| Metric | SPY | ARBIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 63.0% |
| Cumulative Return | 14.39% | 4.51% |
| CAGR﹪ | 14.51% | 4.55% |
| Sharpe | 0.83 | 0.56 |
| Prob. Sharpe Ratio | 79.61% | 70.96% |
| Smart Sharpe | 0.82 | 0.56 |
| Sortino | 1.22 | 0.77 |
| Smart Sortino | 1.2 | 0.77 |
| Sortino/√2 | 0.86 | 0.55 |
| Smart Sortino/√2 | 0.85 | 0.55 |
| Omega | 1.2 | 1.75 |
| Max Drawdown | -8.88% | -1.91% |
| Max DD Date | 2026-03-30 | 2026-10-14 |
| Max DD Period Start | 2026-01-28 | 2026-07-22 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 106 |
| Volatility (ann.) | 12.86% | 1.42% |
| R^2 | 0.34 | 0.34 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.63 | 2.38 |
| Skew | -0.02 | -0.39 |
| Kurtosis | 0.78 | 1.77 |
| Ulcer Performance Index | 6.68 | 8.78 |
| Risk-Adjusted Return | 14.51% | 7.22% |
| Risk-Return Ratio | 0.07 | 0.2 |
| Avg. Return | 0.13% | 0.03% |
| Avg. Win | 0.71% | 0.1% |
| Avg. Loss | -0.8% | -0.11% |
| Win/Loss Ratio | 0.89 | 0.88 |
| Profit Ratio | 1.02 | 0.13 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.04% | 0.34% |
| Expected Yearly | 6.95% | 2.23% |
| Kelly Criterion | -1.94% | 28.06% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.13% |
| Expected Shortfall (cVaR) | -1.66% | -0.2% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.2 | 0.75 |
| Gain/Pain (1M) | 1.83 | 3.1 |
| Payoff Ratio | 0.89 | 0.88 |
| Profit Factor | 1.2 | 1.75 |
| Common Sense Ratio | 1.19 | 2.24 |
| CPC Index | 0.56 | 1.03 |
| Tail Ratio | 0.99 | 1.28 |
| Outlier Win Ratio | 2.84 | 4.85 |
| Outlier Loss Ratio | 3.01 | 2.27 |
| MTD | 1.47% | 0.08% |
| 3M | 1.46% | -1.25% |
| 6M | 6.94% | 0.59% |
| YTD | 13.33% | 3.91% |
| 1Y | 14.39% | 4.51% |
| 3Y (ann.) | 14.51% | 4.55% |
| 5Y (ann.) | 14.51% | 4.55% |
| 10Y (ann.) | 14.51% | 4.55% |
| All-time (ann.) | 14.51% | 4.55% |
| Best Day | 2.91% | 0.34% |
| Worst Day | -2.58% | -0.34% |
| Best Month | 10.51% | 1.54% |
| Worst Month | -4.94% | -0.75% |
| Best Year | 13.33% | 3.91% |
| Worst Year | 0.94% | 0.58% |
| Avg. Drawdown | -1.74% | -0.23% |
| Avg. Drawdown Days | 14 | 10 |
| Recovery Factor | 1.61 | 2.31 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 0.55 |
| Avg. Up Month | 3.27% | 0.78% |
| Avg. Down Month | -2.06% | -0.45% |
| Win Days | 52.0% | 66.24% |
| Win Month | 61.54% | 66.67% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.06 |
| Alpha | - | 0.04 |
| Correlation | - | 58.01% |
| Treynor Ratio | - | 70.5% |
| Year | SPY | ARBIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 0.58 | 0.62 | - |
| 2026 | 13.33 | 3.91 | 0.29 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-22 | 2026-11-04 | -1.91 | 106 |
| 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 |
| 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 |
| 2026-03-06 | 2026-03-09 | -0.09 | 4 |