| Metric | SPY | VARBX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 42.0% |
| Cumulative Return | 74.99% | 22.62% |
| CAGR﹪ | 11.91% | 4.19% |
| Sharpe | 0.52 | 0.21 |
| Prob. Sharpe Ratio | 87.6% | 68.1% |
| Smart Sharpe | 0.5 | 0.18 |
| Sortino | 0.74 | 0.3 |
| Smart Sortino | 0.72 | 0.27 |
| Sortino/√2 | 0.53 | 0.22 |
| Smart Sortino/√2 | 0.51 | 0.19 |
| Omega | 1.14 | 2.16 |
| Max Drawdown | -24.5% | -1.79% |
| Max DD Date | 2022-10-12 | 2022-06-14 |
| Max DD Period Start | 2022-01-04 | 2022-04-20 |
| Max DD Period End | 2023-12-12 | 2022-10-17 |
| Longest DD Days | 708 | 181 |
| Volatility (ann.) | 17.19% | 1.18% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 2.34 |
| Skew | 0.33 | -0.34 |
| Kurtosis | 8.98 | 4.79 |
| Ulcer Performance Index | 8.86 | 68.89 |
| Risk-Adjusted Return | 11.91% | 9.97% |
| Risk-Return Ratio | 0.05 | 0.22 |
| Avg. Return | 0.1% | 0.04% |
| Avg. Win | 0.92% | 0.11% |
| Avg. Loss | -1.2% | -0.12% |
| Win/Loss Ratio | 0.77 | 0.9 |
| Profit Ratio | 0.86 | 0.04 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.33% |
| Expected Yearly | 9.77% | 3.46% |
| Kelly Criterion | -6.97% | 37.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.11% |
| Expected Shortfall (cVaR) | -2.58% | -0.25% |
| Max Consecutive Wins | 10 | 5 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.14 | 1.16 |
| Gain/Pain (1M) | 0.79 | 10.41 |
| Payoff Ratio | 0.77 | 0.9 |
| Profit Factor | 1.14 | 2.16 |
| Common Sense Ratio | 1.15 | 2.18 |
| CPC Index | 0.47 | 1.37 |
| Tail Ratio | 1.0 | 1.01 |
| Outlier Win Ratio | 3.4 | 5.5 |
| Outlier Loss Ratio | 3.8 | 1.66 |
| MTD | 1.47% | 0.18% |
| 3M | 1.46% | 0.83% |
| 6M | 6.94% | 1.96% |
| YTD | 13.33% | 3.32% |
| 1Y | 13.43% | 3.86% |
| 3Y (ann.) | 20.78% | 5.23% |
| 5Y (ann.) | 12.86% | 4.23% |
| 10Y (ann.) | 11.91% | 4.19% |
| All-time (ann.) | 11.91% | 4.19% |
| Best Day | 10.5% | 0.47% |
| Worst Day | -5.85% | -0.38% |
| Best Month | 10.51% | 1.02% |
| Worst Month | -9.24% | -0.66% |
| Best Year | 26.18% | 6.05% |
| Worst Year | -18.18% | 0.15% |
| Avg. Drawdown | -1.94% | -0.17% |
| Avg. Drawdown Days | 21 | 9 |
| Recovery Factor | 2.58 | 11.44 |
| Ulcer Index | 0.08 | 0.0 |
| Serenity Index | 0.43 | 4.64 |
| Avg. Up Month | 3.97% | 0.44% |
| Avg. Down Month | -5.8% | -0.12% |
| Win Days | 53.48% | 70.23% |
| Win Month | 62.3% | 88.52% |
| Win Quarter | 71.43% | 95.24% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.02 |
| Alpha | - | 0.04 |
| Correlation | - | 31.2% |
| Treynor Ratio | - | 1060.29% |
| Year | SPY | VARBX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.15 | 0.09 | - |
| 2022 | -18.18 | 2.51 | -0.14 | + |
| 2023 | 26.18 | 3.30 | 0.13 | - |
| 2024 | 24.89 | 5.52 | 0.22 | - |
| 2025 | 17.72 | 6.05 | 0.34 | - |
| 2026 | 13.33 | 3.32 | 0.25 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-04-20 | 2022-10-17 | -1.79 | 181 |
| 2023-05-02 | 2023-07-31 | -1.02 | 91 |
| 2023-03-01 | 2023-04-11 | -0.74 | 42 |
| 2025-06-23 | 2025-09-03 | -0.64 | 73 |
| 2025-04-03 | 2025-04-22 | -0.56 | 20 |
| 2022-01-13 | 2022-02-09 | -0.47 | 28 |
| 2022-02-11 | 2022-02-24 | -0.38 | 14 |
| 2021-12-09 | 2021-12-31 | -0.28 | 23 |
| 2026-02-03 | 2026-02-06 | -0.28 | 4 |
| 2026-10-22 | 2026-11-03 | -0.28 | 13 |