If memory serves, traditionally, CCL (Clozure Common Lisp [0]) had better support for Windows but SBCL was unbeatable for speed. Is that still the case?
CCL isn't very actively maintained and currently doesn't have an ARM64 port, but otherwise continues to work fine. I believe one reason people use it is that it compiles a bit faster than SBCL, at least in part by doing less optimization.