| Metric | SPY | ARB |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 17.87% | 3.8% |
| CAGR﹪ | 18.02% | 3.83% |
| Sharpe | 1.04 | -0.04 |
| Prob. Sharpe Ratio | 84.73% | 48.4% |
| Smart Sharpe | 1.01 | -0.03 |
| Sortino | 1.51 | -0.06 |
| Smart Sortino | 1.47 | -0.04 |
| Sortino/√2 | 1.07 | -0.04 |
| Smart Sortino/√2 | 1.04 | -0.03 |
| Omega | 1.25 | 1.22 |
| Max Drawdown | -8.88% | -1.54% |
| Max DD Date | 2026-03-30 | 2026-07-02 |
| Max DD Period Start | 2026-01-28 | 2026-06-08 |
| Max DD Period End | 2026-04-13 | 2026-07-08 |
| Longest DD Days | 76 | 48 |
| Volatility (ann.) | 12.99% | 3.57% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 2.03 | 2.48 |
| Skew | -0.15 | 0.14 |
| Kurtosis | 1.05 | 3.82 |
| Ulcer Performance Index | 8.3 | 9.25 |
| Risk-Adjusted Return | 18.02% | 3.99% |
| Risk-Return Ratio | 0.08 | 0.07 |
| Avg. Return | 0.08% | 0.02% |
| Avg. Win | 0.73% | 0.17% |
| Avg. Loss | -0.67% | -0.17% |
| Win/Loss Ratio | 1.08 | 1.03 |
| Profit Ratio | 0.94 | 0.83 |
| Expected Daily | 0.07% | 0.01% |
| Expected Monthly | 1.27% | 0.29% |
| Expected Yearly | 8.57% | 1.88% |
| Kelly Criterion | 10.77% | 6.42% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.35% |
| Expected Shortfall (cVaR) | -1.72% | -0.53% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.22 |
| Gain/Pain (1M) | 2.6 | 11.93 |
| Payoff Ratio | 1.08 | 1.03 |
| Profit Factor | 1.25 | 1.22 |
| Common Sense Ratio | 1.24 | 1.52 |
| CPC Index | 0.73 | 0.66 |
| Tail Ratio | 0.99 | 1.24 |
| Outlier Win Ratio | 2.88 | 4.04 |
| Outlier Loss Ratio | 3.19 | 3.61 |
| MTD | 1.08% | 0.81% |
| 3M | 3.82% | 1.32% |
| 6M | 19.85% | 2.36% |
| YTD | 14.3% | 3.1% |
| 1Y | 17.87% | 3.8% |
| 3Y (ann.) | 18.02% | 3.83% |
| 5Y (ann.) | 18.02% | 3.83% |
| 10Y (ann.) | 18.02% | 3.83% |
| All-time (ann.) | 18.02% | 3.83% |
| Best Day | 2.91% | 0.93% |
| Worst Day | -2.7% | -1.03% |
| Best Month | 10.51% | 0.81% |
| Worst Month | -4.94% | -0.1% |
| Best Year | 14.3% | 3.1% |
| Worst Year | 3.13% | 0.68% |
| Avg. Drawdown | -1.71% | -0.45% |
| Avg. Drawdown Days | 13 | 14 |
| Recovery Factor | 1.94 | 2.46 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 1.16 | 2.21 |
| Avg. Up Month | 3.34% | 0.55% |
| Avg. Down Month | - | - |
| Win Days | 53.6% | 52.52% |
| Win Month | 76.92% | 61.54% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.09 |
| Alpha | - | 0.02 |
| Correlation | - | 31.31% |
| Treynor Ratio | - | 44.12% |
| Year | SPY | ARB | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 0.68 | 0.22 | - |
| 2026 | 14.30 | 3.10 | 0.22 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-08 | 2026-07-08 | -1.54 | 31 |
| 2026-07-10 | 2026-08-26 | -1.04 | 48 |
| 2026-08-28 | 2026-09-18 | -0.80 | 22 |
| 2026-05-13 | 2026-06-04 | -0.69 | 23 |
| 2026-03-05 | 2026-03-30 | -0.67 | 26 |
| 2026-04-23 | 2026-04-23 | -0.61 | 1 |
| 2025-10-09 | 2025-10-23 | -0.55 | 15 |
| 2025-12-26 | 2026-02-05 | -0.55 | 42 |
| 2025-10-28 | 2025-12-09 | -0.51 | 43 |
| 2026-02-26 | 2026-03-02 | -0.51 | 5 |