| Metric | SPY | ARB |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 6.48% | 2.48% |
| CAGR﹪ | 13.27% | 4.98% |
| Sharpe | 0.78 | 0.24 |
| Prob. Sharpe Ratio | 70.87% | 56.77% |
| Smart Sharpe | 0.75 | 0.15 |
| Sortino | 1.14 | 0.35 |
| Smart Sortino | 1.09 | 0.22 |
| Sortino/√2 | 0.8 | 0.25 |
| Smart Sortino/√2 | 0.77 | 0.16 |
| Omega | 1.19 | 1.2 |
| Max Drawdown | -4.49% | -2.12% |
| Max DD Date | 2026-06-10 | 2026-10-01 |
| Max DD Period Start | 2026-06-03 | 2026-09-28 |
| Max DD Period End | 2026-07-31 | 2026-10-01 |
| Longest DD Days | 59 | 48 |
| Volatility (ann.) | 12.4% | 6.17% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 2.95 | 2.35 |
| Skew | -0.15 | 0.47 |
| Kurtosis | 0.59 | 13.85 |
| Ulcer Performance Index | 3.89 | 4.41 |
| Risk-Adjusted Return | 13.27% | 5.03% |
| Risk-Return Ratio | 0.07 | 0.05 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.68% | 0.25% |
| Avg. Loss | -0.58% | -0.2% |
| Win/Loss Ratio | 1.18 | 1.23 |
| Profit Ratio | 1.15 | 0.7 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 0.9% | 0.35% |
| Expected Yearly | 6.48% | 2.48% |
| Kelly Criterion | 8.44% | 20.32% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.62% |
| Expected Shortfall (cVaR) | -1.63% | -1.01% |
| Max Consecutive Wins | 4 | 6 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.19 | 0.2 |
| Gain/Pain (1M) | 3.26 | 35.74 |
| Payoff Ratio | 1.18 | 1.23 |
| Profit Factor | 1.19 | 1.2 |
| Common Sense Ratio | 1.47 | 1.34 |
| CPC Index | 0.71 | 0.83 |
| Tail Ratio | 1.23 | 1.11 |
| Outlier Win Ratio | 2.66 | 4.42 |
| Outlier Loss Ratio | 3.07 | 4.14 |
| MTD | 1.47% | 0.8% |
| 3M | 1.46% | 1.85% |
| 6M | 6.48% | 2.48% |
| YTD | 6.48% | 2.48% |
| 1Y | 6.48% | 2.48% |
| 3Y (ann.) | 13.27% | 4.98% |
| 5Y (ann.) | 13.27% | 4.98% |
| 10Y (ann.) | 13.27% | 4.98% |
| All-time (ann.) | 13.27% | 4.98% |
| Best Day | 1.8% | 2.28% |
| Worst Day | -2.58% | -1.97% |
| Best Month | 4.52% | 0.8% |
| Worst Month | -1.03% | -0.07% |
| Best Year | 6.48% | 2.48% |
| Worst Year | 6.48% | 2.48% |
| Avg. Drawdown | -1.57% | -0.7% |
| Avg. Drawdown Days | 17 | 12 |
| Recovery Factor | 1.48 | 1.2 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.91 | 1.28 |
| Avg. Up Month | 2.89% | 0.5% |
| Avg. Down Month | -0.91% | -0.07% |
| Win Days | 50.39% | 56.0% |
| Win Month | 57.14% | 71.43% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.08 |
| Alpha | - | 0.04 |
| Correlation | - | 16.9% |
| Treynor Ratio | - | 29.49% |
| Year | SPY | ARB | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 2.48 | 0.38 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-28 | 2026-10-01 | -2.12 | 4 |
| 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 |
| 2026-10-09 | 2026-10-19 | -0.75 | 11 |
| 2026-05-13 | 2026-06-04 | -0.69 | 23 |
| 2026-10-30 | 2026-10-30 | -0.65 | 1 |
| 2026-10-23 | 2026-10-28 | -0.61 | 6 |
| 2026-05-07 | 2026-05-11 | -0.41 | 5 |
| 2026-09-23 | 2026-09-24 | -0.14 | 2 |