| Metric | SPY | ORILX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 70.69% | 32.78% |
| CAGR﹪ | 11.36% | 5.87% |
| Sharpe | 0.49 | 0.21 |
| Prob. Sharpe Ratio | 86.25% | 67.73% |
| Smart Sharpe | 0.47 | 0.21 |
| Sortino | 0.7 | 0.29 |
| Smart Sortino | 0.68 | 0.29 |
| Sortino/√2 | 0.5 | 0.21 |
| Smart Sortino/√2 | 0.48 | 0.21 |
| Omega | 1.14 | 1.09 |
| Max Drawdown | -26.35% | -23.78% |
| Max DD Date | 2022-10-12 | 2022-09-30 |
| Max DD Period Start | 2022-01-04 | 2021-11-17 |
| Max DD Period End | 2023-12-18 | 2024-03-06 |
| Longest DD Days | 714 | 841 |
| Volatility (ann.) | 17.16% | 13.05% |
| R^2 | 0.86 | 0.86 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.43 | 0.25 |
| Skew | 0.33 | -0.02 |
| Kurtosis | 9.05 | 3.43 |
| Ulcer Performance Index | 7.55 | 3.53 |
| Risk-Adjusted Return | 11.36% | 6.12% |
| Risk-Return Ratio | 0.04 | 0.03 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.86% | 0.67% |
| Avg. Loss | -0.86% | -0.7% |
| Win/Loss Ratio | 1.0 | 0.96 |
| Profit Ratio | 0.86 | 0.75 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.88% | 0.47% |
| Expected Yearly | 9.32% | 4.84% |
| Kelly Criterion | 6.93% | 3.15% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.33% |
| Expected Shortfall (cVaR) | -2.58% | -1.97% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.09 |
| Gain/Pain (1M) | 0.74 | 0.42 |
| Payoff Ratio | 1.0 | 0.96 |
| Profit Factor | 1.14 | 1.09 |
| Common Sense Ratio | 1.13 | 1.16 |
| CPC Index | 0.61 | 0.55 |
| Tail Ratio | 1.0 | 1.07 |
| Outlier Win Ratio | 3.42 | 3.43 |
| Outlier Loss Ratio | 3.8 | 3.63 |
| MTD | 1.47% | 1.2% |
| 3M | 1.46% | -0.72% |
| 6M | 6.94% | 3.91% |
| YTD | 13.33% | 9.12% |
| 1Y | 13.43% | 10.83% |
| 3Y (ann.) | 20.78% | 13.45% |
| 5Y (ann.) | 12.3% | 7.2% |
| 10Y (ann.) | 11.36% | 5.87% |
| All-time (ann.) | 11.36% | 5.87% |
| Best Day | 10.5% | 5.67% |
| Worst Day | -5.85% | -3.96% |
| Best Month | 10.51% | 8.31% |
| Worst Month | -10.5% | -8.53% |
| Best Year | 26.18% | 18.0% |
| Worst Year | -20.18% | -17.27% |
| Avg. Drawdown | -1.98% | -1.96% |
| Avg. Drawdown Days | 21 | 30 |
| Recovery Factor | 2.31 | 1.37 |
| Ulcer Index | 0.09 | 0.09 |
| Serenity Index | 0.34 | 0.15 |
| Avg. Up Month | 4.06% | 3.25% |
| Avg. Down Month | -4.04% | -3.72% |
| Win Days | 53.44% | 52.59% |
| Win Month | 62.3% | 59.02% |
| Win Quarter | 71.43% | 52.38% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.71 |
| Alpha | - | -0.02 |
| Correlation | - | 92.98% |
| Treynor Ratio | - | 46.36% |
| Year | SPY | ORILX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -0.92 | -0.53 | - |
| 2022 | -20.18 | -17.27 | 0.86 | + |
| 2023 | 26.18 | 18.00 | 0.69 | - |
| 2024 | 24.89 | 12.12 | 0.49 | - |
| 2025 | 17.72 | 12.21 | 0.69 | - |
| 2026 | 13.33 | 9.12 | 0.68 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-17 | 2024-03-06 | -23.78 | 841 |
| 2024-12-05 | 2025-06-27 | -13.74 | 205 |
| 2026-02-27 | 2026-04-16 | -7.30 | 49 |
| 2024-07-17 | 2024-08-22 | -5.14 | 37 |
| 2024-04-01 | 2024-05-14 | -4.89 | 44 |
| 2025-10-28 | 2025-12-09 | -4.45 | 43 |
| 2026-08-14 | 2026-11-04 | -3.82 | 83 |
| 2024-09-03 | 2024-09-16 | -2.90 | 14 |
| 2024-10-21 | 2024-11-05 | -2.57 | 16 |
| 2025-10-07 | 2025-10-17 | -2.51 | 11 |