| Metric | SPY | ARBFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 76.0% |
| Cumulative Return | 204.97% | 31.09% |
| CAGR﹪ | 16.25% | 3.72% |
| Sharpe | 0.72 | 0.19 |
| Prob. Sharpe Ratio | 97.45% | 68.84% |
| Smart Sharpe | 0.63 | 0.16 |
| Sortino | 1.02 | 0.24 |
| Smart Sortino | 0.88 | 0.21 |
| Sortino/√2 | 0.72 | 0.17 |
| Smart Sortino/√2 | 0.62 | 0.15 |
| Omega | 1.18 | 1.22 |
| Max Drawdown | -33.72% | -11.9% |
| Max DD Date | 2020-03-23 | 2020-03-18 |
| Max DD Period Start | 2020-02-20 | 2020-02-21 |
| Max DD Period End | 2020-08-07 | 2020-05-05 |
| Longest DD Days | 708 | 897 |
| Volatility (ann.) | 19.45% | 4.85% |
| R^2 | 0.35 | 0.35 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.48 | 0.31 |
| Skew | -0.29 | -4.81 |
| Kurtosis | 13.94 | 128.93 |
| Ulcer Performance Index | 25.91 | 15.25 |
| Risk-Adjusted Return | 16.25% | 4.9% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.98% | 0.21% |
| Avg. Loss | -1.13% | -0.23% |
| Win/Loss Ratio | 0.86 | 0.89 |
| Profit Ratio | 0.78 | 0.28 |
| Expected Daily | 0.06% | 0.01% |
| Expected Monthly | 1.25% | 0.3% |
| Expected Yearly | 14.96% | 3.44% |
| Kelly Criterion | 3.27% | 8.65% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.49% |
| Expected Shortfall (cVaR) | -3.2% | -1.11% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.18 | 0.22 |
| Gain/Pain (1M) | 1.15 | 1.48 |
| Payoff Ratio | 0.86 | 0.89 |
| Profit Factor | 1.18 | 1.22 |
| Common Sense Ratio | 1.13 | 1.29 |
| CPC Index | 0.56 | 0.62 |
| Tail Ratio | 0.96 | 1.06 |
| Outlier Win Ratio | 3.69 | 5.98 |
| Outlier Loss Ratio | 4.12 | 3.75 |
| 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.) | 16.25% | 3.72% |
| All-time (ann.) | 16.25% | 3.72% |
| Best Day | 10.5% | 3.57% |
| Worst Day | -10.94% | -6.38% |
| Best Month | 12.7% | 3.42% |
| Worst Month | -12.49% | -2.78% |
| Best Year | 28.73% | 8.01% |
| Worst Year | -18.18% | -1.02% |
| Avg. Drawdown | -1.79% | -0.41% |
| Avg. Drawdown Days | 16 | 17 |
| Recovery Factor | 3.72 | 2.35 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 1.03 | 0.86 |
| Avg. Up Month | 4.34% | 0.79% |
| Avg. Down Month | -5.36% | -0.89% |
| Win Days | 55.15% | 56.98% |
| Win Month | 65.56% | 73.03% |
| Win Quarter | 77.42% | 74.19% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.15 |
| Alpha | - | 0.01 |
| Correlation | - | 59.01% |
| Treynor Ratio | - | 211.2% |
| Year | SPY | ARBFX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 2.20 | 0.13 | - |
| 2020 | 18.33 | 5.43 | 0.30 | - |
| 2021 | 28.73 | 0.85 | 0.03 | - |
| 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 |
|---|---|---|---|
| 2020-02-21 | 2020-05-05 | -11.90 | 75 |
| 2021-06-07 | 2023-11-20 | -7.64 | 897 |
| 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 |
| 2020-06-10 | 2020-07-14 | -1.30 | 35 |
| 2021-02-17 | 2021-03-25 | -1.08 | 37 |
| 2024-08-01 | 2024-08-12 | -0.93 | 12 |
| 2026-02-27 | 2026-04-07 | -0.88 | 40 |