| Metric | SPY | ARCIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 74.99% | 92.32% |
| CAGR﹪ | 11.91% | 14.06% |
| Sharpe | 0.52 | 0.6 |
| Prob. Sharpe Ratio | 87.6% | 91.04% |
| Smart Sharpe | 0.5 | 0.58 |
| Sortino | 0.74 | 0.87 |
| Smart Sortino | 0.72 | 0.84 |
| Sortino/√2 | 0.53 | 0.61 |
| Smart Sortino/√2 | 0.51 | 0.59 |
| Omega | 1.14 | 1.17 |
| Max Drawdown | -24.5% | -20.29% |
| Max DD Date | 2022-10-12 | 2022-07-14 |
| Max DD Period Start | 2022-01-04 | 2022-03-09 |
| Max DD Period End | 2023-12-12 | 2024-05-17 |
| Longest DD Days | 708 | 801 |
| Volatility (ann.) | 17.19% | 18.13% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.49 | 0.69 |
| Skew | 0.33 | 0.36 |
| Kurtosis | 8.98 | 47.09 |
| Ulcer Performance Index | 8.86 | 10.6 |
| Risk-Adjusted Return | 11.91% | 14.64% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.05% | 0.06% |
| Avg. Win | 0.8% | 0.78% |
| Avg. Loss | -0.86% | -0.86% |
| Win/Loss Ratio | 0.93 | 0.91 |
| Profit Ratio | 0.86 | 0.61 |
| Expected Daily | 0.04% | 0.05% |
| Expected Monthly | 0.92% | 1.08% |
| Expected Yearly | 9.77% | 11.52% |
| Kelly Criterion | 3.41% | 7.69% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.82% |
| Expected Shortfall (cVaR) | -2.58% | -2.92% |
| Max Consecutive Wins | 10 | 13 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.14 | 0.17 |
| Gain/Pain (1M) | 0.79 | 1.03 |
| Payoff Ratio | 0.93 | 0.91 |
| Profit Factor | 1.14 | 1.17 |
| Common Sense Ratio | 1.15 | 1.15 |
| CPC Index | 0.57 | 0.6 |
| Tail Ratio | 1.0 | 0.98 |
| Outlier Win Ratio | 3.4 | 3.45 |
| Outlier Loss Ratio | 3.8 | 3.14 |
| MTD | 1.47% | -3.1% |
| 3M | 1.46% | 5.23% |
| 6M | 6.94% | -0.53% |
| YTD | 13.33% | 21.57% |
| 1Y | 13.43% | 25.76% |
| 3Y (ann.) | 20.78% | 15.94% |
| 5Y (ann.) | 12.86% | 14.98% |
| 10Y (ann.) | 11.91% | 14.06% |
| All-time (ann.) | 11.91% | 14.06% |
| Best Day | 10.5% | 15.59% |
| Worst Day | -5.85% | -14.18% |
| Best Month | 10.51% | 11.3% |
| Worst Month | -9.24% | -8.95% |
| Best Year | 26.18% | 21.57% |
| Worst Year | -18.18% | -0.24% |
| Avg. Drawdown | -1.94% | -4.16% |
| Avg. Drawdown Days | 21 | 54 |
| Recovery Factor | 2.58 | 3.63 |
| Ulcer Index | 0.08 | 0.09 |
| Serenity Index | 0.43 | 0.56 |
| Avg. Up Month | 3.97% | 4.1% |
| Avg. Down Month | -2.96% | -3.5% |
| Win Days | 53.48% | 55.92% |
| Win Month | 62.3% | 60.0% |
| Win Quarter | 71.43% | 61.9% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.14 |
| Alpha | - | 0.13 |
| Correlation | - | 13.08% |
| Treynor Ratio | - | 669.44% |
| Year | SPY | ARCIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 0.53 | 0.31 | - |
| 2022 | -18.18 | 21.44 | -1.18 | + |
| 2023 | 26.18 | -0.24 | -0.01 | - |
| 2024 | 24.89 | 7.45 | 0.30 | - |
| 2025 | 17.72 | 20.88 | 1.18 | + |
| 2026 | 13.33 | 21.57 | 1.62 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-03-09 | 2024-05-17 | -20.29 | 801 |
| 2021-12-27 | 2022-02-28 | -14.60 | 64 |
| 2026-05-14 | 2026-08-20 | -14.49 | 99 |
| 2024-05-22 | 2025-01-31 | -13.67 | 255 |
| 2025-02-21 | 2025-08-29 | -10.66 | 190 |
| 2026-01-30 | 2026-03-05 | -8.36 | 35 |
| 2026-09-11 | 2026-11-04 | -8.22 | 55 |
| 2021-11-15 | 2021-12-22 | -7.11 | 38 |
| 2026-03-13 | 2026-04-15 | -4.10 | 34 |
| 2025-11-13 | 2025-11-26 | -3.00 | 14 |