| Metric | SPY | ARBFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 78.0% |
| Cumulative Return | 74.99% | 20.62% |
| CAGR﹪ | 11.91% | 3.84% |
| Sharpe | 0.52 | -0.01 |
| Prob. Sharpe Ratio | 87.6% | 49.26% |
| Smart Sharpe | 0.5 | -0.01 |
| Sortino | 0.74 | -0.01 |
| Smart Sortino | 0.72 | -0.01 |
| Sortino/√2 | 0.53 | -0.01 |
| Smart Sortino/√2 | 0.51 | -0.01 |
| Omega | 1.14 | 1.23 |
| Max Drawdown | -24.5% | -5.63% |
| Max DD Date | 2022-10-12 | 2022-06-16 |
| Max DD Period Start | 2022-01-04 | 2022-04-21 |
| Max DD Period End | 2023-12-12 | 2023-07-18 |
| Longest DD Days | 708 | 454 |
| Volatility (ann.) | 17.19% | 3.49% |
| R^2 | 0.34 | 0.34 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.68 |
| Skew | 0.33 | -0.45 |
| Kurtosis | 8.98 | 6.88 |
| Ulcer Performance Index | 8.86 | 17.7 |
| Risk-Adjusted Return | 11.91% | 4.93% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.94% | 0.2% |
| Avg. Loss | -1.02% | -0.21% |
| Win/Loss Ratio | 0.92 | 0.95 |
| Profit Ratio | 0.86 | 0.33 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.92% | 0.31% |
| Expected Yearly | 9.77% | 3.17% |
| Kelly Criterion | 2.75% | 10.1% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.35% |
| Expected Shortfall (cVaR) | -2.58% | -0.59% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.14 | 0.23 |
| Gain/Pain (1M) | 0.79 | 1.49 |
| Payoff Ratio | 0.92 | 0.95 |
| Profit Factor | 1.14 | 1.23 |
| Common Sense Ratio | 1.15 | 1.28 |
| CPC Index | 0.56 | 0.66 |
| Tail Ratio | 1.0 | 1.04 |
| Outlier Win Ratio | 3.4 | 4.7 |
| Outlier Loss Ratio | 3.8 | 3.41 |
| MTD | 1.47% | 0.07% |
| 3M | 1.46% | 1.97% |
| 6M | 6.94% | 2.8% |
| YTD | 13.33% | 3.79% |
| 1Y | 13.43% | 5.71% |
| 3Y (ann.) | 20.78% | 5.4% |
| 5Y (ann.) | 12.86% | 4.1% |
| 10Y (ann.) | 11.91% | 3.84% |
| All-time (ann.) | 11.91% | 3.84% |
| Best Day | 10.5% | 1.27% |
| Worst Day | -5.85% | -1.37% |
| Best Month | 10.51% | 2.41% |
| Worst Month | -9.24% | -2.29% |
| Best Year | 26.18% | 8.01% |
| Worst Year | -18.18% | -1.02% |
| Avg. Drawdown | -1.94% | -0.38% |
| Avg. Drawdown Days | 21 | 16 |
| Recovery Factor | 2.58 | 3.39 |
| Ulcer Index | 0.08 | 0.01 |
| Serenity Index | 0.43 | 1.21 |
| Avg. Up Month | 4.01% | 0.79% |
| Avg. Down Month | -4.66% | -0.73% |
| Win Days | 53.48% | 56.19% |
| Win Month | 62.3% | 73.33% |
| Win Quarter | 71.43% | 76.19% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.12 |
| Alpha | - | 0.02 |
| Correlation | - | 58.04% |
| Treynor Ratio | - | 174.88% |
| Year | SPY | ARBFX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -0.01 | -0.01 | - |
| 2022 | -18.18 | -1.02 | 0.06 | + |
| 2023 | 26.18 | 5.94 | 0.23 | - |
| 2024 | 24.89 | 2.62 | 0.11 | - |
| 2025 | 17.72 | 8.01 | 0.45 | - |
| 2026 | 13.33 | 3.79 | 0.28 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-04-21 | 2023-07-18 | -5.63 | 454 |
| 2024-04-04 | 2024-07-19 | -2.26 | 107 |
| 2021-11-08 | 2022-04-01 | -2.20 | 145 |
| 2024-11-08 | 2025-01-13 | -2.13 | 67 |
| 2025-03-27 | 2025-05-09 | -1.82 | 44 |
| 2024-08-19 | 2024-10-08 | -1.31 | 51 |
| 2023-10-17 | 2023-11-13 | -1.19 | 28 |
| 2024-08-01 | 2024-08-12 | -0.93 | 12 |
| 2026-02-27 | 2026-04-07 | -0.88 | 40 |
| 2023-12-28 | 2024-02-29 | -0.87 | 64 |