| Metric | SPY | ARCIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 14.39% | 27.0% |
| CAGR﹪ | 14.51% | 27.25% |
| Sharpe | 0.83 | 1.36 |
| Prob. Sharpe Ratio | 79.61% | 90.66% |
| Smart Sharpe | 0.82 | 1.21 |
| Sortino | 1.22 | 1.94 |
| Smart Sortino | 1.2 | 1.73 |
| Sortino/√2 | 0.86 | 1.37 |
| Smart Sortino/√2 | 0.85 | 1.22 |
| Omega | 1.2 | 1.3 |
| Max Drawdown | -8.88% | -14.49% |
| Max DD Date | 2026-03-30 | 2026-06-24 |
| Max DD Period Start | 2026-01-28 | 2026-05-14 |
| Max DD Period End | 2026-04-13 | 2026-08-20 |
| Longest DD Days | 76 | 99 |
| Volatility (ann.) | 12.86% | 15.98% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 1.63 | 1.88 |
| Skew | -0.02 | -0.52 |
| Kurtosis | 0.78 | 2.5 |
| Ulcer Performance Index | 6.68 | 5.57 |
| Risk-Adjusted Return | 14.51% | 28.38% |
| Risk-Return Ratio | 0.07 | 0.1 |
| Avg. Return | 0.05% | 0.1% |
| Avg. Win | 0.6% | 0.81% |
| Avg. Loss | -0.62% | -0.84% |
| Win/Loss Ratio | 0.97 | 0.97 |
| Profit Ratio | 1.02 | 0.58 |
| Expected Daily | 0.05% | 0.1% |
| Expected Monthly | 1.04% | 1.86% |
| Expected Yearly | 6.95% | 12.7% |
| Kelly Criterion | 2.66% | 15.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.56% |
| Expected Shortfall (cVaR) | -1.66% | -2.15% |
| Max Consecutive Wins | 7 | 12 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.2 | 0.3 |
| Gain/Pain (1M) | 1.83 | 1.64 |
| Payoff Ratio | 0.97 | 0.97 |
| Profit Factor | 1.2 | 1.3 |
| Common Sense Ratio | 1.19 | 1.26 |
| CPC Index | 0.61 | 0.74 |
| Tail Ratio | 0.99 | 0.97 |
| Outlier Win Ratio | 2.84 | 3.28 |
| Outlier Loss Ratio | 3.01 | 2.86 |
| MTD | 1.47% | -3.1% |
| 3M | 1.46% | 5.23% |
| 6M | 6.94% | -0.53% |
| YTD | 13.33% | 21.57% |
| 1Y | 14.39% | 27.0% |
| 3Y (ann.) | 14.51% | 27.25% |
| 5Y (ann.) | 14.51% | 27.25% |
| 10Y (ann.) | 14.51% | 27.25% |
| All-time (ann.) | 14.51% | 27.25% |
| Best Day | 2.91% | 3.37% |
| Worst Day | -2.58% | -4.84% |
| Best Month | 10.51% | 10.8% |
| Worst Month | -4.94% | -8.95% |
| Best Year | 13.33% | 21.57% |
| Worst Year | 0.94% | 4.47% |
| Avg. Drawdown | -1.74% | -2.74% |
| Avg. Drawdown Days | 14 | 15 |
| Recovery Factor | 1.61 | 1.74 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 0.94 | 0.47 |
| Avg. Up Month | 2.61% | 5.37% |
| Avg. Down Month | -0.75% | -3.74% |
| Win Days | 52.0% | 58.33% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.09 |
| Alpha | - | 0.24 |
| Correlation | - | 7.09% |
| Treynor Ratio | - | 306.54% |
| Year | SPY | ARCIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 4.47 | 4.76 | + |
| 2026 | 13.33 | 21.57 | 1.62 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-14 | 2026-08-20 | -14.49 | 99 |
| 2026-01-30 | 2026-03-05 | -8.36 | 35 |
| 2026-09-11 | 2026-11-04 | -8.22 | 55 |
| 2026-03-13 | 2026-04-15 | -4.10 | 34 |
| 2025-11-13 | 2025-11-26 | -3.00 | 14 |
| 2025-12-12 | 2025-12-19 | -2.59 | 8 |
| 2026-05-06 | 2026-05-08 | -1.93 | 3 |
| 2025-12-29 | 2026-01-02 | -1.60 | 5 |
| 2026-04-17 | 2026-04-21 | -1.36 | 5 |
| 2025-12-08 | 2025-12-10 | -1.15 | 3 |