| Metric | SPY | CZAMX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 77.0% |
| Cumulative Return | 86.58% | 17.96% |
| CAGR﹪ | 13.36% | 3.38% |
| Sharpe | 0.59 | -0.13 |
| Prob. Sharpe Ratio | 90.85% | 38.87% |
| Smart Sharpe | 0.58 | -0.12 |
| Sortino | 0.86 | -0.16 |
| Smart Sortino | 0.83 | -0.15 |
| Sortino/√2 | 0.61 | -0.12 |
| Smart Sortino/√2 | 0.59 | -0.11 |
| Omega | 1.16 | 1.19 |
| Max Drawdown | -24.5% | -5.52% |
| Max DD Date | 2022-10-12 | 2025-04-11 |
| Max DD Period Start | 2022-01-04 | 2024-07-17 |
| Max DD Period End | 2023-12-12 | 2025-09-30 |
| Longest DD Days | 708 | 441 |
| Volatility (ann.) | 17.2% | 3.31% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.55 | 0.61 |
| Skew | 0.32 | -1.09 |
| Kurtosis | 8.95 | 4.78 |
| Ulcer Performance Index | 10.24 | 10.94 |
| Risk-Adjusted Return | 13.36% | 4.39% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.08% | 0.02% |
| Avg. Win | 0.79% | 0.2% |
| Avg. Loss | -0.88% | -0.23% |
| Win/Loss Ratio | 0.89 | 0.86 |
| Profit Ratio | 0.83 | 0.28 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.03% | 0.27% |
| Expected Yearly | 10.95% | 2.79% |
| Kelly Criterion | 2.6% | 8.9% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.33% |
| Expected Shortfall (cVaR) | -2.58% | -0.54% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.16 | 0.19 |
| Gain/Pain (1M) | 0.87 | 1.01 |
| Payoff Ratio | 0.89 | 0.86 |
| Profit Factor | 1.16 | 1.19 |
| Common Sense Ratio | 1.17 | 1.18 |
| CPC Index | 0.56 | 0.6 |
| Tail Ratio | 1.01 | 0.99 |
| Outlier Win Ratio | 3.41 | 3.5 |
| Outlier Loss Ratio | 3.77 | 2.69 |
| MTD | 1.08% | 0.21% |
| 3M | 3.82% | 1.47% |
| 6M | 19.85% | 3.42% |
| YTD | 14.3% | 5.22% |
| 1Y | 17.78% | 7.8% |
| 3Y (ann.) | 24.86% | 4.79% |
| 5Y (ann.) | 13.06% | 3.33% |
| 10Y (ann.) | 13.36% | 3.38% |
| All-time (ann.) | 13.36% | 3.38% |
| Best Day | 10.5% | 0.64% |
| Worst Day | -5.85% | -1.45% |
| Best Month | 10.51% | 2.22% |
| Worst Month | -9.24% | -2.64% |
| Best Year | 26.18% | 5.22% |
| Worst Year | -18.18% | -0.86% |
| Avg. Drawdown | -1.89% | -0.75% |
| Avg. Drawdown Days | 20 | 36 |
| Recovery Factor | 2.85 | 3.04 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.47 | 0.53 |
| Avg. Up Month | 3.77% | 0.93% |
| Avg. Down Month | -3.25% | -0.74% |
| Win Days | 54.04% | 57.78% |
| Win Month | 63.93% | 59.02% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.07 |
| Alpha | - | 0.02 |
| Correlation | - | 33.79% |
| Treynor Ratio | - | 276.11% |
| Year | SPY | CZAMX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -0.86 | -0.11 | - |
| 2022 | -18.18 | 2.85 | -0.16 | + |
| 2023 | 26.18 | 3.07 | 0.12 | - |
| 2024 | 24.89 | 1.99 | 0.08 | - |
| 2025 | 17.72 | 4.59 | 0.26 | - |
| 2026 | 14.30 | 5.22 | 0.37 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-17 | 2025-09-30 | -5.52 | 441 |
| 2022-09-28 | 2023-09-13 | -3.31 | 351 |
| 2021-10-21 | 2022-03-18 | -2.72 | 149 |
| 2022-04-20 | 2022-06-08 | -1.94 | 50 |
| 2026-03-02 | 2026-04-17 | -1.79 | 47 |
| 2023-09-19 | 2023-12-13 | -1.62 | 86 |
| 2024-05-22 | 2024-07-09 | -1.58 | 49 |
| 2022-06-13 | 2022-09-07 | -1.53 | 87 |
| 2025-10-21 | 2025-12-10 | -1.38 | 51 |
| 2026-05-14 | 2026-08-20 | -1.35 | 99 |