| Metric | SPY | ARBFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 73.0% |
| Cumulative Return | 14.39% | 5.33% |
| CAGR﹪ | 14.51% | 5.37% |
| Sharpe | 0.83 | 0.84 |
| Prob. Sharpe Ratio | 79.61% | 80.38% |
| Smart Sharpe | 0.82 | 0.74 |
| Sortino | 1.22 | 1.33 |
| Smart Sortino | 1.2 | 1.17 |
| Sortino/√2 | 0.86 | 0.94 |
| Smart Sortino/√2 | 0.85 | 0.83 |
| Omega | 1.2 | 1.64 |
| Max Drawdown | -8.88% | -0.88% |
| Max DD Date | 2026-03-30 | 2026-03-12 |
| Max DD Period Start | 2026-01-28 | 2026-02-27 |
| Max DD Period End | 2026-04-13 | 2026-04-07 |
| Longest DD Days | 76 | 40 |
| Volatility (ann.) | 12.86% | 1.89% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.63 | 6.08 |
| Skew | -0.02 | 0.9 |
| Kurtosis | 0.78 | 4.69 |
| Ulcer Performance Index | 6.68 | 26.07 |
| Risk-Adjusted Return | 14.51% | 7.36% |
| Risk-Return Ratio | 0.07 | 0.18 |
| Avg. Return | 0.04% | 0.03% |
| Avg. Win | 0.75% | 0.13% |
| Avg. Loss | -0.8% | -0.12% |
| Win/Loss Ratio | 0.93 | 1.09 |
| Profit Ratio | 1.02 | 0.27 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.04% | 0.4% |
| Expected Yearly | 6.95% | 2.63% |
| Kelly Criterion | 0.66% | 23.56% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.17% |
| Expected Shortfall (cVaR) | -1.66% | -0.23% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.2 | 0.64 |
| Gain/Pain (1M) | 1.83 | 35.79 |
| Payoff Ratio | 0.93 | 1.09 |
| Profit Factor | 1.2 | 1.64 |
| Common Sense Ratio | 1.19 | 2.42 |
| CPC Index | 0.58 | 1.07 |
| Tail Ratio | 0.99 | 1.48 |
| Outlier Win Ratio | 2.84 | 3.89 |
| Outlier Loss Ratio | 3.01 | 1.95 |
| MTD | 1.47% | 0.07% |
| 3M | 1.46% | 1.97% |
| 6M | 6.94% | 2.8% |
| YTD | 13.33% | 3.79% |
| 1Y | 14.39% | 5.33% |
| 3Y (ann.) | 14.51% | 5.37% |
| 5Y (ann.) | 14.51% | 5.37% |
| 10Y (ann.) | 14.51% | 5.37% |
| All-time (ann.) | 14.51% | 5.37% |
| Best Day | 2.91% | 0.73% |
| Worst Day | -2.58% | -0.29% |
| Best Month | 10.51% | 0.8% |
| Worst Month | -4.94% | -0.15% |
| Best Year | 13.33% | 3.79% |
| Worst Year | 0.94% | 1.48% |
| Avg. Drawdown | -1.74% | -0.19% |
| Avg. Drawdown Days | 14 | 7 |
| Recovery Factor | 1.61 | 5.89 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 0.94 | 5.14 |
| Avg. Up Month | 2.8% | 0.35% |
| Avg. Down Month | -4.94% | -0.15% |
| Win Days | 52.0% | 60.22% |
| Win Month | 61.54% | 92.31% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.06 |
| Alpha | - | 0.04 |
| Correlation | - | 42.3% |
| Treynor Ratio | - | 85.9% |
| Year | SPY | ARBFX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.48 | 1.58 | + |
| 2026 | 13.33 | 3.79 | 0.28 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-27 | 2026-04-07 | -0.88 | 40 |
| 2026-01-23 | 2026-02-09 | -0.44 | 18 |
| 2026-07-17 | 2026-08-05 | -0.36 | 20 |
| 2025-11-17 | 2025-11-20 | -0.36 | 4 |
| 2026-09-08 | 2026-09-18 | -0.36 | 11 |
| 2026-04-21 | 2026-05-19 | -0.29 | 29 |
| 2026-06-05 | 2026-06-11 | -0.22 | 7 |
| 2026-06-16 | 2026-06-18 | -0.22 | 3 |
| 2025-11-26 | 2025-12-02 | -0.22 | 7 |
| 2026-10-07 | 2026-10-20 | -0.22 | 14 |