| Metric | SPY | ARB |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 191.44% | 30.7% |
| CAGR﹪ | 17.96% | 4.22% |
| Sharpe | 0.89 | 0.28 |
| Prob. Sharpe Ratio | 98.82% | 76.14% |
| Smart Sharpe | 0.86 | 0.22 |
| Sortino | 1.28 | 0.39 |
| Smart Sortino | 1.23 | 0.31 |
| Sortino/√2 | 0.9 | 0.28 |
| Smart Sortino/√2 | 0.87 | 0.22 |
| Omega | 1.21 | 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.) | 16.83% | 4.56% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.73 | 0.75 |
| Skew | 0.08 | 0.13 |
| Kurtosis | 8.11 | 34.4 |
| Ulcer Performance Index | 25.5 | 21.49 |
| Risk-Adjusted Return | 17.96% | 4.26% |
| Risk-Return Ratio | 0.07 | 0.06 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.85% | 0.19% |
| Avg. Loss | -0.89% | -0.2% |
| Win/Loss Ratio | 0.95 | 0.93 |
| Profit Ratio | 0.81 | 0.75 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.36% | 0.34% |
| Expected Yearly | 16.51% | 3.9% |
| Kelly Criterion | 7.33% | 7.31% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.67% | -0.46% |
| Expected Shortfall (cVaR) | -2.49% | -0.87% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.21 | 0.21 |
| Gain/Pain (1M) | 1.3 | 1.84 |
| Payoff Ratio | 0.95 | 0.93 |
| Profit Factor | 1.21 | 1.21 |
| Common Sense Ratio | 1.21 | 1.31 |
| CPC Index | 0.63 | 0.62 |
| Tail Ratio | 1.0 | 1.08 |
| Outlier Win Ratio | 3.38 | 3.8 |
| Outlier Loss Ratio | 3.81 | 4.48 |
| 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.) | 17.96% | 4.22% |
| All-time (ann.) | 17.96% | 4.22% |
| Best Day | 10.5% | 3.56% |
| Worst Day | -5.85% | -3.26% |
| Best Month | 10.88% | 4.19% |
| Worst Month | -9.24% | -2.26% |
| Best Year | 31.62% | 6.05% |
| Worst Year | -18.18% | 2.67% |
| Avg. Drawdown | -1.7% | -0.48% |
| Avg. Drawdown Days | 15 | 16 |
| Recovery Factor | 4.74 | 4.9 |
| Ulcer Index | 0.08 | 0.01 |
| Serenity Index | 0.91 | 1.52 |
| Avg. Up Month | 4.46% | 0.9% |
| Avg. Down Month | -4.33% | -0.49% |
| Win Days | 54.91% | 55.35% |
| Win Month | 65.82% | 68.35% |
| Win Quarter | 77.78% | 77.78% |
| Win Year | 85.71% | 100.0% |
| Beta | - | 0.08 |
| Alpha | - | 0.03 |
| Correlation | - | 30.35% |
| Treynor Ratio | - | 373.47% |
| Year | SPY | ARB | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 31.62 | 3.78 | 0.12 | - |
| 2021 | 28.73 | 3.16 | 0.11 | - |
| 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 |
| 2020-05-11 | 2020-07-14 | -3.62 | 65 |
| 2021-01-11 | 2021-04-14 | -3.16 | 94 |
| 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 |
| 2021-06-17 | 2021-10-06 | -1.89 | 112 |
| 2022-08-16 | 2022-10-24 | -1.67 | 70 |
| 2026-06-08 | 2026-07-08 | -1.54 | 31 |