| Metric | SPY | ARCIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 204.97% | 233.27% |
| CAGR﹪ | 16.25% | 17.65% |
| Sharpe | 0.72 | 0.84 |
| Prob. Sharpe Ratio | 97.45% | 98.82% |
| Smart Sharpe | 0.63 | 0.83 |
| Sortino | 1.02 | 1.2 |
| Smart Sortino | 0.88 | 1.18 |
| Sortino/√2 | 0.72 | 0.85 |
| Smart Sortino/√2 | 0.62 | 0.84 |
| Omega | 1.18 | 1.2 |
| Max Drawdown | -33.72% | -28.37% |
| Max DD Date | 2020-03-23 | 2020-03-18 |
| Max DD Period Start | 2020-02-20 | 2020-01-08 |
| Max DD Period End | 2020-08-07 | 2020-12-15 |
| Longest DD Days | 708 | 801 |
| Volatility (ann.) | 19.45% | 17.79% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.48 | 0.62 |
| Skew | -0.29 | 0.03 |
| Kurtosis | 13.94 | 34.83 |
| Ulcer Performance Index | 25.91 | 24.47 |
| Risk-Adjusted Return | 16.25% | 18.78% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.07% | 0.07% |
| Avg. Win | 0.83% | 0.82% |
| Avg. Loss | -1.02% | -0.93% |
| Win/Loss Ratio | 0.81 | 0.87 |
| Profit Ratio | 0.78 | 0.56 |
| Expected Daily | 0.06% | 0.06% |
| Expected Monthly | 1.25% | 1.35% |
| Expected Yearly | 14.96% | 16.24% |
| Kelly Criterion | -0.01% | 7.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.77% |
| Expected Shortfall (cVaR) | -3.2% | -2.77% |
| Max Consecutive Wins | 11 | 13 |
| Max Consecutive Losses | 7 | 11 |
| Gain/Pain Ratio | 0.18 | 0.2 |
| Gain/Pain (1M) | 1.15 | 1.23 |
| Payoff Ratio | 0.81 | 0.87 |
| Profit Factor | 1.18 | 1.2 |
| Common Sense Ratio | 1.13 | 1.2 |
| CPC Index | 0.53 | 0.6 |
| Tail Ratio | 0.96 | 1.0 |
| Outlier Win Ratio | 3.69 | 3.4 |
| Outlier Loss Ratio | 4.12 | 3.27 |
| 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.) | 16.25% | 17.65% |
| All-time (ann.) | 16.25% | 17.65% |
| Best Day | 10.5% | 15.59% |
| Worst Day | -10.94% | -14.18% |
| Best Month | 12.7% | 12.17% |
| Worst Month | -12.49% | -14.42% |
| Best Year | 28.73% | 36.34% |
| Worst Year | -18.18% | -0.24% |
| Avg. Drawdown | -1.79% | -3.72% |
| Avg. Drawdown Days | 16 | 43 |
| Recovery Factor | 3.72 | 4.66 |
| Ulcer Index | 0.08 | 0.1 |
| Serenity Index | 1.03 | 0.67 |
| Avg. Up Month | 4.21% | 4.52% |
| Avg. Down Month | -3.63% | -4.24% |
| Win Days | 55.15% | 56.74% |
| Win Month | 65.56% | 64.04% |
| Win Quarter | 77.42% | 70.97% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.2 |
| Alpha | - | 0.15 |
| Correlation | - | 21.49% |
| Treynor Ratio | - | 1186.07% |
| Year | SPY | ARCIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 18.15 | 1.11 | + |
| 2020 | 18.33 | 8.15 | 0.44 | - |
| 2021 | 28.73 | 36.34 | 1.27 | + |
| 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 |
|---|---|---|---|
| 2020-01-08 | 2020-12-15 | -28.37 | 343 |
| 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 |
| 2021-06-11 | 2021-10-06 | -7.84 | 118 |
| 2021-10-21 | 2021-12-22 | -7.20 | 63 |