Innovator S&P 500 Buffer ETF - May

10-Year Study

BMAY.US · · US · ETF

Executive Summary: Innovator S&P 500 Buffer ETF - May has compounded at 9.9% annually over the last 10 years, with a maximum drawdown of 17.3% and an annualized volatility of 11.7%.

1Y CAGR
+12.4%
3Y CAGR
+14.3%
5Y CAGR
+8.7%
10Y CAGR
+9.9%

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 →
17.3%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.62
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.79
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
9.7%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2024 · +19.1%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -12.5%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
83%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20260.70.4-0.92.91.7———————4.8%
20251.6-0.0-3.1-0.64.12.81.21.31.30.70.61.011.2%
20241.42.71.00.73.52.40.81.81.2-0.22.9-0.619.1%
20233.8-1.21.6-0.20.54.81.9-0.6-3.5-1.57.03.416.7%
2022-2.3-1.93.0-7.80.1-6.16.7-2.7-6.96.13.7-3.9-12.5%
2021-0.61.61.20.40.81.51.41.7-2.54.1-0.82.711.8%
2020—————1.12.83.1-1.2-1.45.61.311.6%

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 11.7%. The dominant macroeconomic risk driver is SHV.US, accounting for 35.7% of variance. Idiosyncratic stock-specific factors contribute 2.7%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2020-05-0110000
2020-06-0110105.678826626552
2020-07-0110391.124482888303
2020-08-0110708.537044001505
2020-09-0110581.421587062805
2020-10-0110434.749905979692
2020-11-0111021.0605490786
2020-12-0111162.09101165852
2021-01-0111091.011658518239
2021-02-0111264.761188416698
2021-03-0111397.141782625047
2021-04-0111447.912749153817
2021-05-0111538.172245204965
2021-06-0111707.408800300866
2021-07-0111875.893192929672
2021-08-0112072.583678074465
2021-09-0111765.325310267017
2021-10-0112246.333207972924
2021-11-0112142.910868747647
2021-12-0112474.614516735615
2022-01-0112189.168860473863
2022-02-0111954.118089507336
2022-03-0112317.788642346748
2022-04-0111357.653253102671
2022-05-0111372.696502444529
2022-06-0110676.946220383603
2022-07-0111392.62880782249
2022-08-0111082.361790146671
2022-09-0110312.147423843551
2022-10-0110940.203083866116
2022-11-0111349.379465964648
2022-12-0110909.740503948853
2023-01-0111327.566754418955
2023-02-0111192.177510342233
2023-03-0111369.31177134261
2023-04-0111348.627303497557
2023-05-0111402.406919894696
2023-06-0111951.48552087251
2023-07-0112173.373448664912
2023-08-0112106.054907860098
2023-09-0111687.100413689357
2023-10-0111509.21399022189
2023-11-0112318.164723580292
2023-12-0112735.238811583302
2024-01-0112915.005641218504
2024-02-0113259.119969913501
2024-03-0113388.49191425348
2024-04-0113485.896953742009
2024-05-0113952.237683339601
2024-06-0114282.060925159834
2024-07-0114402.03083866115
2024-08-0114663.783377209476
2024-09-0114840.917638209854
2024-10-0114816.09627679579
2024-11-0115248.213614140655
2024-12-0115162.467092892064
2025-01-0115403.911244828885
2025-02-0115400.526513726967
2025-03-0114919.10492666416
2025-04-0114832.64385107183
2025-05-0115433.62166227905
2025-06-0115870.628055660023
2025-07-0116066.942459571268
2025-08-0116270.402406919895
2025-09-0116480.25573523881
2025-10-0116599.849567506582
2025-11-0116693.1177134261
2025-12-0116854.08048138398
2026-01-0116973.67431365175
2026-02-0117033.471229785635
2026-03-0116875.89319292967
2026-04-0117367.431365174878
2026-05-0117660.774727341108
Annual Return Matrix
YearAnnual Return
20210.11758760107816713
2022-0.12544467892674105
20230.16732738115757173
20240.19059150104834188
20250.11156584071235454
20260.04786343858083231
Total Factor Risk
0.11710398775137837
VTI.US Exposure
0.264297239777694
VEA.US Exposure
-0.02010062838233272
VWO.US Exposure
-0.022739350289781884
QQQ.US Exposure
0.15051888993304868
VTV.US Exposure
0.16070400413602817
IJR.US Exposure
-0.05212495776189681
QUAL.US Exposure
0.034932764505720255
SHV.US Exposure
0.3573918294281435
TLT.US Exposure
0.011436692528298254
LQD.US Exposure
-0.029217194542957455
HYG.US Exposure
0.11164968027094885
GLD.US Exposure
-0.011162508775862156
USO.US Exposure
0.0008709222527768418
VNQ.US Exposure
0.004886819459491193
BTC-USD.CC Exposure
-0.01537593510103923
CPER.US Exposure
0.019630144379978995
VIX.INDX Exposure
0.007958187617065656
UUP.US Exposure
0.006232984758752821
TIP.US Exposure
-0.0064408113044095786
Idiosyncratic Exposure
0.026651227110332684
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
11.7%

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 →
+3.0%
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 →
+5.5%
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 →
0.55
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 →
81
OversoldNeutralOverbought
Overbought
Fibonacci LevelsFibonacci RetracementTechnical levels based on mathematical ratios that indicate potential support and resistance areas.Click for full definition →
38.2% retracement+5.6%
50.0% retracement+7.4%
61.8% retracement+9.3%
% distance of current price from each 52-week Fibonacci support level.

Frequently Asked Questions & Methodology

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

Innovator S&P 500 Buffer ETF - May (BMAY.US) has an annualized volatility of 11.7% and experienced a maximum drawdown of 17.3% over the last 10 years. Its primary macro risk driver is SHV.US.

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

Over the past 10 years, BMAY.US has generated a Compound Annual Growth Rate (CAGR) of 9.9%. It has had a positive return in 83% 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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