| Metric | SPY | VARBX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 44.0% |
| Cumulative Return | 18.62% | 2.35% |
| CAGR﹪ | 41.09% | 4.8% |
| Sharpe | 2.33 | 1.04 |
| Prob. Sharpe Ratio | 95.05% | 76.53% |
| Smart Sharpe | 2.31 | 0.72 |
| Sortino | 3.8 | 1.57 |
| Smart Sortino | 3.76 | 1.09 |
| Sortino/√2 | 2.69 | 1.11 |
| Smart Sortino/√2 | 2.66 | 0.77 |
| Omega | 1.54 | 2.57 |
| Max Drawdown | -4.49% | -0.19% |
| Max DD Date | 2026-06-10 | 2026-07-08 |
| Max DD Period Start | 2026-06-03 | 2026-07-08 |
| Max DD Period End | 2026-07-31 | 2026-07-09 |
| Longest DD Days | 59 | 7 |
| Volatility (ann.) | 13.6% | 1.01% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | -0.14 | -0.14 |
| Calmar | 9.14 | 25.91 |
| Skew | 0.1 | -0.12 |
| Kurtosis | 1.09 | 0.35 |
| Ulcer Performance Index | 11.83 | 57.77 |
| Risk-Adjusted Return | 41.09% | 10.91% |
| Risk-Return Ratio | 0.16 | 0.29 |
| Avg. Return | 0.24% | 0.04% |
| Avg. Win | 0.86% | 0.1% |
| Avg. Loss | -0.74% | -0.1% |
| Win/Loss Ratio | 1.16 | 0.95 |
| Profit Ratio | 1.08 | 0.05 |
| Expected Daily | 0.14% | 0.02% |
| Expected Monthly | 2.47% | 0.33% |
| Expected Yearly | 18.62% | 2.35% |
| Kelly Criterion | 15.1% | 42.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.27% | -0.09% |
| Expected Shortfall (cVaR) | -1.77% | -0.1% |
| Max Consecutive Wins | 7 | 2 |
| Max Consecutive Losses | 4 | 1 |
| Gain/Pain Ratio | 0.54 | 1.57 |
| Gain/Pain (1M) | 10.93 | - |
| Payoff Ratio | 1.16 | 0.95 |
| Profit Factor | 1.54 | 2.57 |
| Common Sense Ratio | 2.01 | 2.6 |
| CPC Index | 0.97 | 1.76 |
| Tail Ratio | 1.31 | 1.01 |
| Outlier Win Ratio | 3.22 | 4.71 |
| Outlier Loss Ratio | 3.1 | 0.95 |
| MTD | 1.09% | 0.18% |
| 3M | 3.84% | 1.21% |
| 6M | 18.62% | 2.35% |
| YTD | 18.62% | 2.35% |
| 1Y | 18.62% | 2.35% |
| 3Y (ann.) | 41.09% | 4.8% |
| 5Y (ann.) | 41.09% | 4.8% |
| 10Y (ann.) | 41.09% | 4.8% |
| All-time (ann.) | 41.09% | 4.8% |
| Best Day | 2.91% | 0.19% |
| Worst Day | -2.58% | -0.19% |
| Best Month | 10.51% | 0.47% |
| Worst Month | -1.03% | 0.18% |
| Best Year | 18.62% | 2.35% |
| Worst Year | 18.62% | 2.35% |
| Avg. Drawdown | -1.13% | -0.1% |
| Avg. Drawdown Days | 9 | 2 |
| Recovery Factor | 3.9 | 12.57 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 2.75 | 37.42 |
| Avg. Up Month | 3.91% | 0.35% |
| Avg. Down Month | - | - |
| Win Days | 54.4% | 72.22% |
| Win Month | 71.43% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.02 |
| Alpha | - | 0.04 |
| Correlation | - | 25.03% |
| Treynor Ratio | - | 126.86% |
| Year | SPY | VARBX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.62 | 2.35 | 0.13 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-08 | 2026-07-09 | -0.19 | 2 |
| 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 |
| 2026-06-29 | 2026-06-29 | -0.09 | 1 |
| 2026-07-15 | 2026-07-15 | -0.09 | 1 |
| 2026-07-23 | 2026-07-27 | -0.09 | 5 |
| 2026-07-29 | 2026-07-29 | -0.09 | 1 |
| 2026-07-31 | 2026-08-03 | -0.09 | 4 |