| Metric | SPY | ARBIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 57.0% |
| Cumulative Return | 74.99% | 26.35% |
| CAGR﹪ | 11.91% | 4.82% |
| Sharpe | 0.52 | 0.47 |
| Prob. Sharpe Ratio | 87.6% | 84.93% |
| Smart Sharpe | 0.5 | 0.4 |
| Sortino | 0.74 | 0.66 |
| Smart Sortino | 0.72 | 0.57 |
| Sortino/√2 | 0.53 | 0.47 |
| Smart Sortino/√2 | 0.51 | 0.4 |
| Omega | 1.14 | 1.8 |
| Max Drawdown | -24.5% | -4.01% |
| Max DD Date | 2022-10-12 | 2022-07-05 |
| Max DD Period Start | 2022-01-04 | 2021-11-15 |
| Max DD Period End | 2023-12-12 | 2023-01-19 |
| Longest DD Days | 708 | 431 |
| Volatility (ann.) | 17.19% | 1.84% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 1.2 |
| Skew | 0.33 | -0.49 |
| Kurtosis | 8.98 | 86.4 |
| Ulcer Performance Index | 8.86 | 25.49 |
| Risk-Adjusted Return | 11.91% | 8.45% |
| Risk-Return Ratio | 0.05 | 0.16 |
| Avg. Return | 0.1% | 0.03% |
| Avg. Win | 0.88% | 0.11% |
| Avg. Loss | -1.13% | -0.12% |
| Win/Loss Ratio | 0.78 | 0.9 |
| Profit Ratio | 0.86 | 0.09 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.38% |
| Expected Yearly | 9.77% | 3.98% |
| Kelly Criterion | -6.29% | 30.89% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.17% |
| Expected Shortfall (cVaR) | -2.58% | -0.27% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.14 | 0.8 |
| Gain/Pain (1M) | 0.79 | 2.75 |
| Payoff Ratio | 0.78 | 0.9 |
| Profit Factor | 1.14 | 1.8 |
| Common Sense Ratio | 1.15 | 3.37 |
| CPC Index | 0.47 | 1.09 |
| Tail Ratio | 1.0 | 1.87 |
| Outlier Win Ratio | 3.4 | 5.14 |
| Outlier Loss Ratio | 3.8 | 2.13 |
| MTD | 1.47% | 0.08% |
| 3M | 1.46% | -1.25% |
| 6M | 6.94% | 0.59% |
| YTD | 13.33% | 3.91% |
| 1Y | 13.43% | 4.51% |
| 3Y (ann.) | 20.78% | 7.19% |
| 5Y (ann.) | 12.86% | 5.06% |
| 10Y (ann.) | 11.91% | 4.82% |
| All-time (ann.) | 11.91% | 4.82% |
| Best Day | 10.5% | 1.77% |
| Worst Day | -5.85% | -1.77% |
| Best Month | 10.51% | 2.31% |
| Worst Month | -9.24% | -1.45% |
| Best Year | 26.18% | 8.29% |
| Worst Year | -18.18% | -0.54% |
| Avg. Drawdown | -1.94% | -0.26% |
| Avg. Drawdown Days | 21 | 16 |
| Recovery Factor | 2.58 | 5.85 |
| Ulcer Index | 0.08 | 0.01 |
| Serenity Index | 0.43 | 0.89 |
| Avg. Up Month | 4.1% | 0.78% |
| Avg. Down Month | -4.29% | -0.54% |
| Win Days | 53.48% | 67.33% |
| Win Month | 62.3% | 76.67% |
| Win Quarter | 71.43% | 76.19% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.04 |
| Alpha | - | 0.04 |
| Correlation | - | 37.17% |
| Treynor Ratio | - | 662.88% |
| Year | SPY | ARBIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -0.26 | -0.15 | - |
| 2022 | -18.18 | -0.54 | 0.03 | + |
| 2023 | 26.18 | 5.30 | 0.20 | - |
| 2024 | 24.89 | 7.50 | 0.30 | - |
| 2025 | 17.72 | 8.29 | 0.47 | - |
| 2026 | 13.33 | 3.91 | 0.29 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-15 | 2023-01-19 | -4.01 | 431 |
| 2026-07-22 | 2026-11-04 | -1.91 | 106 |
| 2024-07-01 | 2024-09-04 | -1.77 | 66 |
| 2023-02-17 | 2023-04-04 | -0.73 | 47 |
| 2023-10-04 | 2023-11-16 | -0.55 | 44 |
| 2025-03-26 | 2025-04-23 | -0.52 | 29 |
| 2026-03-12 | 2026-04-07 | -0.51 | 27 |
| 2023-08-10 | 2023-09-01 | -0.36 | 23 |
| 2025-11-13 | 2025-11-25 | -0.33 | 13 |
| 2023-04-17 | 2023-05-05 | -0.27 | 19 |