| Metric | SPY | VARBX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 46.0% |
| Cumulative Return | 204.97% | 37.65% |
| CAGR﹪ | 16.25% | 4.41% |
| Sharpe | 0.72 | 0.65 |
| Prob. Sharpe Ratio | 97.45% | 94.24% |
| Smart Sharpe | 0.63 | 0.48 |
| Sortino | 1.02 | 0.86 |
| Smart Sortino | 0.88 | 0.63 |
| Sortino/√2 | 0.72 | 0.61 |
| Smart Sortino/√2 | 0.62 | 0.45 |
| Omega | 1.18 | 1.77 |
| Max Drawdown | -33.72% | -5.12% |
| Max DD Date | 2020-03-23 | 2020-03-16 |
| Max DD Period Start | 2020-02-20 | 2020-02-24 |
| Max DD Period End | 2020-08-07 | 2020-11-20 |
| Longest DD Days | 708 | 368 |
| Volatility (ann.) | 19.45% | 2.25% |
| R^2 | 0.19 | 0.19 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.48 | 0.86 |
| Skew | -0.29 | -5.12 |
| Kurtosis | 13.94 | 135.85 |
| Ulcer Performance Index | 25.91 | 49.62 |
| Risk-Adjusted Return | 16.25% | 9.59% |
| Risk-Return Ratio | 0.05 | 0.12 |
| Avg. Return | 0.08% | 0.04% |
| Avg. Win | 1.0% | 0.13% |
| Avg. Loss | -1.34% | -0.17% |
| Win/Loss Ratio | 0.75 | 0.78 |
| Profit Ratio | 0.78 | 0.05 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.36% |
| Expected Yearly | 14.96% | 4.07% |
| Kelly Criterion | -4.77% | 25.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.22% |
| Expected Shortfall (cVaR) | -3.2% | -0.55% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.18 | 0.77 |
| Gain/Pain (1M) | 1.15 | 5.07 |
| Payoff Ratio | 0.75 | 0.78 |
| Profit Factor | 1.18 | 1.77 |
| Common Sense Ratio | 1.13 | 3.4 |
| CPC Index | 0.49 | 0.93 |
| Tail Ratio | 0.96 | 1.92 |
| Outlier Win Ratio | 3.69 | 7.75 |
| Outlier Loss Ratio | 4.12 | 2.08 |
| 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.) | 16.25% | 4.41% |
| All-time (ann.) | 16.25% | 4.41% |
| Best Day | 10.5% | 1.7% |
| Worst Day | -10.94% | -3.01% |
| Best Month | 12.7% | 3.23% |
| Worst Month | -12.49% | -2.1% |
| Best Year | 28.73% | 6.05% |
| Worst Year | -18.18% | 2.51% |
| Avg. Drawdown | -1.79% | -0.25% |
| Avg. Drawdown Days | 16 | 14 |
| Recovery Factor | 3.72 | 6.27 |
| Ulcer Index | 0.08 | 0.01 |
| Serenity Index | 1.03 | 2.95 |
| Avg. Up Month | 4.16% | 0.51% |
| Avg. Down Month | -6.59% | -0.46% |
| Win Days | 55.15% | 67.22% |
| Win Month | 65.56% | 85.56% |
| Win Quarter | 77.42% | 90.32% |
| Win Year | 87.5% | 100.0% |
| Beta | - | 0.05 |
| Alpha | - | 0.03 |
| Correlation | - | 43.7% |
| Treynor Ratio | - | 744.04% |
| Year | SPY | VARBX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 2.55 | 0.16 | - |
| 2020 | 18.33 | 4.00 | 0.22 | - |
| 2021 | 28.73 | 5.42 | 0.19 | - |
| 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 |
|---|---|---|---|
| 2020-02-24 | 2020-11-20 | -5.12 | 271 |
| 2021-02-22 | 2022-02-24 | -2.88 | 368 |
| 2022-04-20 | 2022-10-13 | -1.79 | 177 |
| 2021-01-26 | 2021-02-01 | -1.33 | 7 |
| 2023-05-02 | 2023-07-31 | -1.02 | 91 |
| 2023-03-01 | 2023-04-12 | -0.74 | 43 |
| 2025-06-23 | 2025-09-03 | -0.64 | 73 |
| 2025-04-03 | 2025-04-21 | -0.56 | 19 |
| 2020-12-29 | 2021-01-06 | -0.46 | 9 |
| 2021-01-15 | 2021-01-19 | -0.36 | 5 |