| Metric | SPY | ORR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 33.03% | 48.78% |
| CAGR﹪ | 18.58% | 26.78% |
| Sharpe | 0.82 | 1.36 |
| Prob. Sharpe Ratio | 86.23% | 96.21% |
| Smart Sharpe | 0.73 | 1.19 |
| Sortino | 1.23 | 2.08 |
| Smart Sortino | 1.09 | 1.81 |
| Sortino/√2 | 0.87 | 1.47 |
| Smart Sortino/√2 | 0.77 | 1.28 |
| Omega | 1.23 | 1.33 |
| Max Drawdown | -18.76% | -9.9% |
| Max DD Date | 2025-04-08 | 2026-06-10 |
| Max DD Period Start | 2025-02-20 | 2026-03-02 |
| Max DD Period End | 2025-06-25 | 2026-08-03 |
| Longest DD Days | 126 | 155 |
| Volatility (ann.) | 17.17% | 15.03% |
| R^2 | 0.35 | 0.35 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.99 | 2.7 |
| Skew | 1.3 | 0.32 |
| Kurtosis | 23.38 | 6.26 |
| Ulcer Performance Index | 8.34 | 13.09 |
| Risk-Adjusted Return | 18.58% | 26.78% |
| Risk-Return Ratio | 0.07 | 0.1 |
| Avg. Return | 0.08% | 0.1% |
| Avg. Win | 0.81% | 0.82% |
| Avg. Loss | -0.83% | -0.81% |
| Win/Loss Ratio | 0.97 | 1.02 |
| Profit Ratio | 0.84 | 0.77 |
| Expected Daily | 0.07% | 0.09% |
| Expected Monthly | 1.37% | 1.91% |
| Expected Yearly | 15.34% | 21.98% |
| Kelly Criterion | 7.99% | 14.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.71% | -1.46% |
| Expected Shortfall (cVaR) | -2.77% | -2.02% |
| Max Consecutive Wins | 9 | 10 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.23 | 0.33 |
| Gain/Pain (1M) | 2.31 | 4.29 |
| Payoff Ratio | 0.97 | 1.02 |
| Profit Factor | 1.23 | 1.33 |
| Common Sense Ratio | 1.23 | 1.36 |
| CPC Index | 0.65 | 0.77 |
| Tail Ratio | 0.99 | 1.03 |
| Outlier Win Ratio | 3.47 | 3.46 |
| Outlier Loss Ratio | 3.82 | 3.01 |
| MTD | 1.08% | -0.8% |
| 3M | 3.82% | 3.75% |
| 6M | 19.85% | 7.46% |
| YTD | 14.3% | 12.59% |
| 1Y | 17.78% | 21.64% |
| 3Y (ann.) | 18.58% | 26.78% |
| 5Y (ann.) | 18.58% | 26.78% |
| 10Y (ann.) | 18.58% | 26.78% |
| All-time (ann.) | 18.58% | 26.78% |
| Best Day | 10.5% | 6.1% |
| Worst Day | -5.85% | -5.11% |
| Best Month | 10.51% | 7.13% |
| Worst Month | -5.57% | -6.73% |
| Best Year | 16.39% | 32.15% |
| Worst Year | 14.3% | 12.59% |
| Avg. Drawdown | -1.81% | -1.82% |
| Avg. Drawdown Days | 13 | 16 |
| Recovery Factor | 1.65 | 4.2 |
| Ulcer Index | 0.04 | 0.04 |
| Serenity Index | 0.79 | 1.29 |
| Avg. Up Month | 2.28% | 3.56% |
| Avg. Down Month | -2.9% | -4.0% |
| Win Days | 54.74% | 56.67% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 71.43% | 85.71% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.52 |
| Alpha | - | 0.15 |
| Correlation | - | 58.92% |
| Treynor Ratio | - | 94.62% |
| Year | SPY | ORR | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 16.39 | 32.15 | 1.96 | + |
| 2026 | 14.30 | 12.59 | 0.88 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-08-03 | -9.90 | 155 |
| 2025-03-26 | 2025-06-05 | -8.64 | 72 |
| 2025-09-17 | 2025-11-07 | -4.52 | 52 |
| 2026-08-07 | 2026-09-22 | -4.45 | 47 |
| 2025-08-21 | 2025-09-09 | -2.78 | 20 |
| 2025-06-30 | 2025-07-22 | -2.39 | 23 |
| 2025-12-16 | 2025-12-18 | -2.17 | 3 |
| 2025-01-31 | 2025-02-25 | -2.07 | 26 |
| 2025-12-30 | 2026-01-06 | -2.05 | 8 |
| 2026-01-20 | 2026-01-21 | -1.68 | 2 |