Innovator S&P 500 Buffer - January

10-Year Study

BJAN.US · · US · ETF

Executive Summary: Innovator S&P 500 Buffer - January has compounded at 11.9% annually over the last 10 years, with a maximum drawdown of 16.8% and an annualized volatility of 11.1%.

1Y CAGR
+17.6%
3Y CAGR
+16.1%
5Y CAGR
+10.4%
10Y CAGR
+11.9%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
16.8%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.69
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.96
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
11.9%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · +23.7%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -11.4%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
86%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20261.0-0.3-3.87.51.6———————5.8%
20251.9-0.7-3.9-0.74.73.61.71.62.21.20.91.714.8%
20241.43.41.7-1.93.42.10.71.60.80.32.10.617.4%
20235.4-1.72.71.40.55.22.1-0.6-4.1-2.18.64.523.7%
2022-3.5-2.22.7-6.40.7-5.66.8-2.3-7.66.95.0-5.0-11.4%
2021-1.11.63.72.41.31.10.71.1-1.12.4-0.11.113.9%
20200.0-6.9-8.99.63.41.34.23.8-1.7-1.16.92.712.5%
2019—2.41.42.8-4.35.01.2-1.21.61.81.80.813.8%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 11.1%. The dominant macroeconomic risk driver is VTI.US, accounting for 101.1% of variance. Idiosyncratic stock-specific factors contribute 2.9%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2019-01-0110000
2019-02-0110240.539747726607
2019-03-0110379.85724063753
2019-04-0110667.096900361788
2019-05-0110206.551285812067
2019-06-0110716.417326684268
2019-07-0110840.79397672827
2019-08-0110716.026205143247
2019-09-0110884.52136501418
2019-10-0111084.697369707637
2019-11-0111289.33215996871
2019-12-0111381.636843649165
2020-01-0111385.548059059354
2020-02-0110603.304977021611
2020-03-019660.702063166129
2020-04-0110591.571330791043
2020-05-0110954.532120856557
2020-06-0111092.989146377236
2020-07-0111555.294807861543
2020-08-0111999.608878458981
2020-09-0111796.225677129169
2020-10-0111667.15556859294
2020-11-0112472.865943091816
2020-12-0112809.230468368047
2021-01-0112668.426713601253
2021-02-0112875.721130341255
2021-03-0113352.889410384276
2021-04-0113673.609074019752
2021-05-0113857.436198298623
2021-06-0114009.973599295981
2021-07-0114104.23389068153
2021-08-0114264.20260095825
2021-09-0114105.407255304588
2021-10-0114442.08467781363
2021-11-0114423.741077539844
2021-12-0114584.922264593723
2022-01-0114068.64183044881
2022-02-0113752.224503764544
2022-03-0114127.310061601642
2022-04-0113230.077246504352
2022-05-0113317.688471692578
2022-06-0112574.557543756722
2022-07-0113427.202503177861
2022-08-0113118.216485772953
2022-09-0112127.505622372153
2022-10-0112964.11459861152
2022-11-0113605.945047423487
2022-12-0112922.655715263518
2023-01-0113622.763273687297
2023-02-0113396.69502297839
2023-03-0113751.833382223525
2023-04-0113949.740881979074
2023-05-0114025.227339395718
2023-06-0114753.104527231837
2023-07-0115062.090544636745
2023-08-0114977.21717023565
2023-09-0114370.196538574362
2023-10-0114072.553045859
2023-11-0115286.20318764056
2023-12-0115979.66167986702
2024-01-0116204.16544441185
2024-02-0116747.82438642808
2024-03-0117029.431895961672
2024-04-0116708.712232326194
2024-05-0117274.273980639482
2024-06-0117638.79925686907
2024-07-0117768.260486946318
2024-08-0118058.081548841306
2024-09-0118210.618949838663
2024-10-0118261.464750171115
2024-11-0118644.76386036961
2024-12-0118754.277891854897
2025-01-0119110.198494182066
2025-02-0118977.217170235654
2025-03-0118238.77970079202
2025-04-0118116.749779994134
2025-05-0118967.8302532512
2025-06-0119644.079397672827
2025-07-0119975.750464456833
2025-08-0120287.47433264887
2025-09-0120735.543170040088
2025-10-0120983.20132981324
2025-11-0121171.409015351524
2025-12-0121532.80531925296
2026-01-0121742.446465239074
2026-02-0121672.04458785568
2026-03-0120858.511782536425
2026-04-0122423.389068152934
2026-05-0122784.785372054368
Annual Return Matrix
YearAnnual Return
20200.1254295532646048
20210.13862595419847334
2022-0.11397157414856529
20230.23656174334140445
20240.17363422753084
20250.14815432742440038
20260.05814291422966544
Total Factor Risk
0.11067287782167376
VTI.US Exposure
1.0113458213034312
VEA.US Exposure
0.10222204183649442
VWO.US Exposure
-0.03329647212781008
QQQ.US Exposure
-0.029787957467655862
VTV.US Exposure
-0.02412573073676083
IJR.US Exposure
-0.04763633031883539
QUAL.US Exposure
-0.03811036027210063
SHV.US Exposure
0.008611148539385266
TLT.US Exposure
-0.017491260843589505
LQD.US Exposure
0.14996359922228555
HYG.US Exposure
-0.03904196738408681
GLD.US Exposure
-0.011522969511627892
USO.US Exposure
0.0009910888203577479
VNQ.US Exposure
0.004892071840582024
BTC-USD.CC Exposure
-0.009016870997505547
CPER.US Exposure
0.005949996553906336
VIX.INDX Exposure
-0.04633715696706362
UUP.US Exposure
-0.005443158782213124
TIP.US Exposure
-0.01088373717739721
Idiosyncratic Exposure
0.028718204470204123
Value Score
22.6
Growth Score
50
Profit Score
75
Health Score
20.2
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
11.1%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →21.9x
Forward P/EForward P/E RatioA valuation metric that compares the current stock price to estimated future earnings per share.Click for full definition →Moderately Elevated21.9x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Squeeze RiskShort Squeeze RiskA situation where a sharp rise in the price of a stock forces short sellers to buy shares to cover their positions, further driving up the price.Click for full definition →Low
Market Cap$483.8B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
2.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.01
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$0
Avg Yield on Cost
0.00%

