| Metric | SPY | ARBIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 60.0% |
| Cumulative Return | 204.97% | 46.72% |
| CAGR﹪ | 16.25% | 5.31% |
| Sharpe | 0.72 | 1.23 |
| Prob. Sharpe Ratio | 97.45% | 99.92% |
| Smart Sharpe | 0.63 | 1.15 |
| Sortino | 1.02 | 1.78 |
| Smart Sortino | 0.88 | 1.66 |
| Sortino/√2 | 0.72 | 1.26 |
| Smart Sortino/√2 | 0.62 | 1.18 |
| Omega | 1.18 | 1.8 |
| Max Drawdown | -33.72% | -4.31% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-03-05 |
| Max DD Period End | 2020-08-07 | 2020-06-02 |
| Longest DD Days | 708 | 431 |
| Volatility (ann.) | 19.45% | 1.89% |
| R^2 | 0.17 | 0.17 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.48 | 1.23 |
| Skew | -0.29 | -0.52 |
| Kurtosis | 13.94 | 54.0 |
| Ulcer Performance Index | 25.91 | 48.62 |
| Risk-Adjusted Return | 16.25% | 8.86% |
| Risk-Return Ratio | 0.05 | 0.17 |
| Avg. Return | 0.1% | 0.03% |
| Avg. Win | 0.92% | 0.12% |
| Avg. Loss | -1.29% | -0.13% |
| Win/Loss Ratio | 0.71 | 0.92 |
| Profit Ratio | 0.78 | 0.11 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.43% |
| Expected Yearly | 14.96% | 4.91% |
| Kelly Criterion | -7.67% | 30.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.18% |
| Expected Shortfall (cVaR) | -3.2% | -0.28% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 13 |
| Gain/Pain Ratio | 0.18 | 0.8 |
| Gain/Pain (1M) | 1.15 | 3.17 |
| Payoff Ratio | 0.71 | 0.92 |
| Profit Factor | 1.18 | 1.8 |
| Common Sense Ratio | 1.13 | 3.41 |
| CPC Index | 0.47 | 1.1 |
| Tail Ratio | 0.96 | 1.9 |
| Outlier Win Ratio | 3.69 | 4.92 |
| Outlier Loss Ratio | 4.12 | 2.16 |
| 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.) | 16.25% | 5.31% |
| All-time (ann.) | 16.25% | 5.31% |
| Best Day | 10.5% | 1.77% |
| Worst Day | -10.94% | -1.77% |
| Best Month | 12.7% | 2.31% |
| Worst Month | -12.49% | -3.1% |
| Best Year | 28.73% | 9.28% |
| Worst Year | -18.18% | -0.54% |
| Avg. Drawdown | -1.79% | -0.24% |
| Avg. Drawdown Days | 16 | 12 |
| Recovery Factor | 3.72 | 8.93 |
| Ulcer Index | 0.08 | 0.01 |
| Serenity Index | 1.03 | 1.69 |
| Avg. Up Month | 4.29% | 0.82% |
| Avg. Down Month | -4.81% | -0.73% |
| Win Days | 55.15% | 66.55% |
| Win Month | 65.56% | 78.65% |
| Win Quarter | 77.42% | 83.87% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.04 |
| Alpha | - | 0.05 |
| Correlation | - | 41.68% |
| Treynor Ratio | - | 1152.97% |
| Year | SPY | ARBIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 2.94 | 0.18 | - |
| 2020 | 18.33 | 9.28 | 0.51 | - |
| 2021 | 28.73 | 2.95 | 0.10 | - |
| 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 |
|---|---|---|---|
| 2020-03-05 | 2020-06-02 | -4.31 | 90 |
| 2021-11-15 | 2023-01-19 | -4.01 | 431 |
| 2026-07-22 | 2026-11-04 | -1.91 | 106 |
| 2024-07-01 | 2024-09-06 | -1.77 | 68 |
| 2021-03-01 | 2021-09-01 | -1.05 | 185 |
| 2023-02-17 | 2023-04-04 | -0.73 | 47 |
| 2020-06-10 | 2020-06-15 | -0.56 | 6 |
| 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 |