| Metric | SPY | ARBFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 72.0% |
| Cumulative Return | 17.87% | 5.57% |
| CAGR﹪ | 18.02% | 5.62% |
| Sharpe | 1.04 | 0.77 |
| Prob. Sharpe Ratio | 84.73% | 78.24% |
| Smart Sharpe | 1.01 | 0.69 |
| Sortino | 1.51 | 1.22 |
| Smart Sortino | 1.47 | 1.09 |
| Sortino/√2 | 1.07 | 0.86 |
| Smart Sortino/√2 | 1.04 | 0.77 |
| Omega | 1.25 | 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.) | 12.99% | 1.98% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 2.03 | 6.35 |
| Skew | -0.15 | 0.83 |
| Kurtosis | 1.05 | 3.86 |
| Ulcer Performance Index | 8.3 | 26.57 |
| Risk-Adjusted Return | 18.02% | 7.8% |
| Risk-Return Ratio | 0.08 | 0.17 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.77% | 0.13% |
| Avg. Loss | -0.82% | -0.13% |
| Win/Loss Ratio | 0.94 | 1.06 |
| Profit Ratio | 0.94 | 0.26 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.27% | 0.42% |
| Expected Yearly | 8.57% | 2.75% |
| Kelly Criterion | 4.38% | 22.37% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.18% |
| Expected Shortfall (cVaR) | -1.72% | -0.23% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.25 | 0.64 |
| Gain/Pain (1M) | 2.6 | 37.38 |
| Payoff Ratio | 0.94 | 1.06 |
| Profit Factor | 1.25 | 1.64 |
| Common Sense Ratio | 1.24 | 2.45 |
| CPC Index | 0.63 | 1.04 |
| Tail Ratio | 0.99 | 1.49 |
| Outlier Win Ratio | 2.88 | 4.26 |
| Outlier Loss Ratio | 3.19 | 1.85 |
| MTD | 1.08% | 0.87% |
| 3M | 3.82% | 2.06% |
| 6M | 19.85% | 2.74% |
| YTD | 14.3% | 3.2% |
| 1Y | 17.87% | 5.57% |
| 3Y (ann.) | 18.02% | 5.62% |
| 5Y (ann.) | 18.02% | 5.62% |
| 10Y (ann.) | 18.02% | 5.62% |
| All-time (ann.) | 18.02% | 5.62% |
| Best Day | 2.91% | 0.73% |
| Worst Day | -2.7% | -0.29% |
| Best Month | 10.51% | 1.17% |
| Worst Month | -4.94% | -0.15% |
| Best Year | 14.3% | 3.2% |
| Worst Year | 3.13% | 2.3% |
| Avg. Drawdown | -1.71% | -0.2% |
| Avg. Drawdown Days | 13 | 8 |
| Recovery Factor | 1.94 | 6.15 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 1.16 | 5.48 |
| Avg. Up Month | 2.41% | 0.44% |
| Avg. Down Month | -4.94% | -0.15% |
| Win Days | 53.6% | 60.11% |
| Win Month | 76.92% | 92.31% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.06 |
| Alpha | - | 0.04 |
| Correlation | - | 42.41% |
| Treynor Ratio | - | 86.3% |
| Year | SPY | ARBFX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 2.30 | 0.74 | - |
| 2026 | 14.30 | 3.20 | 0.22 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-27 | 2026-04-07 | -0.88 | 40 |
| 2026-01-23 | 2026-02-09 | -0.44 | 18 |
| 2025-10-02 | 2025-10-29 | -0.37 | 28 |
| 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 |