Momentum & MacroiPrice momentum indicators: distance from 50/200-Day SMA, 52-Week High proximity, Golden Cross trend signal, RSI momentum gauge, Fibonacci retracement levels, and Beta (market sensitivity).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+5.0%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+7.6%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
0.0% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.70
Market sensitivity coefficient
Trend SignalGolden Cross & Death CrossTechnical chart patterns that occur when a short-term moving average crosses over a long-term moving average.Click for full definition →
✦ Golden Cross
Bullish — 50 SMA above 200 SMA
RSI (14-Day)Relative Strength Index (RSI)A momentum oscillator that measures the speed and change of price movements to identify overbought or oversold conditions.Click for full definition →
80
OversoldNeutralOverbought
Overbought
Fibonacci LevelsFibonacci RetracementTechnical levels based on mathematical ratios that indicate potential support and resistance areas.Click for full definition →
38.2% retracement+7.3%
50.0% retracement+9.8%
61.8% retracement+12.4%
% distance of current price from each 52-week Fibonacci support level.

Frequently Asked Questions & Methodology

Is Innovator S&P 500 Buffer - January a high-risk investment?

Innovator S&P 500 Buffer - January (BJAN.US) has an annualized volatility of 11.1% and experienced a maximum drawdown of 16.8% over the last 10 years. Its primary macro risk driver is VTI.US.

What is the 10-year return of BJAN.US?

Over the past 10 years, BJAN.US has generated a Compound Annual Growth Rate (CAGR) of 11.9%. It has had a positive return in 86% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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