| Metric | SPY | ORILX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 17.87% | 11.46% |
| CAGR﹪ | 18.02% | 11.55% |
| Sharpe | 1.04 | 0.72 |
| Prob. Sharpe Ratio | 84.73% | 76.46% |
| Smart Sharpe | 1.01 | 0.65 |
| Sortino | 1.51 | 1.06 |
| Smart Sortino | 1.47 | 0.95 |
| Sortino/√2 | 1.07 | 0.75 |
| Smart Sortino/√2 | 1.04 | 0.67 |
| Omega | 1.25 | 1.2 |
| Max Drawdown | -8.88% | -7.3% |
| Max DD Date | 2026-03-30 | 2026-03-30 |
| Max DD Period Start | 2026-01-28 | 2026-02-27 |
| Max DD Period End | 2026-04-13 | 2026-04-16 |
| Longest DD Days | 76 | 49 |
| Volatility (ann.) | 12.99% | 10.37% |
| R^2 | 0.85 | 0.85 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 2.03 | 1.58 |
| Skew | -0.15 | 0.08 |
| Kurtosis | 1.05 | 0.9 |
| Ulcer Performance Index | 8.3 | 6.08 |
| Risk-Adjusted Return | 18.02% | 12.16% |
| Risk-Return Ratio | 0.08 | 0.07 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.71% | 0.57% |
| Avg. Loss | -0.67% | -0.56% |
| Win/Loss Ratio | 1.06 | 1.01 |
| Profit Ratio | 0.94 | 0.69 |
| Expected Daily | 0.07% | 0.04% |
| Expected Monthly | 1.27% | 0.84% |
| Expected Yearly | 8.57% | 5.57% |
| Kelly Criterion | 9.66% | 9.33% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.03% |
| Expected Shortfall (cVaR) | -1.72% | -1.29% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.25 | 0.2 |
| Gain/Pain (1M) | 2.6 | 1.97 |
| Payoff Ratio | 1.06 | 1.01 |
| Profit Factor | 1.25 | 1.2 |
| Common Sense Ratio | 1.24 | 1.19 |
| CPC Index | 0.71 | 0.66 |
| Tail Ratio | 0.99 | 0.99 |
| Outlier Win Ratio | 2.88 | 3.89 |
| Outlier Loss Ratio | 3.19 | 2.75 |
| MTD | 1.08% | -0.41% |
| 3M | 3.82% | 1.09% |
| 6M | 19.85% | 12.99% |
| YTD | 14.3% | 9.74% |
| 1Y | 17.87% | 11.46% |
| 3Y (ann.) | 18.02% | 11.55% |
| 5Y (ann.) | 18.02% | 11.55% |
| 10Y (ann.) | 18.02% | 11.55% |
| All-time (ann.) | 18.02% | 11.55% |
| Best Day | 2.91% | 2.26% |
| Worst Day | -2.7% | -1.93% |
| Best Month | 10.51% | 6.34% |
| Worst Month | -4.94% | -4.84% |
| Best Year | 14.3% | 9.74% |
| Worst Year | 3.13% | 1.56% |
| Avg. Drawdown | -1.71% | -1.4% |
| Avg. Drawdown Days | 13 | 11 |
| Recovery Factor | 1.94 | 1.56 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.16 | 0.75 |
| Avg. Up Month | 3.23% | 1.99% |
| Avg. Down Month | -4.94% | -4.84% |
| Win Days | 53.6% | 54.43% |
| Win Month | 76.92% | 69.23% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.74 |
| Alpha | - | -0.01 |
| Correlation | - | 92.24% |
| Treynor Ratio | - | 15.56% |
| Year | SPY | ORILX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 1.56 | 0.50 | - |
| 2026 | 14.30 | 9.74 | 0.68 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-27 | 2026-04-16 | -7.30 | 49 |
| 2025-10-28 | 2025-12-09 | -4.45 | 43 |
| 2026-08-14 | 2026-09-22 | -3.27 | 40 |
| 2025-10-07 | 2025-10-17 | -2.51 | 11 |
| 2026-06-03 | 2026-06-12 | -2.45 | 10 |
| 2026-07-07 | 2026-08-03 | -1.94 | 28 |
| 2026-05-15 | 2026-05-21 | -1.64 | 7 |
| 2025-12-12 | 2025-12-23 | -1.60 | 12 |
| 2026-01-28 | 2026-02-05 | -1.42 | 9 |
| 2026-04-20 | 2026-04-29 | -1.24 | 10 |