| Metric | SPY | ARCIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 17.87% | 41.96% |
| CAGR﹪ | 18.02% | 42.35% |
| Sharpe | 1.04 | 2.02 |
| Prob. Sharpe Ratio | 84.73% | 97.34% |
| Smart Sharpe | 1.01 | 1.92 |
| Sortino | 1.51 | 2.93 |
| Smart Sortino | 1.47 | 2.79 |
| Sortino/√2 | 1.07 | 2.07 |
| Smart Sortino/√2 | 1.04 | 1.97 |
| Omega | 1.25 | 1.46 |
| 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.) | 12.99% | 16.16% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.06 | 0.06 |
| Calmar | 2.03 | 2.92 |
| Skew | -0.15 | -0.59 |
| Kurtosis | 1.05 | 2.43 |
| Ulcer Performance Index | 8.3 | 8.96 |
| Risk-Adjusted Return | 18.02% | 44.12% |
| Risk-Return Ratio | 0.08 | 0.14 |
| Avg. Return | 0.05% | 0.15% |
| Avg. Win | 0.6% | 0.83% |
| Avg. Loss | -0.65% | -0.9% |
| Win/Loss Ratio | 0.92 | 0.93 |
| Profit Ratio | 0.94 | 0.49 |
| Expected Daily | 0.07% | 0.14% |
| Expected Monthly | 1.27% | 2.73% |
| Expected Yearly | 8.57% | 19.15% |
| Kelly Criterion | 3.05% | 20.54% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.53% |
| Expected Shortfall (cVaR) | -1.72% | -2.16% |
| Max Consecutive Wins | 7 | 12 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.25 | 0.46 |
| Gain/Pain (1M) | 2.6 | 3.62 |
| Payoff Ratio | 0.92 | 0.93 |
| Profit Factor | 1.25 | 1.46 |
| Common Sense Ratio | 1.24 | 1.43 |
| CPC Index | 0.61 | 0.84 |
| Tail Ratio | 0.99 | 0.98 |
| Outlier Win Ratio | 2.88 | 3.23 |
| Outlier Loss Ratio | 3.19 | 2.74 |
| MTD | 1.08% | 1.76% |
| 3M | 3.82% | 15.22% |
| 6M | 19.85% | 12.34% |
| YTD | 14.3% | 30.64% |
| 1Y | 17.87% | 41.96% |
| 3Y (ann.) | 18.02% | 42.35% |
| 5Y (ann.) | 18.02% | 42.35% |
| 10Y (ann.) | 18.02% | 42.35% |
| All-time (ann.) | 18.02% | 42.35% |
| Best Day | 2.91% | 3.37% |
| Worst Day | -2.7% | -4.84% |
| Best Month | 10.51% | 10.8% |
| Worst Month | -4.94% | -8.95% |
| Best Year | 14.3% | 30.64% |
| Worst Year | 3.13% | 8.67% |
| Avg. Drawdown | -1.71% | -2.28% |
| Avg. Drawdown Days | 13 | 11 |
| Recovery Factor | 1.94 | 2.51 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 1.16 | 0.72 |
| Avg. Up Month | 2.1% | 4.22% |
| Avg. Down Month | -1.03% | -8.95% |
| Win Days | 53.6% | 61.67% |
| Win Month | 76.92% | 84.62% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.12 |
| Alpha | - | 0.35 |
| Correlation | - | 9.4% |
| Treynor Ratio | - | 358.79% |
| Year | SPY | ARCIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 8.67 | 2.77 | + |
| 2026 | 14.30 | 30.64 | 2.14 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-14 | 2026-08-20 | -14.49 | 99 |
| 2026-01-30 | 2026-03-05 | -8.36 | 35 |
| 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 |
| 2025-10-09 | 2025-10-17 | -2.39 | 9 |
| 2026-05-06 | 2026-05-08 | -1.93 | 3 |
| 2025-11-04 | 2025-11-07 | -1.77 | 4 |
| 2025-10-21 | 2025-10-22 | -1.68 | 2 |
| 2025-12-29 | 2026-01-02 | -1.60 | 5 |