0.66 | 1.87 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 2.88 | 5.43 |
| Outlier Loss Ratio | 3.17 | 0.97 |
| MTD | 1.09% | 0.18% |
| 3M | 3.84% | 1.21% |
| 6M | 19.87% | 2.35% |
| YTD | 14.32% | 3.03% |
| 1Y | 17.89% | 4.8% |
| 3Y (ann.) | 18.12% | 4.86% |
| 5Y (ann.) | 18.12% | 4.86% |
| 10Y (ann.) | 18.12% | 4.86% |
| All-time (ann.) | 18.12% | 4.86% |
| Best Day | 2.91% | 0.19% |
| Worst Day | -2.7% | -0.19% |
| Best Month | 10.51% | 0.91% |
| Worst Month | -4.94% | 0.0% |
| Best Year | 14.32% | 3.03% |
| Worst Year | 3.13% | 1.71% |
| Avg. Drawdown | -1.71% | -0.11% |
| Avg. Drawdown Days | 13 | 5 |
| Recovery Factor | 1.95 | 16.57 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 1.16 | 27.04 |
| Avg. Up Month | 2.42% | 0.39% |
| Avg. Down Month | - | - |
| Win Days | 53.82% | 71.84% |
| Win Month | 76.92% | 100.0% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.02 |
| Alpha | - | 0.04 |
| Correlation | - | 23.66% |
| Treynor Ratio | - | 259.02% |
| Year | SPY | VARBX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 1.71 | 0.55 | - |
| 2026 | 14.32 | 3.03 | 0.21 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-03 | 2026-02-06 | -0.28 | 4 |
| 2026-02-11 | 2026-03-18 | -0.19 | 36 |
| 2026-07-08 | 2026-07-09 | -0.19 | 2 |
| 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 |
| 2026-05-13 | 2026-05-13 | -0.09 | 1 |
| 2026-05-18 | 2026-05-18 | -0.09 | 1 |
| 2026-06-10 | 2026-06-11 | -0.09 | 2 |
| 2026-06-17 | 2026-06-17 | -0.09 | 1 |