| Metric | SPY | PGP |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 14.39% | 6.85% |
| CAGR﹪ | 14.51% | 6.91% |
| Sharpe | 0.83 | 0.27 |
| Prob. Sharpe Ratio | 79.61% | 60.64% |
| Smart Sharpe | 0.82 | 0.25 |
| Sortino | 1.22 | 0.38 |
| Smart Sortino | 1.2 | 0.34 |
| Sortino/√2 | 0.86 | 0.27 |
| Smart Sortino/√2 | 0.85 | 0.24 |
| Omega | 1.2 | 1.09 |
| 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 | 2026-11-04 |
| Longest DD Days | 76 | 248 |
| Volatility (ann.) | 12.86% | 15.48% |
| R^2 | 0.32 | 0.32 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 1.63 | 0.53 |
| Skew | -0.02 | -0.25 |
| Kurtosis | 0.78 | 0.43 |
| Ulcer Performance Index | 6.68 | 1.34 |
| Risk-Adjusted Return | 14.51% | 7.27% |
| Risk-Return Ratio | 0.07 | 0.03 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.73% | 0.9% |
| Avg. Loss | -0.77% | -0.91% |
| Win/Loss Ratio | 0.94 | 1.0 |
| Profit Ratio | 1.02 | 0.74 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.04% | 0.51% |
| Expected Yearly | 6.95% | 3.37% |
| Kelly Criterion | 1.15% | 4.03% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.57% |
| Expected Shortfall (cVaR) | -1.66% | -2.12% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.2 | 0.09 |
| Gain/Pain (1M) | 1.83 | 0.34 |
| Payoff Ratio | 0.94 | 1.0 |
| Profit Factor | 1.2 | 1.09 |
| Common Sense Ratio | 1.19 | 0.98 |
| CPC Index | 0.59 | 0.56 |
| Tail Ratio | 0.99 | 0.9 |
| Outlier Win Ratio | 2.84 | 3.28 |
| Outlier Loss Ratio | 3.01 | 2.99 |
| MTD | 1.47% | 3.09% |
| 3M | 1.46% | -0.62% |
| 6M | 6.94% | -3.7% |
| YTD | 13.33% | -1.03% |
| 1Y | 14.39% | 6.85% |
| 3Y (ann.) | 14.51% | 6.91% |
| 5Y (ann.) | 14.51% | 6.91% |
| 10Y (ann.) | 14.51% | 6.91% |
| All-time (ann.) | 14.51% | 6.91% |
| Best Day | 2.91% | 2.84% |
| Worst Day | -2.58% | -2.87% |
| Best Month | 10.51% | 11.19% |
| Worst Month | -4.94% | -10.58% |
| Best Year | 13.33% | 7.97% |
| Worst Year | 0.94% | -1.03% |
| Avg. Drawdown | -1.74% | -1.88% |
| Avg. Drawdown Days | 14 | 21 |
| Recovery Factor | 1.61 | 0.6 |
| Ulcer Index | 0.02 | 0.05 |
| Serenity Index | 0.94 | 0.13 |
| Avg. Up Month | 2.84% | 4.89% |
| Avg. Down Month | -1.8% | -4.78% |
| Win Days | 52.0% | 52.12% |
| Win Month | 61.54% | 53.85% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | - | 0.68 |
| Alpha | - | -0.02 |
| Correlation | - | 56.51% |
| Treynor Ratio | - | 10.07% |
| Year | SPY | PGP | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 0.94 | 7.97 | 8.49 | + |
| 2026 | 13.33 | -1.03 | -0.08 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-02 | 2026-11-04 | -13.05 | 248 |
| 2025-11-13 | 2025-11-28 | -4.58 | 16 |
| 2026-01-09 | 2026-01-26 | -4.15 | 18 |
| 2025-12-17 | 2025-12-18 | -1.07 | 2 |
| 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 |
| 2025-12-08 | 2025-12-12 | -0.57 | 5 |
| 2026-01-06 | 2026-01-07 | -0.54 | 2 |