| Metric | SPY | BIVIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 86.58% | 94.26% |
| CAGR﹪ | 13.36% | 14.29% |
| Sharpe | 0.59 | 0.58 |
| Prob. Sharpe Ratio | 90.85% | 90.46% |
| Smart Sharpe | 0.58 | 0.56 |
| Sortino | 0.86 | 0.91 |
| Smart Sortino | 0.83 | 0.89 |
| Sortino/√2 | 0.61 | 0.65 |
| Smart Sortino/√2 | 0.59 | 0.63 |
| Omega | 1.16 | 1.15 |
| Max Drawdown | -24.5% | -26.95% |
| Max DD Date | 2022-10-12 | 2026-06-22 |
| Max DD Period Start | 2022-01-04 | 2026-03-09 |
| Max DD Period End | 2023-12-12 | 2026-07-27 |
| Longest DD Days | 708 | 788 |
| Volatility (ann.) | 17.2% | 19.89% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.55 | 0.53 |
| Skew | 0.32 | 0.74 |
| Kurtosis | 8.95 | 4.46 |
| Ulcer Performance Index | 10.24 | 10.71 |
| Risk-Adjusted Return | 13.36% | 14.58% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.05% | 0.06% |
| Avg. Win | 0.82% | 0.76% |
| Avg. Loss | -0.79% | -0.72% |
| Win/Loss Ratio | 1.04 | 1.06 |
| Profit Ratio | 0.83 | 1.06 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.03% | 1.09% |
| Expected Yearly | 10.95% | 11.7% |
| Kelly Criterion | 9.91% | 2.78% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -2.0% |
| Expected Shortfall (cVaR) | -2.58% | -2.84% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.15 |
| Gain/Pain (1M) | 0.87 | 0.8 |
| Payoff Ratio | 1.04 | 1.06 |
| Profit Factor | 1.16 | 1.15 |
| Common Sense Ratio | 1.17 | 1.39 |
| CPC Index | 0.65 | 0.61 |
| Tail Ratio | 1.01 | 1.21 |
| Outlier Win Ratio | 3.41 | 4.68 |
| Outlier Loss Ratio | 3.77 | 3.88 |
| MTD | 1.08% | -10.52% |
| 3M | 3.82% | 20.0% |
| 6M | 19.85% | -3.99% |
| YTD | 14.3% | -3.39% |
| 1Y | 17.78% | 1.04% |
| 3Y (ann.) | 24.86% | -2.81% |
| 5Y (ann.) | 13.06% | 13.52% |
| 10Y (ann.) | 13.36% | 14.29% |
| All-time (ann.) | 13.36% | 14.29% |
| Best Day | 10.5% | 7.13% |
| Worst Day | -5.85% | -5.68% |
| Best Month | 10.51% | 29.45% |
| Worst Month | -9.24% | -10.52% |
| Best Year | 26.18% | 49.89% |
| Worst Year | -18.18% | -8.78% |
| Avg. Drawdown | -1.89% | -3.05% |
| Avg. Drawdown Days | 20 | 40 |
| Recovery Factor | 2.85 | 2.83 |
| Ulcer Index | 0.08 | 0.09 |
| Serenity Index | 0.47 | 0.57 |
| Avg. Up Month | 3.35% | 6.23% |
| Avg. Down Month | -4.33% | -4.07% |
| Win Days | 54.04% | 49.92% |
| Win Month | 63.93% | 55.74% |
| Win Quarter | 66.67% | 71.43% |
| Win Year | 83.33% | 66.67% |
| Beta | - | -0.14 |
| Alpha | - | 0.17 |
| Correlation | - | -12.4% |
| Treynor Ratio | - | -657.63% |
| Year | SPY | BIVIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | 20.63 | 2.73 | + |
| 2022 | -18.18 | 49.89 | -2.75 | + |
| 2023 | 26.18 | 16.56 | 0.63 | - |
| 2024 | 24.89 | -8.78 | -0.35 | - |
| 2025 | 17.72 | 4.58 | 0.26 | - |
| 2026 | 14.30 | -3.39 | -0.24 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-09 | 2026-07-27 | -26.95 | 141 |
| 2024-01-08 | 2026-03-05 | -17.20 | 788 |
| 2026-07-30 | 2026-09-22 | -15.60 | 55 |
| 2022-06-09 | 2022-12-29 | -14.26 | 204 |
| 2021-10-05 | 2021-11-19 | -6.10 | 46 |
| 2023-04-10 | 2023-09-19 | -5.56 | 163 |
| 2021-11-24 | 2021-12-02 | -3.79 | 9 |
| 2023-11-06 | 2023-12-29 | -3.40 | 54 |
| 2023-02-03 | 2023-03-27 | -3.35 | 53 |
| 2022-02-24 | 2022-03-01 | -2.91 | 6 |