| Metric | SPY | ARBIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 65.0% |
| Cumulative Return | 17.87% | 6.55% |
| CAGR﹪ | 18.02% | 6.6% |
| Sharpe | 1.04 | 1.93 |
| Prob. Sharpe Ratio | 84.73% | 97.09% |
| Smart Sharpe | 1.01 | 1.89 |
| Sortino | 1.51 | 2.9 |
| Smart Sortino | 1.47 | 2.84 |
| Sortino/√2 | 1.07 | 2.05 |
| Smart Sortino/√2 | 1.04 | 2.01 |
| Omega | 1.25 | 2.37 |
| Max Drawdown | -8.88% | -0.75% |
| Max DD Date | 2026-03-30 | 2026-09-17 |
| Max DD Period Start | 2026-01-28 | 2026-07-22 |
| Max DD Period End | 2026-04-13 | 2026-09-22 |
| Longest DD Days | 76 | 63 |
| Volatility (ann.) | 12.99% | 1.27% |
| R^2 | 0.4 | 0.4 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 2.03 | 8.82 |
| Skew | -0.15 | -0.19 |
| Kurtosis | 1.05 | 1.02 |
| Ulcer Performance Index | 8.3 | 36.18 |
| Risk-Adjusted Return | 18.02% | 10.16% |
| Risk-Return Ratio | 0.08 | 0.32 |
| Avg. Return | 0.17% | 0.04% |
| Avg. Win | 0.7% | 0.1% |
| Avg. Loss | -0.87% | -0.1% |
| Win/Loss Ratio | 0.8 | 0.98 |
| Profit Ratio | 0.94 | 0.13 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.27% | 0.49% |
| Expected Yearly | 8.57% | 3.22% |
| Kelly Criterion | -4.09% | 40.91% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.11% |
| Expected Shortfall (cVaR) | -1.72% | -0.18% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.25 | 1.37 |
| Gain/Pain (1M) | 2.6 | 10.83 |
| Payoff Ratio | 0.8 | 0.98 |
| Profit Factor | 1.25 | 2.37 |
| Common Sense Ratio | 1.24 | 4.62 |
| CPC Index | 0.54 | 1.64 |
| Tail Ratio | 0.99 | 1.95 |
| Outlier Win Ratio | 2.88 | 3.18 |
| Outlier Loss Ratio | 3.19 | 1.7 |
| MTD | 1.08% | -0.33% |
| 3M | 3.82% | -0.24% |
| 6M | 19.85% | 3.0% |
| YTD | 14.3% | 4.7% |
| 1Y | 17.87% | 6.55% |
| 3Y (ann.) | 18.02% | 6.6% |
| 5Y (ann.) | 18.02% | 6.6% |
| 10Y (ann.) | 18.02% | 6.6% |
| All-time (ann.) | 18.02% | 6.6% |
| Best Day | 2.91% | 0.34% |
| Worst Day | -2.7% | -0.26% |
| Best Month | 10.51% | 1.54% |
| Worst Month | -4.94% | -0.33% |
| Best Year | 14.3% | 4.7% |
| Worst Year | 3.13% | 1.77% |
| Avg. Drawdown | -1.71% | -0.15% |
| Avg. Drawdown Days | 13 | 6 |
| Recovery Factor | 1.94 | 8.48 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 1.16 | 5.07 |
| Avg. Up Month | 2.91% | 0.83% |
| Avg. Down Month | -4.94% | -0.17% |
| Win Days | 53.6% | 70.81% |
| Win Month | 76.92% | 75.0% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.06 |
| Alpha | - | 0.05 |
| Correlation | - | 63.58% |
| Treynor Ratio | - | 105.28% |
| Year | SPY | ARBIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 1.77 | 0.57 | - |
| 2026 | 14.30 | 4.70 | 0.33 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-22 | 2026-09-22 | -0.75 | 63 |
| 2026-03-12 | 2026-04-07 | -0.51 | 27 |
| 2025-11-13 | 2025-11-25 | -0.33 | 13 |
| 2026-05-15 | 2026-05-21 | -0.25 | 7 |
| 2026-02-04 | 2026-02-06 | -0.17 | 3 |
| 2025-10-10 | 2025-10-14 | -0.17 | 5 |
| 2026-06-05 | 2026-06-10 | -0.17 | 6 |
| 2026-01-23 | 2026-01-23 | -0.09 | 1 |
| 2025-12-16 | 2025-12-17 | -0.09 | 2 |
| 2026-02-23 | 2026-02-23 | -0.09 | 1 |