| Metric | SPY | ORR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.39% | 20.32% |
| CAGR﹪ | 14.51% | 20.5% |
| Sharpe | 0.83 | 1.13 |
| Prob. Sharpe Ratio | 79.61% | 87.04% |
| Smart Sharpe | 0.82 | 1.11 |
| Sortino | 1.22 | 1.69 |
| Smart Sortino | 1.2 | 1.66 |
| Sortino/√2 | 0.86 | 1.2 |
| Smart Sortino/√2 | 0.85 | 1.17 |
| Omega | 1.2 | 1.25 |
| Max Drawdown | -8.88% | -9.9% |
| Max DD Date | 2026-03-30 | 2026-06-10 |
| Max DD Period Start | 2026-01-28 | 2026-03-02 |
| Max DD Period End | 2026-04-13 | 2026-08-03 |
| Longest DD Days | 76 | 155 |
| Volatility (ann.) | 12.86% | 14.17% |
| R^2 | 0.32 | 0.32 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 1.63 | 2.07 |
| Skew | -0.02 | 0.13 |
| Kurtosis | 0.78 | 0.88 |
| Ulcer Performance Index | 6.68 | 4.43 |
| Risk-Adjusted Return | 14.51% | 20.5% |
| Risk-Return Ratio | 0.07 | 0.09 |
| Avg. Return | 0.06% | 0.08% |
| Avg. Win | 0.75% | 0.8% |
| Avg. Loss | -0.7% | -0.78% |
| Win/Loss Ratio | 1.07 | 1.03 |
| Profit Ratio | 1.02 | 0.7 |
| Expected Daily | 0.05% | 0.07% |
| Expected Monthly | 1.04% | 1.43% |
| Expected Yearly | 6.95% | 9.69% |
| Kelly Criterion | 7.11% | 14.95% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.39% |
| Expected Shortfall (cVaR) | -1.66% | -1.69% |
| Max Consecutive Wins | 7 | 10 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.2 | 0.25 |
| Gain/Pain (1M) | 1.83 | 1.82 |
| Payoff Ratio | 1.07 | 1.03 |
| Profit Factor | 1.2 | 1.25 |
| Common Sense Ratio | 1.19 | 1.26 |
| CPC Index | 0.67 | 0.73 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 2.84 | 3.47 |
| Outlier Loss Ratio | 3.01 | 2.44 |
| MTD | 1.47% | 0.44% |
| 3M | 1.46% | -0.85% |
| 6M | 6.94% | 8.14% |
| YTD | 13.33% | 13.17% |
| 1Y | 14.39% | 20.32% |
| 3Y (ann.) | 14.51% | 20.5% |
| 5Y (ann.) | 14.51% | 20.5% |
| 10Y (ann.) | 14.51% | 20.5% |
| All-time (ann.) | 14.51% | 20.5% |
| Best Day | 2.91% | 3.59% |
| Worst Day | -2.58% | -2.81% |
| Best Month | 10.51% | 7.13% |
| Worst Month | -4.94% | -6.73% |
| Best Year | 13.33% | 13.17% |
| Worst Year | 0.94% | 6.32% |
| Avg. Drawdown | -1.74% | -1.81% |
| Avg. Drawdown Days | 14 | 19 |
| Recovery Factor | 1.61 | 1.97 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 0.94 | 0.42 |
| Avg. Up Month | 0.78% | 4.06% |
| Avg. Down Month | -2.63% | -4.65% |
| Win Days | 52.0% | 56.85% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.62 |
| Alpha | - | 0.11 |
| Correlation | - | 56.23% |
| Treynor Ratio | - | 32.82% |
| Year | SPY | ORR | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 6.32 | 6.74 | + |
| 2026 | 13.33 | 13.17 | 0.99 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-08-03 | -9.90 | 155 |
| 2026-08-07 | 2026-11-04 | -5.74 | 90 |
| 2025-12-16 | 2025-12-18 | -2.17 | 3 |
| 2025-12-30 | 2026-01-06 | -2.05 | 8 |
| 2026-01-20 | 2026-01-21 | -1.68 | 2 |
| 2025-12-01 | 2025-12-12 | -1.67 | 12 |
| 2025-11-17 | 2025-11-21 | -1.12 | 5 |
| 2026-01-13 | 2026-01-15 | -0.90 | 3 |
| 2026-01-23 | 2026-01-26 | -0.59 | 4 |
| 2026-02-18 | 2026-02-19 | -0.47 | 2 |