Live TrackPerformanceBetaComposition
VIX HEDGED NAV 131.44  ·  October 6, 2026
Oriskany
Oriskany  ·  Global Equities Hedged
Live Track Record · SPX updated Only

Global Equity Smart Tactical
Hedged TR

Basket simulation — BNP Paribas Brio with permanent dynamic VIX Future hedge  ·  EUR Total Return

Net of fees & VIX overlay  ·  Live track record only — from December 31, 2024 to October 6, 2026  ·  the simulated history before that date is excluded from this edition

●
460 live trading days, no back-test — every figure in this report is measured on the live track alone. +31.44% over 22 months for 9.68% of volatility, an Information Ratio of 1.67 against a 0% benchmark and a worst drawdown of -8.53%, recovered in 10 business days. The beta section measures exposure to the S&P 500 spot index over the window for which the index series is available.
● Live · from December 31, 2024
+31.44%
Total Return
+16.2%
Ann. Return
1.67
Info Ratio
-8.53%
Max DD
Volatility9.68%
Sortino2.77
Calmar1.89
Beta (daily)0.36
Pos. Months73%
LIVE NAV · BASE 100 · DEC 31, 2024 – OCT 2026

Research Live Track Record · SPX updated

Live Performance — From December 31, 2024

Base 100 at December 31, 2024  ·  Net of fees & overlay  ·  EUR Total Return  ·  VIX hedged  ·  460 daily observations

●

Live track only — what this edition excludes

Earlier editions of this report carried two tracks: a simulated basket history from November 6, 2018 and the live record from December 31, 2024. This edition keeps only the second. Nothing shown here is back-tested, and no statistic blends the two periods — which also means the sample is short: 22 months, one drawdown episode of any size, and no full market cycle. Ratios computed on 460 observations carry wide confidence intervals, and should be read as a description of this period rather than as an estimate of a long-run property.

131.44
Latest NAV
Base 100 · Dec 31, 2024
+31.44%
Total Return
Since live inception
+16.2%
Ann. Return
252-day basis
1.67
Information Ratio
0% benchmark · 252d
-8.53%
Max Drawdown
March 30, 2026
9.68%
Ann. Volatility
252-day basis
1.89
Calmar Ratio
CAGR / Max DD
Live NAV — Base 100 (December 31, 2024)
VIX hedged  ·  Net of fees & overlay  ·  Green = strategy  ·  Purple = S&P 500 spot index, base 100 on Dec 31, 2024 — data through Sep 30, 2026
Live Drawdown
Peak-to-valley from weekly NAV observations since December 31, 2024  ·  daily-series maximum -8.53% (February 25, 2026 → March 30, 2026)
Rolling 1-Year Information Ratio (252 d)
252-day compounded return over 252-day annualised volatility  ·  current 0.728  ·  only 44 points: the live track is barely longer than the window itself

Returns

Performance Analysis — Live Track

December 31, 2024 – October 6, 2026  ·  VIX hedged  ·  252-day annualisation  ·  ratios built with a compounded numerator against a 0% benchmark

Monthly Return Calendar — Live (%)
16/22 positive months (73%)  ·  best +6.95% (May 2025), worst -5.36% (Mar 2026)  ·  Oct 2026 partial (to Oct 6)
Annual Returns — Live Track
2025 full year  ·  2026 partial, to October 6  ·  two observations only
Two calendar years, one of them incomplete, is not a distribution. The annual chart is shown for continuity with earlier editions; the monthly calendar, with 22 observations, is the shortest interval on which anything resembling a frequency statement can be made here.
MetricLive (since Dec 31, 2024)Last 12M
Total Return+31.44%+7.01%
Annualised Return (252d)+16.2%—
Annualised Volatility (252d)9.68%9.64%
Downside deviation (252d)5.84%—
Information Ratio (0% benchmark)1.670.73
Sortino Ratio (0% benchmark)2.77—
Beta vs S&P 500 Future (daily)0.36—
Beta vs S&P 500 Future (monthly)0.61—
Max Drawdown-8.53%—
Calmar Ratio1.89—
% Positive Months73% (16/22)—
Best Month+6.95%
May 2025		—
Worst Month-5.36%
Mar 2026		—
VIX HedgePermanent & dynamic—
Observations460 daily252 daily
Live Track InceptionDecember 31, 2024—
Report DateOctober 06, 2026—
Maximum Drawdown (Live) — Peak-to-Valley
MDD : -8.53%  ·  Peak : February 25, 2026  ·  Trough : March 30, 2026
Decline : 23 business days  ·  Recovery : 10 business days (to April 13, 2026)
One drawdown episode of material size in 22 months. The S&P 500 Future fell -18.72% over the same window while the strategy lost -8.53% — the single piece of evidence this track offers on the hedge's behaviour under stress, and it rests on one episode.
Key Ratios — Live Track
Measured on the live period alone (252d basis)

