| Metric | SPY | ARBFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 79.0% |
| Cumulative Return | 86.58% | 19.55% |
| CAGR﹪ | 13.36% | 3.66% |
| Sharpe | 0.59 | -0.04 |
| Prob. Sharpe Ratio | 90.85% | 46.42% |
| Smart Sharpe | 0.58 | -0.04 |
| Sortino | 0.86 | -0.06 |
| Smart Sortino | 0.83 | -0.05 |
| Sortino/√2 | 0.61 | -0.04 |
| Smart Sortino/√2 | 0.59 | -0.04 |
| Omega | 1.16 | 1.22 |
| Max Drawdown | -24.5% | -6.14% |
| Max DD Date | 2022-10-12 | 2022-06-16 |
| Max DD Period Start | 2022-01-04 | 2021-10-04 |
| Max DD Period End | 2023-12-12 | 2023-08-25 |
| Longest DD Days | 708 | 691 |
| Volatility (ann.) | 17.2% | 3.52% |
| R^2 | 0.33 | 0.33 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 0.6 |
| Skew | 0.32 | -0.43 |
| Kurtosis | 8.95 | 6.63 |
| Ulcer Performance Index | 10.24 | 13.69 |
| Risk-Adjusted Return | 13.36% | 4.63% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.94% | 0.2% |
| Avg. Loss | -1.03% | -0.21% |
| Win/Loss Ratio | 0.91 | 0.95 |
| Profit Ratio | 0.83 | 0.34 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.03% | 0.29% |
| Expected Yearly | 10.95% | 3.02% |
| Kelly Criterion | 3.67% | 9.3% |
| 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 | 0.16 | 0.22 |
| Gain/Pain (1M) | 0.87 | 1.36 |
| Payoff Ratio | 0.91 | 0.95 |
| Profit Factor | 1.16 | 1.22 |
| Common Sense Ratio | 1.17 | 1.27 |
| CPC Index | 0.57 | 0.65 |
| Tail Ratio | 1.01 | 1.04 |
| Outlier Win Ratio | 3.41 | 4.65 |
| Outlier Loss Ratio | 3.77 | 3.38 |
| MTD | 1.08% | 0.87% |
| 3M | 3.82% | 2.06% |
| 6M | 19.85% | 2.74% |
| YTD | 14.3% | 3.2% |
| 1Y | 17.78% | 5.49% |
| 3Y (ann.) | 24.86% | 6.19% |
| 5Y (ann.) | 13.06% | 3.75% |
| 10Y (ann.) | 13.36% | 3.66% |
| All-time (ann.) | 13.36% | 3.66% |
| 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 | -1.89% | -0.39% |
| Avg. Drawdown Days | 20 | 19 |
| Recovery Factor | 2.85 | 2.96 |
| Ulcer Index | 0.08 | 0.01 |
| Serenity Index | 0.47 | 0.81 |
| Avg. Up Month | 4.09% | 0.79% |
| Avg. Down Month | -4.37% | -0.71% |
| Win Days | 54.04% | 55.83% |
| Win Month | 63.93% | 71.67% |
| Win Quarter | 66.67% | 71.43% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.12 |
| Alpha | - | 0.02 |
| Correlation | - | 57.84% |
| Treynor Ratio | - | 165.3% |
| Year | SPY | ARBFX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -0.32 | -0.04 | - |
| 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 | 14.30 | 3.20 | 0.22 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-04 | 2023-08-25 | -6.14 | 691 |
| 2024-04-04 | 2024-07-15 | -2.26 | 103 |
| 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 |
| 2025-03-03 | 2025-03-18 | -0.76 | 16 |