| Metric | SPY | ARCIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 207.58% | 258.11% |
| CAGR﹪ | 16.68% | 19.15% |
| Sharpe | 0.74 | 0.91 |
| Prob. Sharpe Ratio | 97.6% | 99.22% |
| Smart Sharpe | 0.64 | 0.9 |
| Sortino | 1.04 | 1.29 |
| Smart Sortino | 0.9 | 1.28 |
| Sortino/√2 | 0.74 | 0.91 |
| Smart Sortino/√2 | 0.64 | 0.9 |
| Omega | 1.19 | 1.22 |
| 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.) | 19.56% | 17.88% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.49 | 0.67 |
| Skew | -0.29 | 0.02 |
| Kurtosis | 13.84 | 34.72 |
| Ulcer Performance Index | 26.03 | 26.88 |
| Risk-Adjusted Return | 16.68% | 20.37% |
| Risk-Return Ratio | 0.06 | 0.07 |
| Avg. Return | 0.07% | 0.08% |
| Avg. Win | 0.83% | 0.82% |
| Avg. Loss | -1.03% | -0.94% |
| Win/Loss Ratio | 0.81 | 0.87 |
| Profit Ratio | 0.77 | 0.55 |
| Expected Daily | 0.06% | 0.07% |
| Expected Monthly | 1.28% | 1.46% |
| Expected Yearly | 15.08% | 17.29% |
| Kelly Criterion | -0.16% | 7.94% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -1.78% |
| Expected Shortfall (cVaR) | -3.2% | -2.77% |
| Max Consecutive Wins | 11 | 13 |
| Max Consecutive Losses | 7 | 11 |
| Gain/Pain Ratio | 0.19 | 0.22 |
| Gain/Pain (1M) | 1.17 | 1.36 |
| Payoff Ratio | 0.81 | 0.87 |
| Profit Factor | 1.19 | 1.22 |
| Common Sense Ratio | 1.14 | 1.23 |
| CPC Index | 0.53 | 0.61 |
| Tail Ratio | 0.96 | 1.01 |
| Outlier Win Ratio | 3.69 | 3.41 |
| Outlier Loss Ratio | 4.1 | 3.28 |
| 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.) | 16.68% | 19.15% |
| All-time (ann.) | 16.68% | 19.15% |
| 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 | -1.78% | -3.6% |
| Avg. Drawdown Days | 16 | 42 |
| Recovery Factor | 3.75 | 4.91 |
| Ulcer Index | 0.08 | 0.1 |
| Serenity Index | 1.03 | 0.7 |
| Avg. Up Month | 4.14% | 4.46% |
| Avg. Down Month | -4.01% | -4.63% |
| Win Days | 55.26% | 57.14% |
| Win Month | 67.05% | 66.67% |
| Win Quarter | 76.67% | 73.33% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.2 |
| Alpha | - | 0.16 |
| Correlation | - | 21.45% |
| Treynor Ratio | - | 1315.99% |
| 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 | 14.30 | 30.64 | 2.14 | + |
| 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 |
| 2021-06-11 | 2021-10-06 | -7.84 | 118 |
| 2021-10-21 | 2021-12-22 | -7.20 | 63 |
| 2021-02-25 | 2021-04-19 | -7.19 | 54 |