| Metric | SPY | BIVIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 74.99% | 138.18% |
| CAGR﹪ | 11.91% | 19.07% |
| Sharpe | 0.52 | 0.76 |
| Prob. Sharpe Ratio | 87.6% | 95.77% |
| Smart Sharpe | 0.5 | 0.73 |
| Sortino | 0.74 | 1.23 |
| Smart Sortino | 0.72 | 1.19 |
| Sortino/√2 | 0.53 | 0.87 |
| Smart Sortino/√2 | 0.51 | 0.84 |
| Omega | 1.14 | 1.19 |
| 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.) | 17.19% | 20.76% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.49 | 0.71 |
| Skew | 0.33 | 0.89 |
| Kurtosis | 8.98 | 4.64 |
| Ulcer Performance Index | 8.86 | 15.36 |
| Risk-Adjusted Return | 11.91% | 19.46% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.05% | 0.08% |
| Avg. Win | 0.83% | 0.79% |
| Avg. Loss | -0.78% | -0.72% |
| Win/Loss Ratio | 1.06 | 1.1 |
| Profit Ratio | 0.86 | 1.09 |
| Expected Daily | 0.04% | 0.07% |
| Expected Monthly | 0.92% | 1.43% |
| Expected Yearly | 9.77% | 15.56% |
| Kelly Criterion | 9.45% | 4.42% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -2.07% |
| Expected Shortfall (cVaR) | -2.58% | -2.85% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.14 | 0.19 |
| Gain/Pain (1M) | 0.79 | 1.01 |
| Payoff Ratio | 1.06 | 1.1 |
| Profit Factor | 1.14 | 1.19 |
| Common Sense Ratio | 1.15 | 1.46 |
| CPC Index | 0.64 | 0.66 |
| Tail Ratio | 1.0 | 1.23 |
| Outlier Win Ratio | 3.4 | 5.06 |
| Outlier Loss Ratio | 3.8 | 3.83 |
| MTD | 1.47% | 8.64% |
| 3M | 1.46% | 15.08% |
| 6M | 6.94% | 30.16% |
| YTD | 13.33% | 22.88% |
| 1Y | 13.43% | 39.12% |
| 3Y (ann.) | 20.78% | 5.55% |
| 5Y (ann.) | 12.86% | 17.15% |
| 10Y (ann.) | 11.91% | 19.07% |
| All-time (ann.) | 11.91% | 19.07% |
| Best Day | 10.5% | 7.13% |
| Worst Day | -5.85% | -5.68% |
| Best Month | 10.51% | 29.45% |
| Worst Month | -9.24% | -12.61% |
| Best Year | 26.18% | 49.89% |
| Worst Year | -18.18% | -8.78% |
| Avg. Drawdown | -1.94% | -3.13% |
| Avg. Drawdown Days | 21 | 38 |
| Recovery Factor | 2.58 | 3.62 |
| Ulcer Index | 0.08 | 0.09 |
| Serenity Index | 0.43 | 0.75 |
| Avg. Up Month | 3.26% | 6.36% |
| Avg. Down Month | -3.76% | -5.29% |
| Win Days | 53.48% | 49.92% |
| Win Month | 62.3% | 57.38% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 83.33% | 83.33% |
| Beta | - | -0.15 |
| Alpha | - | 0.22 |
| Correlation | - | -12.73% |
| Treynor Ratio | - | -898.75% |
| Year | SPY | BIVIX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 16.29 | 9.42 | + |
| 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 | 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 |
| 2024-01-08 | 2026-03-05 | -17.20 | 788 |
| 2022-06-09 | 2022-12-29 | -14.26 | 204 |
| 2026-10-23 | 2026-10-30 | -7.64 | 8 |
| 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 |