| Metric | SPY | ORR |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 31.9% | 49.56% |
| CAGR﹪ | 16.65% | 25.1% |
| Sharpe | 0.74 | 1.3 |
| Prob. Sharpe Ratio | 84.65% | 95.99% |
| Smart Sharpe | 0.66 | 1.13 |
| Sortino | 1.11 | 1.97 |
| Smart Sortino | 0.99 | 1.72 |
| Sortino/√2 | 0.78 | 1.4 |
| Smart Sortino/√2 | 0.7 | 1.21 |
| Omega | 1.21 | 1.31 |
| 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.) | 16.83% | 14.85% |
| R^2 | 0.34 | 0.34 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.89 | 2.53 |
| Skew | 1.29 | 0.31 |
| Kurtosis | 23.67 | 6.13 |
| Ulcer Performance Index | 8.3 | 13.47 |
| Risk-Adjusted Return | 16.65% | 25.1% |
| Risk-Return Ratio | 0.06 | 0.1 |
| Avg. Return | 0.07% | 0.09% |
| Avg. Win | 0.79% | 0.81% |
| Avg. Loss | -0.82% | -0.79% |
| Win/Loss Ratio | 0.97 | 1.04 |
| Profit Ratio | 0.86 | 0.78 |
| Expected Daily | 0.06% | 0.09% |
| Expected Monthly | 1.21% | 1.77% |
| Expected Yearly | 14.85% | 22.29% |
| Kelly Criterion | 7.39% | 14.21% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.68% | -1.44% |
| Expected Shortfall (cVaR) | -2.59% | -2.02% |
| Max Consecutive Wins | 9 | 10 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.21 | 0.31 |
| Gain/Pain (1M) | 2.08 | 3.68 |
| Payoff Ratio | 0.97 | 1.04 |
| Profit Factor | 1.21 | 1.31 |
| Common Sense Ratio | 1.2 | 1.35 |
| CPC Index | 0.64 | 0.77 |
| Tail Ratio | 0.99 | 1.03 |
| Outlier Win Ratio | 3.32 | 3.4 |
| Outlier Loss Ratio | 3.83 | 3.03 |
| MTD | 1.47% | 0.44% |
| 3M | 1.46% | -0.85% |
| 6M | 6.94% | 8.14% |
| YTD | 13.33% | 13.17% |
| 1Y | 13.43% | 21.82% |
| 3Y (ann.) | 16.65% | 25.1% |
| 5Y (ann.) | 16.65% | 25.1% |
| 10Y (ann.) | 16.65% | 25.1% |
| All-time (ann.) | 16.65% | 25.1% |
| 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 | 13.33% | 13.17% |
| Avg. Drawdown | -1.85% | -1.86% |
| Avg. Drawdown Days | 14 | 17 |
| Recovery Factor | 1.61 | 4.27 |
| Ulcer Index | 0.04 | 0.04 |
| Serenity Index | 0.8 | 1.31 |
| Avg. Up Month | 2.21% | 3.3% |
| Avg. Down Month | -2.04% | -3.53% |
| Win Days | 54.3% | 56.32% |
| Win Month | 65.22% | 73.91% |
| Win Quarter | 75.0% | 87.5% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.51 |
| Alpha | - | 0.15 |
| Correlation | - | 58.14% |
| Treynor Ratio | - | 96.65% |
| Year | SPY | ORR | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 16.39 | 32.15 | 1.96 | + |
| 2026 | 13.33 | 13.17 | 0.99 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-08-03 | -9.90 | 155 |
| 2025-03-26 | 2025-06-05 | -8.64 | 72 |
| 2026-08-07 | 2026-11-04 | -5.74 | 90 |
| 2025-09-17 | 2025-11-07 | -4.52 | 52 |
| 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 |