| Metric | SPY | BIVIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 17.87% | 1.69% |
| CAGR﹪ | 18.02% | 1.7% |
| Sharpe | 1.04 | 0.1 |
| Prob. Sharpe Ratio | 84.73% | 54.04% |
| Smart Sharpe | 1.01 | 0.1 |
| Sortino | 1.51 | 0.16 |
| Smart Sortino | 1.47 | 0.16 |
| Sortino/√2 | 1.07 | 0.11 |
| Smart Sortino/√2 | 1.04 | 0.11 |
| Omega | 1.25 | 1.04 |
| 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.) | 12.99% | 34.14% |
| R^2 | 0.15 | 0.15 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 2.03 | 0.06 |
| Skew | -0.15 | 0.58 |
| Kurtosis | 1.05 | 0.73 |
| Ulcer Performance Index | 8.3 | 0.17 |
| Risk-Adjusted Return | 18.02% | 1.73% |
| Risk-Return Ratio | 0.08 | 0.01 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.48% | 1.45% |
| Avg. Loss | -0.5% | -1.35% |
| Win/Loss Ratio | 0.95 | 1.08 |
| Profit Ratio | 0.94 | 1.38 |
| Expected Daily | 0.07% | 0.01% |
| Expected Monthly | 1.27% | 0.13% |
| Expected Yearly | 8.57% | 0.84% |
| Kelly Criterion | 4.82% | -5.47% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -3.51% |
| Expected Shortfall (cVaR) | -1.72% | -4.26% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.25 | 0.04 |
| Gain/Pain (1M) | 2.6 | 0.18 |
| Payoff Ratio | 0.95 | 1.08 |
| Profit Factor | 1.25 | 1.04 |
| Common Sense Ratio | 1.24 | 1.37 |
| CPC Index | 0.64 | 0.51 |
| Tail Ratio | 0.99 | 1.32 |
| Outlier Win Ratio | 2.88 | 3.32 |
| Outlier Loss Ratio | 3.19 | 2.94 |
| MTD | 1.08% | -10.52% |
| 3M | 3.82% | 20.0% |
| 6M | 19.85% | -3.99% |
| YTD | 14.3% | -3.39% |
| 1Y | 17.87% | 1.69% |
| 3Y (ann.) | 18.02% | 1.7% |
| 5Y (ann.) | 18.02% | 1.7% |
| 10Y (ann.) | 18.02% | 1.7% |
| All-time (ann.) | 18.02% | 1.7% |
| Best Day | 2.91% | 7.13% |
| Worst Day | -2.7% | -5.68% |
| Best Month | 10.51% | 29.45% |
| Worst Month | -4.94% | -10.52% |
| Best Year | 14.3% | 5.25% |
| Worst Year | 3.13% | -3.39% |
| Avg. Drawdown | -1.71% | -8.3% |
| Avg. Drawdown Days | 13 | 42 |
| Recovery Factor | 1.94 | 0.27 |
| Ulcer Index | 0.02 | 0.1 |
| Serenity Index | 1.16 | 0.08 |
| Avg. Up Month | 0.69% | 8.71% |
| Avg. Down Month | -1.03% | -6.29% |
| Win Days | 53.6% | 45.31% |
| Win Month | 76.92% | 53.85% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | -1.01 |
| Alpha | - | 0.25 |
| Correlation | - | -38.56% |
| Treynor Ratio | - | -1.66% |
| Year | SPY | BIVIX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 5.25 | 1.68 | + |
| 2026 | 14.30 | -3.39 | -0.24 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-09 | 2026-07-27 | -26.95 | 141 |
| 2026-07-30 | 2026-09-22 | -15.60 | 55 |
| 2025-12-18 | 2026-02-26 | -9.54 | 71 |
| 2025-09-29 | 2025-11-20 | -8.63 | 53 |
| 2025-11-24 | 2025-12-10 | -2.74 | 17 |
| 2026-03-02 | 2026-03-02 | -1.59 | 1 |
| 2025-09-25 | 2025-09-25 | -0.74 | 1 |
| 2026-03-04 | 2026-03-04 | -0.65 | 1 |