| Metric | SPY | ORILX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 197.48% | 113.39% |
| CAGR﹪ | 15.87% | 10.78% |
| Sharpe | 0.71 | 0.53 |
| Prob. Sharpe Ratio | 97.17% | 92.1% |
| Smart Sharpe | 0.61 | 0.45 |
| Sortino | 1.0 | 0.73 |
| Smart Sortino | 0.86 | 0.63 |
| Sortino/√2 | 0.7 | 0.51 |
| Smart Sortino/√2 | 0.61 | 0.44 |
| Omega | 1.18 | 1.14 |
| Max Drawdown | -33.72% | -32.12% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-02-20 |
| Max DD Period End | 2020-08-07 | 2020-08-11 |
| Longest DD Days | 714 | 841 |
| Volatility (ann.) | 19.43% | 16.6% |
| R^2 | 0.89 | 0.89 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.47 | 0.34 |
| Skew | -0.29 | -0.84 |
| Kurtosis | 13.99 | 16.33 |
| Ulcer Performance Index | 23.05 | 13.27 |
| Risk-Adjusted Return | 15.87% | 11.23% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.07% | 0.05% |
| Avg. Win | 0.88% | 0.76% |
| Avg. Loss | -0.92% | -0.81% |
| Win/Loss Ratio | 0.96 | 0.93 |
| Profit Ratio | 0.78 | 0.7 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.22% | 0.85% |
| Expected Yearly | 14.6% | 9.94% |
| Kelly Criterion | 8.39% | 5.31% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -1.67% |
| Expected Shortfall (cVaR) | -3.2% | -2.82% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.14 |
| Gain/Pain (1M) | 1.1 | 0.81 |
| Payoff Ratio | 0.96 | 0.93 |
| Profit Factor | 1.18 | 1.14 |
| Common Sense Ratio | 1.13 | 1.21 |
| CPC Index | 0.62 | 0.58 |
| Tail Ratio | 0.96 | 1.06 |
| Outlier Win Ratio | 3.7 | 3.74 |
| Outlier Loss Ratio | 4.12 | 3.85 |
| 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.) | 15.87% | 10.78% |
| All-time (ann.) | 15.87% | 10.78% |
| Best Day | 10.5% | 7.94% |
| Worst Day | -10.94% | -11.07% |
| Best Month | 12.7% | 10.72% |
| Worst Month | -12.49% | -13.15% |
| Best Year | 28.73% | 21.09% |
| Worst Year | -20.18% | -17.27% |
| Avg. Drawdown | -1.82% | -2.03% |
| Avg. Drawdown Days | 16 | 22 |
| Recovery Factor | 3.65 | 2.68 |
| Ulcer Index | 0.09 | 0.09 |
| Serenity Index | 0.87 | 0.54 |
| Avg. Up Month | 4.18% | 3.47% |
| Avg. Down Month | -4.14% | -3.9% |
| Win Days | 55.13% | 54.3% |
| Win Month | 65.56% | 64.44% |
| Win Quarter | 77.42% | 61.29% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.8 |
| Alpha | - | -0.02 |
| Correlation | - | 94.17% |
| Treynor Ratio | - | 140.96% |
| Year | SPY | ORILX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 12.41 | 0.76 | - |
| 2020 | 18.33 | 16.98 | 0.93 | - |
| 2021 | 28.73 | 21.09 | 0.73 | - |
| 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 |
|---|---|---|---|
| 2020-02-20 | 2020-08-11 | -32.12 | 174 |
| 2021-11-17 | 2024-03-06 | -23.78 | 841 |
| 2024-12-05 | 2025-06-27 | -13.74 | 205 |
| 2020-09-03 | 2020-10-09 | -8.52 | 37 |
| 2026-02-27 | 2026-04-16 | -7.30 | 49 |
| 2021-02-16 | 2021-04-08 | -7.11 | 52 |
| 2020-10-13 | 2020-11-04 | -6.96 | 23 |
| 2019-07-25 | 2019-10-31 | -6.57 | 99 |
| 2021-09-03 | 2021-10-22 | -5.15 | 50 |
| 2024-07-17 | 2024-08-22 | -5.14 | 37 |