| Metric | SPY | BIVIX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 204.97% | 300.31% |
| CAGR﹪ | 16.25% | 20.6% |
| Sharpe | 0.72 | 0.85 |
| Prob. Sharpe Ratio | 97.45% | 99.1% |
| Smart Sharpe | 0.63 | 0.79 |
| Sortino | 1.02 | 1.39 |
| Smart Sortino | 0.88 | 1.3 |
| Sortino/√2 | 0.72 | 0.98 |
| Smart Sortino/√2 | 0.62 | 0.92 |
| Omega | 1.18 | 1.2 |
| Max Drawdown | -33.72% | -26.95% |
| Max DD Date | 2020-03-23 | 2026-06-22 |
| Max DD Period Start | 2020-02-20 | 2026-03-09 |
| Max DD Period End | 2020-08-07 | 2026-07-27 |
| Longest DD Days | 708 | 788 |
| Volatility (ann.) | 19.45% | 21.4% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.48 | 0.76 |
| Skew | -0.29 | 1.02 |
| Kurtosis | 13.94 | 5.78 |
| Ulcer Performance Index | 25.91 | 33.93 |
| Risk-Adjusted Return | 16.25% | 21.02% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.06% | 0.08% |
| Avg. Win | 0.85% | 0.94% |
| Avg. Loss | -0.88% | -0.81% |
| Win/Loss Ratio | 0.97 | 1.17 |
| Profit Ratio | 0.78 | 1.11 |
| Expected Daily | 0.06% | 0.07% |
| Expected Monthly | 1.25% | 1.55% |
| Expected Yearly | 14.96% | 18.93% |
| Kelly Criterion | 8.81% | 6.42% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -2.13% |
| Expected Shortfall (cVaR) | -3.2% | -2.88% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.18 | 0.2 |
| Gain/Pain (1M) | 1.15 | 1.13 |
| Payoff Ratio | 0.97 | 1.17 |
| Profit Factor | 1.18 | 1.2 |
| Common Sense Ratio | 1.13 | 1.59 |
| CPC Index | 0.63 | 0.69 |
| Tail Ratio | 0.96 | 1.33 |
| Outlier Win Ratio | 3.69 | 4.59 |
| Outlier Loss Ratio | 4.12 | 3.59 |
| 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.) | 16.25% | 20.6% |
| All-time (ann.) | 16.25% | 20.6% |
| Best Day | 10.5% | 11.47% |
| Worst Day | -10.94% | -5.68% |
| Best Month | 12.7% | 29.45% |
| Worst Month | -12.49% | -12.61% |
| Best Year | 28.73% | 63.76% |
| Worst Year | -18.18% | -8.78% |
| Avg. Drawdown | -1.79% | -3.94% |
| Avg. Drawdown Days | 16 | 41 |
| Recovery Factor | 3.72 | 5.77 |
| Ulcer Index | 0.08 | 0.09 |
| Serenity Index | 1.03 | 1.3 |
| Avg. Up Month | 3.86% | 6.05% |
| Avg. Down Month | -4.35% | -5.07% |
| Win Days | 55.15% | 49.59% |
| Win Month | 65.56% | 60.0% |
| Win Quarter | 77.42% | 74.19% |
| Win Year | 87.5% | 87.5% |
| Beta | - | -0.04 |
| Alpha | - | 0.22 |
| Correlation | - | -3.55% |
| Treynor Ratio | - | -7697.84% |
| Year | SPY | BIVIX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 7.05 | 0.43 | - |
| 2020 | 18.33 | 11.50 | 0.63 | - |
| 2021 | 28.73 | 63.76 | 2.22 | + |
| 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 |
| 2019-11-06 | 2020-06-05 | -18.32 | 213 |
| 2024-01-08 | 2026-03-05 | -17.20 | 788 |
| 2021-05-18 | 2021-12-15 | -16.64 | 212 |
| 2020-06-09 | 2020-11-06 | -15.29 | 151 |
| 2022-06-09 | 2022-12-29 | -14.26 | 204 |
| 2020-12-07 | 2021-01-05 | -10.52 | 30 |
| 2019-07-02 | 2019-09-09 | -9.53 | 70 |
| 2026-10-23 | 2026-10-30 | -7.64 | 8 |