| Metric | SPY | ARCIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 86.58% | 116.93% |
| CAGR﹪ | 13.36% | 16.85% |
| Sharpe | 0.59 | 0.74 |
| Prob. Sharpe Ratio | 90.85% | 94.93% |
| Smart Sharpe | 0.58 | 0.71 |
| Sortino | 0.86 | 1.07 |
| Smart Sortino | 0.83 | 1.03 |
| Sortino/√2 | 0.61 | 0.75 |
| Smart Sortino/√2 | 0.59 | 0.72 |
| Omega | 1.16 | 1.2 |
| 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.) | 17.2% | 18.22% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.55 | 0.83 |
| Skew | 0.32 | 0.34 |
| Kurtosis | 8.95 | 46.15 |
| Ulcer Performance Index | 10.24 | 13.44 |
| Risk-Adjusted Return | 13.36% | 17.74% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.06% | 0.07% |
| Avg. Win | 0.8% | 0.8% |
| Avg. Loss | -0.87% | -0.86% |
| Win/Loss Ratio | 0.92 | 0.92 |
| Profit Ratio | 0.83 | 0.6 |
| Expected Daily | 0.05% | 0.06% |
| Expected Monthly | 1.03% | 1.28% |
| Expected Yearly | 10.95% | 13.78% |
| Kelly Criterion | 4.06% | 9.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.82% |
| Expected Shortfall (cVaR) | -2.58% | -2.91% |
| Max Consecutive Wins | 10 | 13 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.16 | 0.2 |
| Gain/Pain (1M) | 0.87 | 1.28 |
| Payoff Ratio | 0.92 | 0.92 |
| Profit Factor | 1.16 | 1.2 |
| Common Sense Ratio | 1.17 | 1.21 |
| CPC Index | 0.57 | 0.62 |
| Tail Ratio | 1.01 | 1.01 |
| Outlier Win Ratio | 3.41 | 3.42 |
| Outlier Loss Ratio | 3.77 | 3.12 |
| MTD | 1.08% | 1.76% |
| 3M | 3.82% | 15.22% |
| 6M | 19.85% | 12.34% |
| YTD | 14.3% | 30.64% |
| 1Y | 17.78% | 42.84% |
| 3Y (ann.) | 24.86% | 18.76% |
| 5Y (ann.) | 13.06% | 15.86% |
| 10Y (ann.) | 13.36% | 16.85% |
| All-time (ann.) | 13.36% | 16.85% |
| 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% | 30.64% |
| Worst Year | -18.18% | -0.24% |
| Avg. Drawdown | -1.89% | -3.62% |
| Avg. Drawdown Days | 20 | 48 |
| Recovery Factor | 2.85 | 4.22 |
| Ulcer Index | 0.08 | 0.09 |
| Serenity Index | 0.47 | 0.66 |
| Avg. Up Month | 3.97% | 4.06% |
| Avg. Down Month | -3.21% | -3.96% |
| Win Days | 54.04% | 56.47% |
| Win Month | 63.93% | 65.0% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.14 |
| Alpha | - | 0.15 |
| Correlation | - | 13.09% |
| Treynor Ratio | - | 843.53% |
| Year | SPY | ARCIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 5.53 | 0.73 | - |
| 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 | 14.30 | 30.64 | 2.14 | + |
| 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 |
| 2021-10-21 | 2021-12-22 | -7.20 | 63 |
| 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 |