| Metric | SPY | ORR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.87% | 20.31% |
| CAGR﹪ | 18.02% | 20.49% |
| Sharpe | 1.04 | 1.1 |
| Prob. Sharpe Ratio | 84.73% | 86.3% |
| Smart Sharpe | 1.01 | 1.08 |
| Sortino | 1.51 | 1.62 |
| Smart Sortino | 1.47 | 1.6 |
| Sortino/√2 | 1.07 | 1.15 |
| Smart Sortino/√2 | 1.04 | 1.13 |
| Omega | 1.25 | 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.) | 12.99% | 14.31% |
| R^2 | 0.33 | 0.33 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 2.03 | 2.07 |
| Skew | -0.15 | 0.05 |
| Kurtosis | 1.05 | 0.88 |
| Ulcer Performance Index | 8.3 | 4.49 |
| Risk-Adjusted Return | 18.02% | 20.49% |
| Risk-Return Ratio | 0.08 | 0.09 |
| Avg. Return | 0.08% | 0.08% |
| Avg. Win | 0.75% | 0.81% |
| Avg. Loss | -0.72% | -0.83% |
| Win/Loss Ratio | 1.04 | 0.97 |
| Profit Ratio | 0.94 | 0.63 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.27% | 1.43% |
| Expected Yearly | 8.57% | 9.69% |
| Kelly Criterion | 8.92% | 14.73% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.4% |
| Expected Shortfall (cVaR) | -1.72% | -1.74% |
| Max Consecutive Wins | 7 | 10 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | 0.25 | 0.25 |
| Gain/Pain (1M) | 2.6 | 1.87 |
| Payoff Ratio | 1.04 | 0.97 |
| Profit Factor | 1.25 | 1.25 |
| Common Sense Ratio | 1.24 | 1.19 |
| CPC Index | 0.7 | 0.7 |
| Tail Ratio | 0.99 | 0.95 |
| Outlier Win Ratio | 2.88 | 3.52 |
| Outlier Loss Ratio | 3.19 | 2.58 |
| MTD | 1.08% | -0.8% |
| 3M | 3.82% | 3.75% |
| 6M | 19.85% | 7.46% |
| YTD | 14.3% | 12.59% |
| 1Y | 17.87% | 20.31% |
| 3Y (ann.) | 18.02% | 20.49% |
| 5Y (ann.) | 18.02% | 20.49% |
| 10Y (ann.) | 18.02% | 20.49% |
| All-time (ann.) | 18.02% | 20.49% |
| Best Day | 2.91% | 3.59% |
| Worst Day | -2.7% | -2.81% |
| Best Month | 10.51% | 7.13% |
| Worst Month | -4.94% | -6.73% |
| Best Year | 14.3% | 12.59% |
| Worst Year | 3.13% | 6.86% |
| Avg. Drawdown | -1.71% | -1.86% |
| Avg. Drawdown Days | 13 | 17 |
| Recovery Factor | 1.94 | 1.97 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 1.16 | 0.44 |
| Avg. Up Month | 0.83% | 4.4% |
| Avg. Down Month | -4.94% | -6.73% |
| Win Days | 53.6% | 58.06% |
| Win Month | 76.92% | 53.85% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.63 |
| Alpha | - | 0.09 |
| Correlation | - | 57.01% |
| Treynor Ratio | - | 32.35% |
| Year | SPY | ORR | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 6.86 | 2.20 | + |
| 2026 | 14.30 | 12.59 | 0.88 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-08-03 | -9.90 | 155 |
| 2026-08-07 | 2026-09-22 | -4.45 | 47 |
| 2025-09-26 | 2025-10-24 | -4.02 | 29 |
| 2025-12-16 | 2025-12-18 | -2.17 | 3 |
| 2025-12-30 | 2026-01-06 | -2.05 | 8 |
| 2025-10-28 | 2025-11-04 | -1.78 | 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 |