| Metric | SPY | CZAMX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 78.0% |
| Cumulative Return | 74.99% | 16.26% |
| CAGR﹪ | 11.91% | 3.08% |
| Sharpe | 0.52 | -0.23 |
| Prob. Sharpe Ratio | 87.6% | 29.95% |
| Smart Sharpe | 0.5 | -0.21 |
| Sortino | 0.74 | -0.3 |
| Smart Sortino | 0.72 | -0.28 |
| Sortino/√2 | 0.53 | -0.21 |
| Smart Sortino/√2 | 0.51 | -0.2 |
| Omega | 1.14 | 1.17 |
| 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.) | 17.19% | 3.31% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.56 |
| Skew | 0.33 | -1.08 |
| Kurtosis | 8.98 | 4.75 |
| Ulcer Performance Index | 8.86 | 10.03 |
| Risk-Adjusted Return | 11.91% | 3.94% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.08% | 0.02% |
| Avg. Win | 0.78% | 0.2% |
| Avg. Loss | -0.87% | -0.23% |
| Win/Loss Ratio | 0.91 | 0.87 |
| Profit Ratio | 0.86 | 0.28 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.92% | 0.25% |
| Expected Yearly | 9.77% | 2.54% |
| Kelly Criterion | 2.09% | 8.16% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.33% |
| Expected Shortfall (cVaR) | -2.58% | -0.55% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.14 | 0.17 |
| Gain/Pain (1M) | 0.79 | 0.89 |
| Payoff Ratio | 0.91 | 0.87 |
| Profit Factor | 1.14 | 1.17 |
| Common Sense Ratio | 1.15 | 1.17 |
| CPC Index | 0.55 | 0.58 |
| Tail Ratio | 1.0 | 0.99 |
| Outlier Win Ratio | 3.4 | 3.51 |
| Outlier Loss Ratio | 3.8 | 2.7 |
| MTD | 1.47% | -0.63% |
| 3M | 1.46% | 0.42% |
| 6M | 6.94% | 0.0% |
| YTD | 13.33% | 3.81% |
| 1Y | 13.43% | 5.55% |
| 3Y (ann.) | 20.78% | 4.02% |
| 5Y (ann.) | 12.86% | 3.47% |
| 10Y (ann.) | 11.91% | 3.08% |
| All-time (ann.) | 11.91% | 3.08% |
| 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% | 4.59% |
| Worst Year | -18.18% | -0.96% |
| Avg. Drawdown | -1.94% | -0.79% |
| Avg. Drawdown Days | 21 | 37 |
| Recovery Factor | 2.58 | 2.78 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.43 | 0.49 |
| Avg. Up Month | 3.75% | 0.96% |
| Avg. Down Month | -3.2% | -0.74% |
| Win Days | 53.48% | 57.31% |
| Win Month | 62.3% | 56.67% |
| Win Quarter | 71.43% | 61.9% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.06 |
| Alpha | - | 0.02 |
| Correlation | - | 33.46% |
| Treynor Ratio | - | 252.13% |
| Year | SPY | CZAMX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -0.96 | -0.56 | - |
| 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 | 13.33 | 3.81 | 0.29 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-17 | 2025-09-30 | -5.52 | 441 |
| 2022-09-28 | 2023-09-13 | -3.31 | 351 |
| 2021-11-17 | 2022-03-07 | -2.22 | 111 |
| 2022-04-20 | 2022-06-07 | -1.94 | 49 |
| 2026-03-02 | 2026-04-21 | -1.79 | 51 |
| 2023-09-19 | 2023-12-13 | -1.62 | 86 |
| 2024-05-22 | 2024-07-09 | -1.58 | 49 |
| 2022-06-15 | 2022-09-07 | -1.53 | 85 |
| 2026-09-14 | 2026-11-04 | -1.45 | 52 |
| 2025-10-21 | 2025-12-10 | -1.38 | 51 |