Innovator S&P 500 Buffer ETF - November

10-Year Study

BNOV.US · · US · ETF

Executive Summary: Innovator S&P 500 Buffer ETF - November has compounded at 9.5% annually over the last 10 years, with a maximum drawdown of 15.8% and an annualized volatility of 10.7%.

1Y CAGR
+16.0%
3Y CAGR
+12.0%
5Y CAGR
+8.4%
10Y CAGR
+9.5%

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 →
15.8%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.49
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.71
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
11.6%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · +17.2%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -9.6%
% 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.
20261.0-0.4-3.87.91.8———————6.3%
20251.9-0.8-3.8-0.34.63.71.61.62.11.50.40.313.2%
20241.12.21.1-0.82.21.00.50.90.60.63.8-1.412.5%
20235.1-1.82.91.20.45.82.7-1.4-4.9-2.36.32.617.2%
2022-3.3-2.02.9-6.40.8-5.46.7-1.9-7.57.44.2-4.1-9.6%
2021-1.01.73.01.10.80.70.10.80.00.5-1.03.210.6%
20200.2-6.7-7.48.23.61.43.63.7-0.9-1.97.01.711.8%
2019———————————1.61.6%

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 10.7%. The dominant macroeconomic risk driver is VTI.US, accounting for 77.6% of variance. Idiosyncratic stock-specific factors contribute 4.8%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2019-11-0110000
2019-12-0110158.239914588576
2020-01-0110182.643178525128
2020-02-019502.783497292763
2020-03-018797.37664912682
2020-04-019518.798139251125
2020-05-019866.163349347977
2020-06-0110000
2020-07-0110358.80424006711
2020-08-0110742.393045069777
2020-09-0110642.110882330511
2020-10-0110440.021352855943
2020-11-0111168.306260962405
2020-12-0111358.956760466712
2021-01-0111249.904674750249
2021-02-0111446.274689239686
2021-03-0111791.352093342484
2021-04-0111925.188743994508
2021-05-0112018.60748875162
2021-06-0112108.213223518645
2021-07-0112125.371768474033
2021-08-0112226.416533211317
2021-09-0112228.323038206361
2021-10-0112295.050713032866
2021-11-0112174.940898345154
2021-12-0112563.867917333944
2022-01-0112147.868527415543
2022-02-0111898.878975062915
2022-03-0112249.294593151833
2022-04-0111469.152749180203
2022-05-0111556.089376954169
2022-06-0110930.374437581027
2022-07-0111664.378860672616
2022-08-0111439.79257225654
2022-09-0110581.102722489133
2022-10-0111358.956760466712
2022-11-0111838.633417219553
2022-12-0111353.618546480593
2023-01-0111934.721268969726
2023-02-0111715.09189354076
2023-03-0112051.018073667354
2023-04-0112190.192938305498
2023-05-0112239.38076717761
2023-06-0112953.557538320752
2023-07-0113307.404865400747
2023-08-0113120.567375886525
2023-09-0112478.83779455502
2023-10-0112197.81895828567
2023-11-0112969.572180279114
2023-12-0113310.836574391824
2024-01-0113456.112255014108
2024-02-0113754.670937237855
2024-03-0113911.766948829407
2024-04-0113799.664455120876
2024-05-0114108.136963318844
2024-06-0114254.175245939146
2024-07-0114329.672843742854
2024-08-0114452.833066422636
2024-09-0114538.244490200565
2024-10-0114620.986806985435
2024-11-0115183.405780523144
2024-12-0114973.690231068405
2025-01-0115262.335087317928
2025-02-0115137.649660642111
2025-03-0114561.885152139097
2025-04-0114512.31602226798
2025-05-0115174.254556546937
2025-06-0115730.191413101502
2025-07-0115982.612674445207
2025-08-0116241.897353771066
2025-09-0116586.59345687486
2025-10-0116836.345611225504
2025-11-0116895.44726607184
2025-12-0116954.167619919164
2026-01-0117118.127049492872
2026-02-0117047.967665675285
2026-03-0116404.71288034775
2026-04-0117703.805383970106
2026-05-0118020.285213147257
Annual Return Matrix
YearAnnual Return
20200.11820126872114423
20210.10607586438402161
2022-0.09632776934749632
20230.17238715744223532
20240.12492480449167842
20250.13226381461675563
20260.06288233177401947
Total Factor Risk
0.10686274057561784
VTI.US Exposure
0.776271484377652
VEA.US Exposure
-0.09009612516887681
VWO.US Exposure
0.02033973352079562
QQQ.US Exposure
-0.013390764354367412
VTV.US Exposure
0.05779853987125396
IJR.US Exposure
-0.011052189677110275
QUAL.US Exposure
-0.04355249508901244
SHV.US Exposure
0.13019936906443744
TLT.US Exposure
-0.07124792829570446
LQD.US Exposure
0.17553855675564764
HYG.US Exposure
0.004453143344026446
GLD.US Exposure
-0.00036865124193284784
USO.US Exposure
0.001565969558590283
VNQ.US Exposure
0.01330933789261092
BTC-USD.CC Exposure
-0.0031976217052226996
CPER.US Exposure
0.0015261068454304012
VIX.INDX Exposure
-0.03294049609369363
UUP.US Exposure
0.012193229082629726
TIP.US Exposure
0.02460480769360006
Idiosyncratic Exposure
0.04804599361924631
Value Score
22.2
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
10.7%

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 →22.0x
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 Elevated22.0x
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$494.4B
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 →
+4.8%
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 →
+7.0%
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 →
0.5% 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 →
0.68
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 →
65
OversoldNeutralOverbought
Neutral
Fibonacci LevelsFibonacci RetracementTechnical levels based on mathematical ratios that indicate potential support and resistance areas.Click for full definition →
38.2% retracement+6.6%
50.0% retracement+9.0%
61.8% retracement+11.5%
% distance of current price from each 52-week Fibonacci support level.

Compare this AssetiRun a head-to-head backtest and risk analysis against similar assets.

BNOV.USvsAREA.US

Compare Innovator S&P 500 Buffer ETF - November vs Harbor AlphaEdge Next Generation REITs ETF

BNOV.USvsAPPX.US

Compare Innovator S&P 500 Buffer ETF - November vs Tradr 2X Long APP Daily ETF

BNOV.USvsDLLL.US

Compare Innovator S&P 500 Buffer ETF - November vs GraniteShares 2x Long DELL Daily ETF

Frequently Asked Questions & Methodology

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

Innovator S&P 500 Buffer ETF - November (BNOV.US) has an annualized volatility of 10.7% and experienced a maximum drawdown of 15.8% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, BNOV.US has generated a Compound Annual Growth Rate (CAGR) of 9.5%. 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.

Run a Full Backtest on Innovator S&P 500 Buffer ETF - November

stresstest.pro lets you simulate DCA vs Lump Sum, Monte Carlo projections, portfolio optimisation, and more — all in seconds.

Start a Free Backtest