Live TrackPerformanceBetaComposition
VIX HEDGED NAV 131.21  ·  November 9, 2026
Oriskany
Oriskany  ·  Global Equities Hedged
Live Track Record 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 November 9, 2026  ·  the simulated history before that date is excluded from this edition

●
484 live trading days, no back-test — every figure in this report is measured on the live track alone. +31.21% over 23 months for 9.60% of volatility, an Information Ratio of 1.58 against a 0% benchmark and a worst drawdown of −8.53%, recovered in 10 business days. The benchmark section measures exposure to the MSCI World Future, which covers the live window in full.
● Live · from December 31, 2024
+31.21%
Total Return
+15.19%
Ann. Return
1.58
Info Ratio
−8.53%
Max DD
Volatility9.60%
Sortino2.62
Calmar1.78
Beta (daily)0.39
Pos. Months70%
LIVE NAV · BASE 100 · DEC 31, 2024 – NOV 2026

Research Live Track Record

Live Performance — From December 31, 2024

Base 100 at December 31, 2024  ·  Net of fees & overlay  ·  EUR Total Return  ·  VIX hedged  ·  484 daily observations to November 9, 2026

●

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: 23 months, one drawdown episode of any size, and no full market cycle. Ratios computed on 484 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.

131.21
Latest NAV
Base 100 · Dec 31, 2024
+31.21%
Total Return
vs +22.36% MSCI World
+15.19%
Ann. Return
vs +11.08% MSCI World
1.58
Information Ratio
0% benchmark · 252d
−8.53%
Max Drawdown
vs −16.84% MSCI World
9.60%
Ann. Volatility
vs 13.90% MSCI World
1.78
Calmar Ratio
vs 0.66 MSCI World
Live NAV — Base 100 (December 31, 2024)
VIX hedged  ·  Net of fees & overlay  ·  Green = strategy  ·  Purple = MSCI World Future, base 100 on Dec 31, 2024 — full coverage to November 9, 2026
Live Drawdown
Peak-to-valley, weekly sampling of the daily series  ·  strategy maximum −8.53% (February 25, 2026 → March 30, 2026)  ·  MSCI World Future maximum −16.84% (February 17, 2025 → April 07, 2025)
Rolling 1-Year Information Ratio (252 d)
252-day compounded return over 252-day annualised volatility  ·  current 0.882  ·  only 48 points: the live track is barely longer than the window itself

Returns

Performance Analysis — Live Track

December 31, 2024 – November 9, 2026  ·  VIX hedged  ·  252-day annualisation  ·  ratios built with a compounded numerator against a 0% benchmark

Monthly Return Calendar — Live (%)
16/23 positive months (70%)  ·  best +6.95% (May 2025), worst −5.36% (Mar 2026)  ·  Nov 2026 partial (to Nov 9)
YearJanFebMarAprMayJunJulAugSepOctNovDecAnnual
2025+4.43%+0.79%-3.18%+5.27%+6.95%+3.25%-0.71%+0.03%+2.68%+1.40%+0.40%-1.54%+21.10%
2026+2.33%+1.69%-5.36%+5.51%-1.22%+4.50%+0.14%+0.74%-1.11%+1.43%——+8.54%
Annual Returns — Live Track
2025 full year  ·  2026 partial, to November 9  ·  strategy vs MSCI World Future  ·  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 23 observations, is the shortest interval on which anything resembling a frequency statement can be made here.
MetricLive (since Dec 31, 2024)MSCI World Fut.Last 12M
Total Return+31.21%+22.36%+8.43%
Annualised Return (252d)+15.19%+11.08%—
Annualised Volatility (252d)9.60%13.90%9.56%
Downside deviation (252d)5.81%——
Information Ratio (0% benchmark)1.580.800.88
Sortino Ratio (0% benchmark)2.62——
Beta vs MSCI World Future (daily)0.39——
Beta vs MSCI World Future (weekly)0.55——
Beta vs MSCI World Future (monthly)0.56——
Max Drawdown−8.53%−16.84%—
Calmar Ratio1.780.66—
% Positive Months70% (16/23)——
Best Month+6.95%
May 2025		——
Worst Month−5.36%
Mar 2026		——
VIX HedgePermanent & dynamic——
Observations484 daily—252 daily
Live Track InceptionDecember 31, 2024——
Report DateNovember 09, 2026——
Maximum Drawdown (Live) — Peak-to-Valley
Strategy — MDD : −8.53%  ·  Peak : February 25, 2026  ·  Trough : March 30, 2026
Decline : 23 business days  ·  Recovery : 10 business days (to April 13, 2026)
MSCI World Future — MDD : −16.84%  ·  Peak : February 17, 2025  ·  Trough : April 07, 2025  ·  Recovery : June 11, 2025
One drawdown episode of material size in 23 months, and the benchmark change makes it read differently than in the SPX edition. Over the strategy's own worst window (February 25, 2026 → March 30, 2026) the MSCI World Future fell −8.44%, essentially the same as the strategy's −8.53%: that episode was not an equity sell-off the hedge could offset. The evidence for the hedge sits elsewhere. Over the benchmark's worst window (February 17, 2025 → April 07, 2025) the index fell −16.84% while the strategy lost −8.25%, and across the ten worst benchmark days the index lost −26.85% cumulatively against −6.02% for the strategy. Worst drawdown over the whole live track is −8.53% against −16.84%, a ratio of 0.51. All of this still rests on a 23-month sample.
Key Ratios — Live Track
Measured on the live period alone (252d basis)  ·  percentages and dimensionless ratios share one axis

