| Metric | SPY | PGP |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 17.87% | 7.56% |
| CAGR﹪ | 18.02% | 7.62% |
| Sharpe | 1.04 | 0.3 |
| Prob. Sharpe Ratio | 84.73% | 61.81% |
| Smart Sharpe | 1.01 | 0.26 |
| Sortino | 1.51 | 0.42 |
| Smart Sortino | 1.47 | 0.37 |
| Sortino/√2 | 1.07 | 0.3 |
| Smart Sortino/√2 | 1.04 | 0.26 |
| Omega | 1.25 | 1.1 |
| Max Drawdown | -8.88% | -13.05% |
| 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 | 2026-09-22 |
| Longest DD Days | 76 | 205 |
| Volatility (ann.) | 12.99% | 14.72% |
| R^2 | 0.27 | 0.27 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 2.03 | 0.58 |
| Skew | -0.15 | -0.28 |
| Kurtosis | 1.05 | 0.7 |
| Ulcer Performance Index | 8.3 | 1.72 |
| Risk-Adjusted Return | 18.02% | 7.94% |
| Risk-Return Ratio | 0.08 | 0.04 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.72% | 0.84% |
| Avg. Loss | -0.78% | -0.84% |
| Win/Loss Ratio | 0.93 | 1.0 |
| Profit Ratio | 0.94 | 0.75 |
| Expected Daily | 0.07% | 0.03% |
| Expected Monthly | 1.27% | 0.56% |
| Expected Yearly | 8.57% | 3.71% |
| Kelly Criterion | 3.82% | 4.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.49% |
| Expected Shortfall (cVaR) | -1.72% | -2.01% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.25 | 0.1 |
| Gain/Pain (1M) | 2.6 | 0.4 |
| Payoff Ratio | 0.93 | 1.0 |
| Profit Factor | 1.25 | 1.1 |
| Common Sense Ratio | 1.24 | 0.98 |
| CPC Index | 0.62 | 0.58 |
| Tail Ratio | 0.99 | 0.89 |
| Outlier Win Ratio | 2.88 | 3.3 |
| Outlier Loss Ratio | 3.19 | 3.21 |
| MTD | 1.08% | -4.56% |
| 3M | 3.82% | -1.37% |
| 6M | 19.85% | 6.54% |
| YTD | 14.3% | -1.98% |
| 1Y | 17.87% | 7.56% |
| 3Y (ann.) | 18.02% | 7.62% |
| 5Y (ann.) | 18.02% | 7.62% |
| 10Y (ann.) | 18.02% | 7.62% |
| All-time (ann.) | 18.02% | 7.62% |
| Best Day | 2.91% | 2.84% |
| Worst Day | -2.7% | -2.87% |
| Best Month | 10.51% | 11.19% |
| Worst Month | -4.94% | -10.58% |
| Best Year | 14.3% | 9.73% |
| Worst Year | 3.13% | -1.98% |
| Avg. Drawdown | -1.71% | -1.74% |
| Avg. Drawdown Days | 13 | 16 |
| Recovery Factor | 1.94 | 0.64 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 1.16 | 0.17 |
| Avg. Up Month | 2.54% | 3.98% |
| Avg. Down Month | -2.98% | -6.29% |
| Win Days | 53.6% | 52.52% |
| Win Month | 76.92% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.59 |
| Alpha | - | -0.02 |
| Correlation | - | 52.04% |
| Treynor Ratio | - | 12.81% |
| Year | SPY | PGP | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.13 | 9.73 | 3.11 | + |
| 2026 | 14.30 | -1.98 | -0.14 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-09-22 | -13.05 | 205 |
| 2025-11-13 | 2025-11-28 | -4.58 | 16 |
| 2026-01-09 | 2026-01-26 | -4.15 | 18 |
| 2025-10-09 | 2025-10-30 | -3.61 | 22 |
| 2025-12-17 | 2025-12-18 | -1.07 | 2 |
| 2025-11-04 | 2025-11-07 | -0.93 | 4 |
| 2026-02-12 | 2026-02-19 | -0.87 | 8 |
| 2026-02-02 | 2026-02-09 | -0.86 | 8 |
| 2025-12-22 | 2025-12-22 | -0.79 | 1 |
| 2026-02-25 | 2026-02-26 | -0.61 | 2 |