Benchmark

Beta versus the S&P 500

S&P 500 close series from SPX_resampled.csv  ·  90 weekly return observations, January 12, 2025 to September 27, 2026

Benchmark data ends before the final strategy valuation
The supplied SPX_resampled.csv contains observations through September 30, 2026. Beta is recalculated from matched weekly strategy NAV and S&P 500 returns, using the last available index close on or before each weekly valuation date. The regression covers 90 weekly return observations, January 12, 2025 to September 27, 2026. Later strategy valuation dates are excluded because the benchmark has no newer observation.
+32.89%
Benchmark Return
S&P 500, regression window
+18.07%
Ann. Return
annualized from weekly closes
15.34%
Ann. Volatility
weekly returns, annualized
0.49
Beta (weekly)
R² 0.499 · t 9.4
-17.02%
Benchmark Max DD
S&P 500 max drawdown
Weekly Returns — Strategy vs S&P 500
90 weekly observations, in percent  ·  fitted regression, slope 0.493
Regression Results
Ordinary least squares on weekly returns, Rf = 0, over the matched window
EstimateWeeklyMethod
Beta0.493OLS
Standard error0.053—
t-statistic9.37—
R²0.499—
Observations90—
Ann. alpha (Rf = 0)+7.60%—
Tracking error7.56%—
95% interval on beta0.39 to 0.60—
Rolling Beta (13 weeks)
13-week rolling regression of weekly returns. Weekly NAV observations limit the frequency and precision of this estimate.
Interpretation and limitations
Frequency. The strategy NAV supplied in this report is weekly, so beta is estimated from weekly rather than daily strategy returns. It should not be compared directly with a daily beta.

Benchmark source. S&P 500 closes are taken from the supplied SPX_resampled.csv file. The latest observation is September 30, 2026; later strategy dates are excluded from the regression.

Currency and instrument. This is the S&P 500 index close series, not the continuous futures series used in the previous report. It is not currency-hedged to EUR, so the estimated exposure may include currency effects.

Sample. The estimate is based on 90 weekly return observations. It is an in-sample historical estimate, not a forecast or guarantee of future exposure.
Definitions. Beta is the slope coefficient of the strategy's returns regressed on the benchmark's returns — its sensitivity to a one-unit move in the benchmark. R² is the share of the strategy's return variance explained by the benchmark, between 0 and 1. Alpha is the regression intercept, annualised with a risk-free rate of zero: the average return not explained by benchmark exposure. Tracking error is the annualised standard deviation of the residual. t-statistic is the estimate divided by its standard error; values above roughly 2 indicate the estimate is distinguishable from zero at the usual 5% threshold. Information Ratio is the annualised excess return over a benchmark divided by the annualised standard deviation of that excess — with a 0% benchmark the excess is the return itself and the denominator is total volatility.

Portfolio

Current Composition

BNP Paribas basket + permanent VIX Future overlay  ·  EUR Total Return  ·  Holdings as of last available rebalancing (June 30, 2026) — unchanged, the source workbook does not carry composition

BNPIESTC Index · EUR
BNP Paribas EUR Capitalized Monetary Index
+114%
Qty: 9.20 · Price: 1,083.60 · Value: €9,968.98
BNPIFUS Index · USD
BNP Paribas US Equity Futures Index ER
+84%
Qty: 15.04 · Price: 558.64 · Value: €7,345.56
BNPIFEU Index · EUR
BNP Paribas Eurozone Equity Futures Index ER
+30%
Qty: 10.63 · Price: 246.69 · Value: €2,623.42
🛡 VIX Future Hedge — Overlay Mechanics
Permanent & dynamic  ·  Recalculated daily  ·  Instruments: VIX Front-Month Future  ·  exposures shown on the basis carried by the source workbook, which is half the basis used in editions prior to October 2026
The VIX overlay ratio is computed daily as Portfolio Realised Vol / VIX Future Implied Vol. A long VIX Future position proportional to this ratio is maintained at all times, providing convex payoff during volatility spikes. The overlay size automatically increases in calm regimes (when VIX is cheap) and decreases during stress periods (when VIX is expensive), creating a cost-efficient permanent hedge. This structure is analogous to a continuously delta-hedged volatility exposure — capturing the risk premium while maintaining full equity upside participation during trending markets.
5.87%
Current Overlay
September 30, 2026
5.77%
Average Overlay
Live period only
19.24%
Peak Hedge
Jun 2025 · stress
2.41%
Floor Hedge
Apr 2026 · calm
🛡 VIX Hedge Dynamics — Overlay Exposure vs. Drawdown
Gold area = VIX Future overlay ratio (left axis) — expands in stress, contracts in calm  ·  Red = strategy drawdown (right axis)  ·  Grey dashed = S&P 500 Future drawdown (right axis)