Benchmark

Beta versus the MSCI World Future

MSCI World Future series from MSCI_World_resampled.csv  ·  484 daily return observations, January 2, 2025 to November 9, 2026  ·  the benchmark covers the live window in full

+22.36%
Benchmark Return
MSCI World Fut., live window
+11.08%
Ann. Return
vs +15.19% strategy
13.90%
Ann. Volatility
vs 9.60% strategy
0.39
Beta (daily)
R² 0.326 · t 15.3
−16.84%
Benchmark Max DD
vs −8.53% strategy
Daily Returns — Strategy vs MSCI World Future
484 daily observations, in percent  ·  fitted OLS regression, slope 0.394
Regression Results
Ordinary least squares, Rf = 0  ·  daily is the primary estimate; weekly and monthly are shown for comparability with the previous edition
EstimateDailyWeeklyMonthly
Beta0.3940.5490.558
Standard error0.0260.0630.137
t-statistic15.268.714.06
R²0.3260.4440.439
Observations4849723
Ann. alpha (Rf = 0)+10.61%+8.94%+8.80%
Tracking error11.53%9.62%9.24%
95% interval on beta0.34 to 0.440.43 to 0.670.29 to 0.83
Rolling Beta (13 weeks)
13-week rolling regression of weekly returns  ·  a 13-point window is short, so the swings are mostly estimation noise rather than genuine changes in exposure.
Interpretation and limitations
Frequency. The source workbook now carries a daily NAV, so beta is estimated from daily returns; the previous edition was limited to weekly data. Beta rises with the observation interval here — 0.39 daily, 0.55 weekly, 0.56 monthly — a normal pattern when a position is not marked at exactly the same instant as the benchmark. The daily figure is the primary estimate; do not compare it with the weekly beta of the previous edition.

Benchmark source. The MSCI World Future series is taken from the supplied MSCI_World_resampled.csv file, rebased to 100 on December 31, 2024. It shares the strategy's daily calendar exactly over the live window, so no observation is dropped and no date is interpolated.

Currency and instrument. This is a rolled continuous MSCI World future, not the published MSCI World index: a futures series embeds financing and roll effects and sits below the published total-return index. The strategy is reported in EUR while the benchmark is not currency-hedged to EUR, so the estimated exposure may include currency effects.

Sample. The estimate is based on 484 daily return observations over 23 months. 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.
3.99%
Current Overlay
November 09, 2026
5.80%
Average Overlay
Live period only
19.24%
Peak Hedge
Jun 2025 · stress
2.01%
Floor Hedge
Oct 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 = MSCI World Future drawdown (right axis)