US Index Options
Systematic, S&P 500 index options
- Last session
- -0.73%
- Month to date
- +0.59%
- Since live start
- +1.06% 85 sessions
- Live max drawdown
- -9.13%
LiveEquity, indexed to 100
ResearchEquity, full history
Statistics
| Statistic | Live | Research |
|---|---|---|
| Sessions | 85 | 936 |
| Total return | +1.06% | +253.61% |
| Annualised return | +3.1% | +68.3% |
| Annualised volatility | 13.2% | 26.3% |
| Sharpe | 0.24 | 2.59 |
| Sortino | 0.25 | 4.00 |
| Max drawdown | -9.1% | -6.4% |
| Current drawdown | -6.8% | -2.6% |
| Longest drawdown, sessions | 37 | 67 |
| Up sessions | 64% | 62% |
| Best session | +2.29% | +4.63% |
| Worst session | -3.41% | -4.73% |
| Skew | -1.29 | -0.51 |
ResearchDrawdown from previous high
ResearchMonthly returns, % of capital
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 10.0 | 14.1 | 8.7 | 11.2 | -3.8 | 6.0 | -19.4 | 13.6 | -0.5 | -6.0 | 7.0 | 41.0 | |
| 2025 | 4.4 | 11.0 | 14.0 | 10.2 | 8.3 | -4.1 | 1.8 | 13.1 | 11.9 | 1.5 | -5.7 | 21.7 | 88.2 |
| 2024 | 2.5 | 5.3 | 6.8 | 5.0 | 5.1 | 1.4 | 8.6 | 0.5 | 7.2 | 13.7 | 6.3 | 0.2 | 62.6 |
| 2023 | 7.7 | 8.6 | 2.6 | 13.7 | -1.0 | 8.5 | -0.7 | 5.0 | 0.3 | 10.4 | 6.6 | 61.8 |
