| Metric | SPY | CZAMX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 76.0% |
| Cumulative Return | 204.97% | 28.25% |
| CAGR﹪ | 16.25% | 3.42% |
| Sharpe | 0.72 | 0.16 |
| Prob. Sharpe Ratio | 97.45% | 66.6% |
| Smart Sharpe | 0.63 | 0.15 |
| Sortino | 1.02 | 0.21 |
| Smart Sortino | 0.88 | 0.19 |
| Sortino/√2 | 0.72 | 0.15 |
| Smart Sortino/√2 | 0.62 | 0.13 |
| Omega | 1.18 | 1.2 |
| Max Drawdown | -33.72% | -7.16% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-02-24 |
| Max DD Period End | 2020-08-07 | 2020-07-10 |
| Longest DD Days | 708 | 441 |
| Volatility (ann.) | 19.45% | 3.43% |
| R^2 | 0.19 | 0.19 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.48 | 0.48 |
| Skew | -0.29 | -1.42 |
| Kurtosis | 13.94 | 10.41 |
| Ulcer Performance Index | 25.91 | 17.52 |
| Risk-Adjusted Return | 16.25% | 4.5% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.09% | 0.02% |
| Avg. Win | 0.86% | 0.2% |
| Avg. Loss | -1.0% | -0.24% |
| Win/Loss Ratio | 0.86 | 0.83 |
| Profit Ratio | 0.78 | 0.26 |
| Expected Daily | 0.06% | 0.01% |
| Expected Monthly | 1.25% | 0.28% |
| Expected Yearly | 14.96% | 3.16% |
| Kelly Criterion | 3.01% | 7.65% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -0.34% |
| Expected Shortfall (cVaR) | -3.2% | -0.59% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 5 |
| Gain/Pain Ratio | 0.18 | 0.2 |
| Gain/Pain (1M) | 1.15 | 1.05 |
| Payoff Ratio | 0.86 | 0.83 |
| Profit Factor | 1.18 | 1.2 |
| Common Sense Ratio | 1.13 | 1.19 |
| CPC Index | 0.56 | 0.58 |
| Tail Ratio | 0.96 | 0.99 |
| Outlier Win Ratio | 3.69 | 3.61 |
| Outlier Loss Ratio | 4.12 | 2.73 |
| 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.) | 16.25% | 3.42% |
| All-time (ann.) | 16.25% | 3.42% |
| Best Day | 10.5% | 1.38% |
| Worst Day | -10.94% | -2.01% |
| Best Month | 12.7% | 2.71% |
| Worst Month | -12.49% | -2.64% |
| Best Year | 28.73% | 5.78% |
| Worst Year | -18.18% | 0.8% |
| Avg. Drawdown | -1.79% | -0.74% |
| Avg. Drawdown Days | 16 | 31 |
| Recovery Factor | 3.72 | 3.54 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 1.03 | 0.83 |
| Avg. Up Month | 4.21% | 0.96% |
| Avg. Down Month | -3.83% | -0.83% |
| Win Days | 55.15% | 58.0% |
| Win Month | 65.56% | 61.36% |
| Win Quarter | 77.42% | 67.74% |
| Win Year | 87.5% | 100.0% |
| Beta | - | 0.08 |
| Alpha | - | 0.02 |
| Correlation | - | 43.35% |
| Treynor Ratio | - | 369.11% |
| Year | SPY | CZAMX | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 2.46 | 0.15 | - |
| 2020 | 18.33 | 5.78 | 0.32 | - |
| 2021 | 28.73 | 0.80 | 0.03 | - |
| 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 |
|---|---|---|---|
| 2020-02-24 | 2020-07-10 | -7.16 | 138 |
| 2024-07-17 | 2025-09-30 | -5.52 | 441 |
| 2021-06-11 | 2022-03-24 | -3.71 | 287 |
| 2022-09-28 | 2023-09-13 | -3.31 | 351 |
| 2019-09-04 | 2020-02-07 | -2.13 | 157 |
| 2022-04-20 | 2022-06-08 | -1.94 | 50 |
| 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 |