| Metric | SPY | VARBX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 42.0% |
| Cumulative Return | 86.61% | 22.93% |
| CAGR﹪ | 13.38% | 4.24% |
| Sharpe | 0.6 | 0.31 |
| Prob. Sharpe Ratio | 90.86% | 75.5% |
| Smart Sharpe | 0.58 | 0.27 |
| Sortino | 0.86 | 0.45 |
| Smart Sortino | 0.83 | 0.39 |
| Sortino/√2 | 0.61 | 0.32 |
| Smart Sortino/√2 | 0.59 | 0.28 |
| Omega | 1.16 | 2.18 |
| 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 | 2022-10-13 |
| Longest DD Days | 708 | 177 |
| Volatility (ann.) | 17.21% | 1.17% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 2.38 |
| Skew | 0.32 | -0.38 |
| Kurtosis | 8.94 | 4.78 |
| Ulcer Performance Index | 10.24 | 69.86 |
| Risk-Adjusted Return | 13.38% | 10.1% |
| Risk-Return Ratio | 0.05 | 0.22 |
| Avg. Return | 0.1% | 0.04% |
| Avg. Win | 0.91% | 0.11% |
| Avg. Loss | -1.18% | -0.12% |
| Win/Loss Ratio | 0.77 | 0.91 |
| Profit Ratio | 0.83 | 0.04 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.34% |
| Expected Yearly | 10.96% | 3.5% |
| Kelly Criterion | -5.59% | 37.8% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.1% |
| Expected Shortfall (cVaR) | -2.58% | -0.25% |
| Max Consecutive Wins | 10 | 5 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.16 | 1.18 |
| Gain/Pain (1M) | 0.87 | 10.54 |
| Payoff Ratio | 0.77 | 0.91 |
| Profit Factor | 1.16 | 2.18 |
| Common Sense Ratio | 1.17 | 2.19 |
| CPC Index | 0.48 | 1.39 |
| Tail Ratio | 1.01 | 1.01 |
| Outlier Win Ratio | 3.41 | 5.45 |
| Outlier Loss Ratio | 3.77 | 1.67 |
| MTD | 1.09% | 0.18% |
| 3M | 3.84% | 1.21% |
| 6M | 19.87% | 2.35% |
| YTD | 14.32% | 3.03% |
| 1Y | 17.8% | 4.9% |
| 3Y (ann.) | 24.9% | 5.41% |
| 5Y (ann.) | 13.12% | 4.25% |
| 10Y (ann.) | 13.38% | 4.24% |
| All-time (ann.) | 13.38% | 4.24% |
| 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% | 0.68% |
| Avg. Drawdown | -1.89% | -0.16% |
| Avg. Drawdown Days | 20 | 9 |
| Recovery Factor | 2.85 | 11.58 |
| Ulcer Index | 0.08 | 0.0 |
| Serenity Index | 0.47 | 4.67 |
| Avg. Up Month | 4.05% | 0.43% |
| Avg. Down Month | -7.43% | -0.16% |
| Win Days | 54.08% | 70.38% |
| Win Month | 63.93% | 90.16% |
| Win Quarter | 66.67% | 95.24% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.02 |
| Alpha | - | 0.04 |
| Correlation | - | 31.06% |
| Treynor Ratio | - | 1086.03% |
| Year | SPY | VARBX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 0.68 | 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 | 14.32 | 3.03 | 0.21 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-04-20 | 2022-10-13 | -1.79 | 177 |
| 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 | 2025-04-21 | -0.56 | 19 |
| 2022-01-13 | 2022-02-07 | -0.47 | 26 |
| 2022-02-11 | 2022-02-24 | -0.38 | 14 |
| 2021-12-09 | 2021-12-27 | -0.28 | 19 |
| 2026-02-03 | 2026-02-06 | -0.28 | 4 |
| 2026-02-11 | 2026-03-18 | -0.19 | 36 |