| Metric | SPY | CZAMX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 78.0% |
| Cumulative Return | 6.48% | -0.1% |
| CAGR﹪ | 13.27% | -0.21% |
| Sharpe | 0.78 | -1.48 |
| Prob. Sharpe Ratio | 70.87% | 13.89% |
| Smart Sharpe | 0.75 | -1.46 |
| Sortino | 1.14 | -1.82 |
| Smart Sortino | 1.09 | -1.79 |
| Sortino/√2 | 0.8 | -1.28 |
| Smart Sortino/√2 | 0.77 | -1.27 |
| Omega | 1.19 | 0.99 |
| Max Drawdown | -4.49% | -1.45% |
| Max DD Date | 2026-06-10 | 2026-11-04 |
| Max DD Period Start | 2026-06-03 | 2026-09-14 |
| Max DD Period End | 2026-07-31 | 2026-11-04 |
| Longest DD Days | 59 | 79 |
| Volatility (ann.) | 12.4% | 2.52% |
| R^2 | 0.27 | 0.27 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 2.95 | -0.14 |
| Skew | -0.15 | -0.8 |
| Kurtosis | 0.59 | 1.54 |
| Ulcer Performance Index | 3.89 | -0.14 |
| Risk-Adjusted Return | 13.27% | -0.27% |
| Risk-Return Ratio | 0.07 | -0.0 |
| Avg. Return | 0.05% | -0.0% |
| Avg. Win | 0.72% | 0.15% |
| Avg. Loss | -0.71% | -0.18% |
| Win/Loss Ratio | 1.01 | 0.82 |
| Profit Ratio | 1.15 | 0.28 |
| Expected Daily | 0.05% | -0.0% |
| Expected Monthly | 0.9% | -0.01% |
| Expected Yearly | 6.48% | -0.1% |
| Kelly Criterion | 1.32% | 0.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.26% |
| Expected Shortfall (cVaR) | -1.63% | -0.4% |
| Max Consecutive Wins | 4 | 6 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.19 | -0.01 |
| Gain/Pain (1M) | 3.26 | -0.04 |
| Payoff Ratio | 1.01 | 0.82 |
| Profit Factor | 1.19 | 0.99 |
| Common Sense Ratio | 1.47 | 0.99 |
| CPC Index | 0.61 | 0.45 |
| Tail Ratio | 1.23 | 1.0 |
| Outlier Win Ratio | 2.66 | 3.42 |
| Outlier Loss Ratio | 3.07 | 2.67 |
| MTD | 1.47% | -0.63% |
| 3M | 1.46% | 0.42% |
| 6M | 6.48% | -0.1% |
| YTD | 6.48% | -0.1% |
| 1Y | 6.48% | -0.1% |
| 3Y (ann.) | 13.27% | -0.21% |
| 5Y (ann.) | 13.27% | -0.21% |
| 10Y (ann.) | 13.27% | -0.21% |
| All-time (ann.) | 13.27% | -0.21% |
| Best Day | 1.8% | 0.32% |
| Worst Day | -2.58% | -0.63% |
| Best Month | 4.52% | 1.47% |
| Worst Month | -1.03% | -0.84% |
| Best Year | 6.48% | -0.1% |
| Worst Year | 6.48% | -0.1% |
| Avg. Drawdown | -1.57% | -0.71% |
| Avg. Drawdown Days | 17 | 30 |
| Recovery Factor | 1.48 | 0.06 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 0.91 | -0.01 |
| Avg. Up Month | 2.41% | 0.63% |
| Avg. Down Month | -0.68% | -0.68% |
| Win Days | 50.39% | 55.1% |
| Win Month | 57.14% | 50.0% |
| Win Quarter | 100.0% | 33.33% |
| Win Year | 100.0% | 0.0% |
| Beta | - | 0.11 |
| Alpha | - | -0.02 |
| Correlation | - | 52.33% |
| Treynor Ratio | - | -0.98% |
| Year | SPY | CZAMX | Multiplier | Won |
|---|---|---|---|---|
| 2026 | 6.48 | -0.10 | -0.02 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-09-14 | 2026-11-04 | -1.45 | 52 |
| 2026-06-03 | 2026-08-20 | -1.35 | 79 |
| 2026-05-14 | 2026-06-01 | -0.52 | 19 |
| 2026-05-07 | 2026-05-07 | -0.10 | 1 |
| 2026-08-24 | 2026-08-24 | -0.10 | 1 |