| Metric | SPY | ARBIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 65.0% |
| Cumulative Return | 6.48% | 0.42% |
| CAGR﹪ | 13.27% | 0.83% |
| Sharpe | 0.78 | -1.77 |
| Prob. Sharpe Ratio | 70.87% | 9.94% |
| Smart Sharpe | 0.75 | -1.63 |
| Sortino | 1.14 | -2.21 |
| Smart Sortino | 1.09 | -2.03 |
| Sortino/√2 | 0.8 | -1.56 |
| Smart Sortino/√2 | 0.77 | -1.44 |
| Omega | 1.19 | 1.1 |
| Max Drawdown | -4.49% | -1.91% |
| Max DD Date | 2026-06-10 | 2026-10-16 |
| Max DD Period Start | 2026-06-03 | 2026-07-22 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 106 |
| Volatility (ann.) | 12.4% | 1.53% |
| R^2 | 0.27 | 0.27 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 2.95 | 0.43 |
| Skew | -0.15 | -0.43 |
| Kurtosis | 0.59 | 1.09 |
| Ulcer Performance Index | 3.89 | 0.59 |
| Risk-Adjusted Return | 13.27% | 1.28% |
| Risk-Return Ratio | 0.07 | 0.03 |
| Avg. Return | 0.11% | 0.01% |
| Avg. Win | 0.69% | 0.1% |
| Avg. Loss | -0.69% | -0.12% |
| Win/Loss Ratio | 1.0 | 0.82 |
| Profit Ratio | 1.15 | 0.17 |
| Expected Daily | 0.05% | 0.0% |
| Expected Monthly | 0.9% | 0.06% |
| Expected Yearly | 6.48% | 0.42% |
| Kelly Criterion | 0.88% | 2.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.16% |
| Expected Shortfall (cVaR) | -1.63% | -0.2% |
| Max Consecutive Wins | 4 | 4 |
| Max Consecutive Losses | 4 | 3 |
| Gain/Pain Ratio | 0.19 | 0.1 |
| Gain/Pain (1M) | 3.26 | 0.34 |
| Payoff Ratio | 1.0 | 0.82 |
| Profit Factor | 1.19 | 1.1 |
| Common Sense Ratio | 1.47 | 1.1 |
| CPC Index | 0.6 | 0.51 |
| Tail Ratio | 1.23 | 1.0 |
| Outlier Win Ratio | 2.66 | 4.58 |
| Outlier Loss Ratio | 3.07 | 2.18 |
| MTD | 1.47% | 0.08% |
| 3M | 1.46% | -1.25% |
| 6M | 6.48% | 0.42% |
| YTD | 6.48% | 0.42% |
| 1Y | 6.48% | 0.42% |
| 3Y (ann.) | 13.27% | 0.83% |
| 5Y (ann.) | 13.27% | 0.83% |
| 10Y (ann.) | 13.27% | 0.83% |
| All-time (ann.) | 13.27% | 0.83% |
| Best Day | 1.8% | 0.25% |
| Worst Day | -2.58% | -0.34% |
| Best Month | 4.52% | 0.92% |
| Worst Month | -1.03% | -0.75% |
| Best Year | 6.48% | 0.42% |
| Worst Year | 6.48% | 0.42% |
| Avg. Drawdown | -1.57% | -0.31% |
| Avg. Drawdown Days | 17 | 14 |
| Recovery Factor | 1.48 | 0.22 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.91 | 0.04 |
| Avg. Up Month | 2.99% | 0.5% |
| Avg. Down Month | -0.62% | -0.59% |
| Win Days | 50.39% | 56.1% |
| Win Month | 57.14% | 50.0% |
| Win Quarter | 100.0% | 33.33% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.06 |
| Alpha | - | -0.0 |
| Correlation | - | 52.03% |
| Treynor Ratio | - | 6.51% |
| Year | SPY | ARBIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 0.42 | 0.06 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-07-22 | 2026-11-04 | -1.91 | 106 |
| 2026-05-15 | 2026-05-21 | -0.25 | 7 |
| 2026-06-05 | 2026-06-10 | -0.17 | 6 |
| 2026-07-02 | 2026-07-02 | -0.08 | 1 |
| 2026-07-13 | 2026-07-13 | -0.08 | 1 |
| 2026-07-16 | 2026-07-17 | -0.08 | 2 |
| 2026-06-03 | 2026-06-03 | -0.08 | 1 |
| 2026-06-15 | 2026-06-15 | -0.08 | 1 |
| 2026-06-23 | 2026-06-24 | -0.08 | 2 |