| Metric | SPY | ARB |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 74.99% | 22.25% |
| CAGR﹪ | 11.91% | 4.12% |
| Sharpe | 0.52 | 0.06 |
| Prob. Sharpe Ratio | 87.6% | 55.49% |
| Smart Sharpe | 0.5 | 0.05 |
| Sortino | 0.74 | 0.09 |
| Smart Sortino | 0.72 | 0.06 |
| Sortino/√2 | 0.53 | 0.06 |
| Smart Sortino/√2 | 0.51 | 0.05 |
| Omega | 1.14 | 1.21 |
| Max Drawdown | -24.5% | -5.6% |
| Max DD Date | 2022-10-12 | 2023-05-22 |
| Max DD Period Start | 2022-01-04 | 2022-11-02 |
| Max DD Period End | 2023-12-12 | 2023-09-11 |
| Longest DD Days | 708 | 314 |
| Volatility (ann.) | 17.19% | 4.7% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 0.74 |
| Skew | 0.33 | 0.26 |
| Kurtosis | 8.98 | 38.06 |
| Ulcer Performance Index | 8.86 | 14.39 |
| Risk-Adjusted Return | 11.91% | 4.17% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.88% | 0.19% |
| Avg. Loss | -0.9% | -0.2% |
| Win/Loss Ratio | 0.98 | 0.94 |
| Profit Ratio | 0.86 | 0.77 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.33% |
| Expected Yearly | 9.77% | 3.41% |
| Kelly Criterion | 5.78% | 6.45% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.47% |
| Expected Shortfall (cVaR) | -2.58% | -0.9% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.14 | 0.21 |
| Gain/Pain (1M) | 0.79 | 1.95 |
| Payoff Ratio | 0.98 | 0.94 |
| Profit Factor | 1.14 | 1.21 |
| Common Sense Ratio | 1.15 | 1.31 |
| CPC Index | 0.6 | 0.62 |
| Tail Ratio | 1.0 | 1.08 |
| Outlier Win Ratio | 3.4 | 3.52 |
| Outlier Loss Ratio | 3.8 | 4.82 |
| MTD | 1.47% | 0.8% |
| 3M | 1.46% | 1.85% |
| 6M | 6.94% | 2.17% |
| YTD | 13.33% | 3.75% |
| 1Y | 13.43% | 4.39% |
| 3Y (ann.) | 20.78% | 5.2% |
| 5Y (ann.) | 12.86% | 4.33% |
| 10Y (ann.) | 11.91% | 4.12% |
| All-time (ann.) | 11.91% | 4.12% |
| Best Day | 10.5% | 3.56% |
| Worst Day | -5.85% | -3.26% |
| Best Month | 10.51% | 2.33% |
| Worst Month | -9.24% | -1.92% |
| Best Year | 26.18% | 6.05% |
| Worst Year | -18.18% | 0.14% |
| Avg. Drawdown | -1.94% | -0.48% |
| Avg. Drawdown Days | 21 | 16 |
| Recovery Factor | 2.58 | 3.69 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.43 | 1.02 |
| Avg. Up Month | 4.17% | 0.82% |
| Avg. Down Month | -4.63% | -0.54% |
| Win Days | 53.48% | 54.68% |
| Win Month | 62.3% | 68.85% |
| Win Quarter | 71.43% | 85.71% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.08 |
| Alpha | - | 0.03 |
| Correlation | - | 30.87% |
| Treynor Ratio | - | 263.42% |
| Year | SPY | ARB | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.14 | 0.08 | - |
| 2022 | -18.18 | 2.67 | -0.15 | + |
| 2023 | 26.18 | 3.85 | 0.15 | - |
| 2024 | 24.89 | 4.07 | 0.16 | - |
| 2025 | 17.72 | 6.05 | 0.34 | - |
| 2026 | 13.33 | 3.75 | 0.28 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-11-02 | 2023-09-11 | -5.60 | 314 |
| 2021-12-20 | 2022-08-08 | -5.11 | 232 |
| 2024-04-04 | 2024-07-15 | -2.13 | 103 |
| 2026-09-28 | 2026-10-01 | -2.12 | 4 |
| 2024-11-08 | 2025-01-14 | -1.99 | 68 |
| 2022-08-16 | 2022-10-24 | -1.67 | 70 |
| 2026-06-08 | 2026-07-08 | -1.54 | 31 |
| 2025-04-01 | 2025-05-15 | -1.27 | 45 |
| 2026-07-10 | 2026-08-26 | -1.04 | 48 |
| 2023-12-28 | 2024-02-23 | -0.95 | 58 |