| Metric | SPY | ORILX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 6.48% | 3.42% |
| CAGR﹪ | 13.27% | 6.89% |
| Sharpe | 0.78 | 0.38 |
| Prob. Sharpe Ratio | 70.87% | 60.64% |
| Smart Sharpe | 0.75 | 0.31 |
| Sortino | 1.14 | 0.54 |
| Smart Sortino | 1.09 | 0.45 |
| Sortino/√2 | 0.8 | 0.38 |
| Smart Sortino/√2 | 0.77 | 0.32 |
| Omega | 1.19 | 1.13 |
| Max Drawdown | -4.49% | -3.82% |
| Max DD Date | 2026-06-10 | 2026-10-16 |
| Max DD Period Start | 2026-06-03 | 2026-08-14 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 83 |
| Volatility (ann.) | 12.4% | 9.22% |
| R^2 | 0.85 | 0.85 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 2.95 | 1.8 |
| Skew | -0.15 | -0.11 |
| Kurtosis | 0.59 | 0.56 |
| Ulcer Performance Index | 3.89 | 1.8 |
| Risk-Adjusted Return | 13.27% | 7.1% |
| Risk-Return Ratio | 0.07 | 0.05 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.69% | 0.52% |
| Avg. Loss | -0.61% | -0.49% |
| Win/Loss Ratio | 1.13 | 1.06 |
| Profit Ratio | 1.15 | 0.85 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 0.9% | 0.48% |
| Expected Yearly | 6.48% | 3.42% |
| Kelly Criterion | 6.62% | 6.78% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.93% |
| Expected Shortfall (cVaR) | -1.63% | -1.17% |
| Max Consecutive Wins | 4 | 5 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.19 | 0.13 |
| Gain/Pain (1M) | 3.26 | 1.36 |
| Payoff Ratio | 1.13 | 1.06 |
| Profit Factor | 1.19 | 1.13 |
| Common Sense Ratio | 1.47 | 1.1 |
| CPC Index | 0.68 | 0.62 |
| Tail Ratio | 1.23 | 0.98 |
| Outlier Win Ratio | 2.66 | 2.67 |
| Outlier Loss Ratio | 3.07 | 2.55 |
| MTD | 1.47% | 1.2% |
| 3M | 1.46% | -0.72% |
| 6M | 6.48% | 3.42% |
| YTD | 6.48% | 3.42% |
| 1Y | 6.48% | 3.42% |
| 3Y (ann.) | 13.27% | 6.89% |
| 5Y (ann.) | 13.27% | 6.89% |
| 10Y (ann.) | 13.27% | 6.89% |
| All-time (ann.) | 13.27% | 6.89% |
| Best Day | 1.8% | 1.81% |
| Worst Day | -2.58% | -1.93% |
| Best Month | 4.52% | 2.03% |
| Worst Month | -1.03% | -2.2% |
| Best Year | 6.48% | 3.42% |
| Worst Year | 6.48% | 3.42% |
| Avg. Drawdown | -1.57% | -1.15% |
| Avg. Drawdown Days | 17 | 14 |
| Recovery Factor | 1.48 | 0.93 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.91 | 0.3 |
| Avg. Up Month | 2.89% | 1.46% |
| Avg. Down Month | -0.33% | -2.2% |
| Win Days | 50.39% | 52.03% |
| Win Month | 57.14% | 71.43% |
| Win Quarter | 100.0% | 66.67% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.69 |
| Alpha | - | -0.02 |
| Correlation | - | 92.39% |
| Treynor Ratio | - | 4.97% |
| Year | SPY | ORILX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | 3.42 | 0.53 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-08-14 | 2026-11-04 | -3.82 | 83 |
| 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 |
| 2026-06-16 | 2026-06-26 | -1.04 | 11 |
| 2026-05-07 | 2026-05-13 | -0.74 | 7 |
| 2026-08-05 | 2026-08-06 | -0.40 | 2 |
| 2026-08-10 | 2026-08-12 | -0.35 | 3 |
| 2026-07-01 | 2026-07-02 | -0.10 | 2 |
| 2026-05-27 | 2026-05-27 | -0.05 | 1 |