| Metric | SPY | BIVIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 14.39% | 37.92% |
| CAGR﹪ | 14.51% | 38.27% |
| Sharpe | 0.83 | 0.96 |
| Prob. Sharpe Ratio | 79.61% | 83.54% |
| Smart Sharpe | 0.82 | 0.96 |
| Sortino | 1.22 | 1.59 |
| Smart Sortino | 1.2 | 1.58 |
| Sortino/√2 | 0.86 | 1.12 |
| Smart Sortino/√2 | 0.85 | 1.12 |
| Omega | 1.2 | 1.19 |
| Max Drawdown | -8.88% | -26.95% |
| Max DD Date | 2026-03-30 | 2026-06-22 |
| Max DD Period Start | 2026-01-28 | 2026-03-09 |
| Max DD Period End | 2026-04-13 | 2026-07-27 |
| Longest DD Days | 76 | 141 |
| Volatility (ann.) | 12.86% | 36.76% |
| R^2 | 0.16 | 0.16 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 1.63 | 1.42 |
| Skew | -0.02 | 0.58 |
| Kurtosis | 0.78 | 0.38 |
| Ulcer Performance Index | 6.68 | 3.62 |
| Risk-Adjusted Return | 14.51% | 39.05% |
| Risk-Return Ratio | 0.07 | 0.07 |
| Avg. Return | 0.05% | 0.16% |
| Avg. Win | 0.49% | 1.6% |
| Avg. Loss | -0.45% | -1.34% |
| Win/Loss Ratio | 1.09 | 1.2 |
| Profit Ratio | 1.02 | 1.31 |
| Expected Daily | 0.05% | 0.13% |
| Expected Monthly | 1.04% | 2.5% |
| Expected Yearly | 6.95% | 17.44% |
| Kelly Criterion | 7.87% | 3.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -3.65% |
| Expected Shortfall (cVaR) | -1.66% | -4.46% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 9 |
| Gain/Pain Ratio | 0.2 | 0.19 |
| Gain/Pain (1M) | 1.83 | 1.04 |
| Payoff Ratio | 1.09 | 1.2 |
| Profit Factor | 1.2 | 1.19 |
| Common Sense Ratio | 1.19 | 1.8 |
| CPC Index | 0.68 | 0.68 |
| Tail Ratio | 0.99 | 1.51 |
| Outlier Win Ratio | 2.84 | 3.09 |
| Outlier Loss Ratio | 3.01 | 2.78 |
| MTD | 1.47% | 8.64% |
| 3M | 1.46% | 15.08% |
| 6M | 6.94% | 30.16% |
| YTD | 13.33% | 22.88% |
| 1Y | 14.39% | 37.92% |
| 3Y (ann.) | 14.51% | 38.27% |
| 5Y (ann.) | 14.51% | 38.27% |
| 10Y (ann.) | 14.51% | 38.27% |
| All-time (ann.) | 14.51% | 38.27% |
| Best Day | 2.91% | 7.13% |
| Worst Day | -2.58% | -5.68% |
| Best Month | 10.51% | 29.45% |
| Worst Month | -4.94% | -12.61% |
| Best Year | 13.33% | 22.88% |
| Worst Year | 0.94% | 12.24% |
| Avg. Drawdown | -1.74% | -7.39% |
| Avg. Drawdown Days | 14 | 33 |
| Recovery Factor | 1.61 | 1.44 |
| Ulcer Index | 0.02 | 0.1 |
| Serenity Index | 0.94 | 0.41 |
| Avg. Up Month | 1.02% | 10.22% |
| Avg. Down Month | -0.68% | -9.45% |
| Win Days | 52.0% | 47.54% |
| Win Month | 61.54% | 61.54% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -1.15 |
| Alpha | - | 0.56 |
| Correlation | - | -40.22% |
| Treynor Ratio | - | -32.98% |
| Year | SPY | BIVIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 12.24 | 13.04 | + |
| 2026 | 13.33 | 22.88 | 1.72 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-09 | 2026-07-27 | -26.95 | 141 |
| 2026-07-30 | 2026-10-21 | -19.00 | 84 |
| 2025-12-18 | 2026-02-26 | -9.54 | 71 |
| 2026-10-23 | 2026-10-30 | -7.64 | 8 |
| 2025-11-14 | 2025-11-20 | -2.78 | 7 |
| 2025-11-24 | 2025-12-10 | -2.74 | 17 |
| 2026-11-03 | 2026-11-03 | -2.42 | 1 |
| 2026-03-02 | 2026-03-02 | -1.59 | 1 |
| 2026-03-04 | 2026-03-04 | -0.65 | 1 |
| 2025-11-10 | 2025-11-10 | -0.61 | 1 |