| Metric | SPY | ORILX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 14.39% | 11.17% |
| CAGR﹪ | 14.51% | 11.26% |
| Sharpe | 0.83 | 0.73 |
| Prob. Sharpe Ratio | 79.61% | 76.8% |
| Smart Sharpe | 0.82 | 0.66 |
| Sortino | 1.22 | 1.09 |
| Smart Sortino | 1.2 | 0.98 |
| Sortino/√2 | 0.86 | 0.77 |
| Smart Sortino/√2 | 0.85 | 0.69 |
| Omega | 1.2 | 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 | 83 |
| Volatility (ann.) | 12.86% | 10.26% |
| R^2 | 0.86 | 0.86 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 1.63 | 1.54 |
| Skew | -0.02 | 0.15 |
| Kurtosis | 0.78 | 0.79 |
| Ulcer Performance Index | 6.68 | 5.28 |
| Risk-Adjusted Return | 14.51% | 11.73% |
| Risk-Return Ratio | 0.07 | 0.07 |
| Avg. Return | 0.06% | 0.05% |
| Avg. Win | 0.71% | 0.57% |
| Avg. Loss | -0.65% | -0.54% |
| Win/Loss Ratio | 1.09 | 1.06 |
| Profit Ratio | 1.02 | 0.76 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.04% | 0.82% |
| Expected Yearly | 6.95% | 5.44% |
| Kelly Criterion | 7.79% | 9.36% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.02% |
| Expected Shortfall (cVaR) | -1.66% | -1.24% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.2 | 0.2 |
| Gain/Pain (1M) | 1.83 | 1.49 |
| Payoff Ratio | 1.09 | 1.06 |
| Profit Factor | 1.2 | 1.2 |
| Common Sense Ratio | 1.19 | 1.18 |
| CPC Index | 0.68 | 0.68 |
| Tail Ratio | 0.99 | 0.99 |
| Outlier Win Ratio | 2.84 | 3.84 |
| Outlier Loss Ratio | 3.01 | 2.53 |
| MTD | 1.47% | 1.2% |
| 3M | 1.46% | -0.72% |
| 6M | 6.94% | 3.91% |
| YTD | 13.33% | 9.12% |
| 1Y | 14.39% | 11.17% |
| 3Y (ann.) | 14.51% | 11.26% |
| 5Y (ann.) | 14.51% | 11.26% |
| 10Y (ann.) | 14.51% | 11.26% |
| All-time (ann.) | 14.51% | 11.26% |
| Best Day | 2.91% | 2.26% |
| Worst Day | -2.58% | -1.93% |
| Best Month | 10.51% | 6.34% |
| Worst Month | -4.94% | -4.84% |
| Best Year | 13.33% | 9.12% |
| Worst Year | 0.94% | 1.88% |
| Avg. Drawdown | -1.74% | -1.3% |
| Avg. Drawdown Days | 14 | 11 |
| Recovery Factor | 1.61 | 1.52 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.94 | 0.64 |
| Avg. Up Month | 3.19% | 2.2% |
| Avg. Down Month | -2.63% | -3.52% |
| Win Days | 52.0% | 53.36% |
| Win Month | 61.54% | 76.92% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.74 |
| Alpha | - | 0.01 |
| Correlation | - | 92.47% |
| Treynor Ratio | - | 15.14% |
| Year | SPY | ORILX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 1.88 | 2.00 | + |
| 2026 | 13.33 | 9.12 | 0.68 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-27 | 2026-04-16 | -7.30 | 49 |
| 2026-08-14 | 2026-11-04 | -3.82 | 83 |
| 2025-11-13 | 2025-11-25 | -3.67 | 13 |
| 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 |
| 2026-01-16 | 2026-01-21 | -1.21 | 6 |