| Metric | SPY | CZAMX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 80.0% |
| Cumulative Return | 17.87% | 7.33% |
| CAGR﹪ | 18.02% | 7.39% |
| Sharpe | 1.04 | 0.98 |
| Prob. Sharpe Ratio | 84.73% | 83.14% |
| Smart Sharpe | 1.01 | 0.93 |
| Sortino | 1.51 | 1.36 |
| Smart Sortino | 1.47 | 1.29 |
| Sortino/√2 | 1.07 | 0.96 |
| Smart Sortino/√2 | 1.04 | 0.91 |
| Omega | 1.25 | 1.42 |
| Max Drawdown | -8.88% | -1.79% |
| Max DD Date | 2026-03-30 | 2026-03-27 |
| Max DD Period Start | 2026-01-28 | 2026-03-02 |
| Max DD Period End | 2026-04-13 | 2026-04-17 |
| Longest DD Days | 76 | 84 |
| Volatility (ann.) | 12.99% | 3.3% |
| R^2 | 0.31 | 0.31 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 2.03 | 4.13 |
| Skew | -0.15 | -0.42 |
| Kurtosis | 1.05 | 0.53 |
| Ulcer Performance Index | 8.3 | 10.74 |
| Risk-Adjusted Return | 18.02% | 9.24% |
| Risk-Return Ratio | 0.08 | 0.14 |
| Avg. Return | 0.08% | 0.04% |
| Avg. Win | 0.7% | 0.21% |
| Avg. Loss | -0.77% | -0.23% |
| Win/Loss Ratio | 0.91 | 0.9 |
| Profit Ratio | 0.94 | 0.28 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.27% | 0.55% |
| Expected Yearly | 8.57% | 3.6% |
| Kelly Criterion | 2.61% | 18.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.31% |
| Expected Shortfall (cVaR) | -1.72% | -0.39% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.42 |
| Gain/Pain (1M) | 2.6 | 3.08 |
| Payoff Ratio | 0.91 | 0.9 |
| Profit Factor | 1.25 | 1.42 |
| Common Sense Ratio | 1.24 | 1.43 |
| CPC Index | 0.61 | 0.79 |
| Tail Ratio | 0.99 | 1.0 |
| Outlier Win Ratio | 2.88 | 3.5 |
| Outlier Loss Ratio | 3.19 | 2.43 |
| MTD | 1.08% | 0.21% |
| 3M | 3.82% | 1.47% |
| 6M | 19.85% | 3.42% |
| YTD | 14.3% | 5.22% |
| 1Y | 17.87% | 7.33% |
| 3Y (ann.) | 18.02% | 7.39% |
| 5Y (ann.) | 18.02% | 7.39% |
| 10Y (ann.) | 18.02% | 7.39% |
| All-time (ann.) | 18.02% | 7.39% |
| Best Day | 2.91% | 0.64% |
| Worst Day | -2.7% | -0.64% |
| Best Month | 10.51% | 1.92% |
| Worst Month | -4.94% | -1.47% |
| Best Year | 14.3% | 5.22% |
| Worst Year | 3.13% | 2.0% |
| Avg. Drawdown | -1.71% | -0.53% |
| Avg. Drawdown Days | 13 | 14 |
| Recovery Factor | 1.94 | 3.98 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 1.16 | 1.49 |
| Avg. Up Month | 2.63% | 0.87% |
| Avg. Down Month | -2.98% | -1.15% |
| Win Days | 53.6% | 61.5% |
| Win Month | 76.92% | 83.33% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.14 |
| Alpha | - | 0.05 |
| Correlation | - | 55.39% |
| Treynor Ratio | - | 52.11% |
| Year | SPY | CZAMX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 2.00 | 0.64 | - |
| 2026 | 14.30 | 5.22 | 0.37 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-04-17 | -1.79 | 47 |
| 2025-10-21 | 2025-12-10 | -1.38 | 51 |
| 2026-06-03 | 2026-08-25 | -1.35 | 84 |
| 2026-01-30 | 2026-02-06 | -0.85 | 8 |
| 2025-10-09 | 2025-10-14 | -0.75 | 6 |
| 2026-01-07 | 2026-01-09 | -0.54 | 3 |
| 2025-09-24 | 2025-09-29 | -0.54 | 6 |
| 2026-05-14 | 2026-06-01 | -0.52 | 19 |
| 2025-12-29 | 2025-12-31 | -0.33 | 3 |
| 2026-01-16 | 2026-01-21 | -0.32 | 6 |