| Metric | SPY | BIVIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 18.6% | -3.99% |
| CAGR﹪ | 40.67% | -7.81% |
| Sharpe | 2.32 | -0.07 |
| Prob. Sharpe Ratio | 95.04% | 48.13% |
| Smart Sharpe | 2.3 | -0.07 |
| Sortino | 3.78 | -0.1 |
| Smart Sortino | 3.75 | -0.1 |
| Sortino/√2 | 2.67 | -0.07 |
| Smart Sortino/√2 | 2.65 | -0.07 |
| Omega | 1.54 | 1.0 |
| Max Drawdown | -4.49% | -26.48% |
| Max DD Date | 2026-06-10 | 2026-06-22 |
| Max DD Period Start | 2026-06-03 | 2026-03-31 |
| Max DD Period End | 2026-07-31 | 2026-07-27 |
| Longest DD Days | 59 | 119 |
| Volatility (ann.) | 13.55% | 42.55% |
| R^2 | 0.2 | 0.2 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 9.05 | -0.3 |
| Skew | 0.1 | 0.53 |
| Kurtosis | 1.12 | -0.26 |
| Ulcer Performance Index | 11.86 | -0.32 |
| Risk-Adjusted Return | 40.67% | -7.81% |
| Risk-Return Ratio | 0.16 | 0.0 |
| Avg. Return | 0.13% | 0.0% |
| Avg. Win | 0.43% | 1.87% |
| Avg. Loss | -0.47% | -1.44% |
| Win/Loss Ratio | 0.91 | 1.3 |
| Profit Ratio | 1.12 | 2.03 |
| Expected Daily | 0.14% | -0.03% |
| Expected Monthly | 2.47% | -0.58% |
| Expected Yearly | 18.6% | -3.99% |
| Kelly Criterion | 3.12% | -4.88% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -4.41% |
| Expected Shortfall (cVaR) | -1.77% | -4.91% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.54 | 0.0 |
| Gain/Pain (1M) | 10.92 | 0.01 |
| Payoff Ratio | 0.91 | 1.3 |
| Profit Factor | 1.54 | 1.0 |
| Common Sense Ratio | 2.01 | 1.37 |
| CPC Index | 0.75 | 0.53 |
| Tail Ratio | 1.3 | 1.37 |
| Outlier Win Ratio | 3.21 | 2.3 |
| Outlier Loss Ratio | 3.16 | 2.51 |
| MTD | 1.08% | -10.52% |
| 3M | 3.82% | 20.0% |
| 6M | 18.6% | -3.99% |
| YTD | 18.6% | -3.99% |
| 1Y | 18.6% | -3.99% |
| 3Y (ann.) | 40.67% | -7.81% |
| 5Y (ann.) | 40.67% | -7.81% |
| 10Y (ann.) | 40.67% | -7.81% |
| All-time (ann.) | 40.67% | -7.81% |
| Best Day | 2.91% | 7.13% |
| Worst Day | -2.58% | -5.68% |
| Best Month | 10.51% | 29.45% |
| Worst Month | -1.03% | -10.52% |
| Best Year | 18.6% | -3.99% |
| Worst Year | 18.6% | -3.99% |
| Avg. Drawdown | -1.13% | -10.98% |
| Avg. Drawdown Days | 9 | 44 |
| Recovery Factor | 3.9 | 0.01 |
| Ulcer Index | 0.02 | 0.13 |
| Serenity Index | 2.75 | 0.0 |
| Avg. Up Month | 1.36% | 15.28% |
| Avg. Down Month | -1.03% | -6.29% |
| Win Days | 53.97% | 40.8% |
| Win Month | 71.43% | 42.86% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 0.0% |
| Beta | - | -1.4 |
| Alpha | - | 0.5 |
| Correlation | - | -44.59% |
| Treynor Ratio | - | 2.85% |
| Year | SPY | BIVIX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 18.60 | -3.99 | -0.21 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-31 | 2026-07-27 | -26.48 | 119 |
| 2026-07-30 | 2026-09-22 | -15.60 | 55 |
| 2026-03-24 | 2026-03-25 | -1.57 | 2 |
| 2026-03-27 | 2026-03-27 | -0.27 | 1 |