| Metric | SPY | CZAMX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 78.0% |
| Cumulative Return | 14.39% | 5.89% |
| CAGR﹪ | 14.51% | 5.94% |
| Sharpe | 0.83 | 0.7 |
| Prob. Sharpe Ratio | 79.61% | 75.34% |
| Smart Sharpe | 0.82 | 0.64 |
| Sortino | 1.22 | 0.96 |
| Smart Sortino | 1.2 | 0.89 |
| Sortino/√2 | 0.86 | 0.68 |
| Smart Sortino/√2 | 0.85 | 0.63 |
| Omega | 1.2 | 1.37 |
| 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.) | 12.86% | 3.1% |
| R^2 | 0.27 | 0.27 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.63 | 3.32 |
| Skew | -0.02 | -0.41 |
| Kurtosis | 0.78 | 0.96 |
| Ulcer Performance Index | 6.68 | 8.6 |
| Risk-Adjusted Return | 14.51% | 7.61% |
| Risk-Return Ratio | 0.07 | 0.12 |
| Avg. Return | 0.08% | 0.03% |
| Avg. Win | 0.69% | 0.2% |
| Avg. Loss | -0.73% | -0.22% |
| Win/Loss Ratio | 0.94 | 0.92 |
| Profit Ratio | 1.02 | 0.27 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.04% | 0.44% |
| Expected Yearly | 6.95% | 2.9% |
| Kelly Criterion | 1.07% | 16.97% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -0.3% |
| Expected Shortfall (cVaR) | -1.66% | -0.39% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.2 | 0.37 |
| Gain/Pain (1M) | 1.83 | 1.67 |
| Payoff Ratio | 0.94 | 0.92 |
| Profit Factor | 1.2 | 1.37 |
| Common Sense Ratio | 1.19 | 1.38 |
| CPC Index | 0.59 | 0.75 |
| Tail Ratio | 0.99 | 1.01 |
| Outlier Win Ratio | 2.84 | 3.88 |
| Outlier Loss Ratio | 3.01 | 2.59 |
| MTD | 1.47% | -0.63% |
| 3M | 1.46% | 0.42% |
| 6M | 6.94% | 0.0% |
| YTD | 13.33% | 3.81% |
| 1Y | 14.39% | 5.89% |
| 3Y (ann.) | 14.51% | 5.94% |
| 5Y (ann.) | 14.51% | 5.94% |
| 10Y (ann.) | 14.51% | 5.94% |
| All-time (ann.) | 14.51% | 5.94% |
| Best Day | 2.91% | 0.64% |
| Worst Day | -2.58% | -0.64% |
| Best Month | 10.51% | 1.92% |
| Worst Month | -4.94% | -1.47% |
| Best Year | 13.33% | 3.81% |
| Worst Year | 0.94% | 2.0% |
| Avg. Drawdown | -1.74% | -0.59% |
| Avg. Drawdown Days | 14 | 16 |
| Recovery Factor | 1.61 | 3.22 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.94 | 1.08 |
| Avg. Up Month | 2.98% | 1.09% |
| Avg. Down Month | -2.1% | -0.94% |
| Win Days | 52.0% | 60.31% |
| Win Month | 61.54% | 66.67% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.13 |
| Alpha | - | 0.04 |
| Correlation | - | 52.14% |
| Treynor Ratio | - | 46.91% |
| Year | SPY | CZAMX | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 2.00 | 2.14 | + |
| 2026 | 13.33 | 3.81 | 0.29 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-04-17 | -1.79 | 47 |
| 2026-09-14 | 2026-11-04 | -1.45 | 52 |
| 2026-06-03 | 2026-08-25 | -1.35 | 84 |
| 2025-11-13 | 2025-11-26 | -1.06 | 14 |
| 2026-01-30 | 2026-02-06 | -0.85 | 8 |
| 2026-01-07 | 2026-01-09 | -0.54 | 3 |
| 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 |
| 2025-12-12 | 2025-12-17 | -0.32 | 6 |