| Metric | SPY | PGP |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 74.99% | 21.6% |
| CAGR﹪ | 11.91% | 4.01% |
| Sharpe | 0.52 | 0.1 |
| Prob. Sharpe Ratio | 87.6% | 58.58% |
| Smart Sharpe | 0.5 | 0.09 |
| Sortino | 0.74 | 0.13 |
| Smart Sortino | 0.72 | 0.12 |
| Sortino/√2 | 0.53 | 0.09 |
| Smart Sortino/√2 | 0.51 | 0.08 |
| Omega | 1.14 | 1.06 |
| Max Drawdown | -24.5% | -40.42% |
| Max DD Date | 2022-10-12 | 2022-10-20 |
| Max DD Period Start | 2022-01-04 | 2021-11-10 |
| Max DD Period End | 2023-12-12 | 2025-03-20 |
| Longest DD Days | 708 | 1227 |
| Volatility (ann.) | 17.19% | 18.61% |
| R^2 | 0.2 | 0.2 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.49 | 0.1 |
| Skew | 0.33 | -0.64 |
| Kurtosis | 8.98 | 5.51 |
| Ulcer Performance Index | 8.86 | 1.21 |
| Risk-Adjusted Return | 11.91% | 4.22% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.87% | 0.92% |
| Avg. Loss | -0.97% | -1.03% |
| Win/Loss Ratio | 0.89 | 0.9 |
| Profit Ratio | 0.86 | 0.73 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.32% |
| Expected Yearly | 9.77% | 3.31% |
| Kelly Criterion | 1.31% | -1.92% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.91% |
| Expected Shortfall (cVaR) | -2.58% | -2.95% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 10 |
| Gain/Pain Ratio | 0.14 | 0.06 |
| Gain/Pain (1M) | 0.79 | 0.23 |
| Payoff Ratio | 0.89 | 0.9 |
| Profit Factor | 1.14 | 1.06 |
| Common Sense Ratio | 1.15 | 1.05 |
| CPC Index | 0.54 | 0.49 |
| Tail Ratio | 1.0 | 0.99 |
| Outlier Win Ratio | 3.4 | 4.0 |
| Outlier Loss Ratio | 3.8 | 3.97 |
| MTD | 1.47% | 3.09% |
| 3M | 1.46% | -0.62% |
| 6M | 6.94% | -3.7% |
| YTD | 13.33% | -1.03% |
| 1Y | 13.43% | 6.35% |
| 3Y (ann.) | 20.78% | 17.58% |
| 5Y (ann.) | 12.86% | 5.65% |
| 10Y (ann.) | 11.91% | 4.01% |
| All-time (ann.) | 11.91% | 4.01% |
| Best Day | 10.5% | 5.43% |
| Worst Day | -5.85% | -9.07% |
| Best Month | 10.51% | 19.41% |
| Worst Month | -9.24% | -17.0% |
| Best Year | 26.18% | 29.92% |
| Worst Year | -18.18% | -29.83% |
| Avg. Drawdown | -1.94% | -2.94% |
| Avg. Drawdown Days | 21 | 51 |
| Recovery Factor | 2.58 | 0.7 |
| Ulcer Index | 0.08 | 0.18 |
| Serenity Index | 0.43 | 0.05 |
| Avg. Up Month | 3.93% | 4.15% |
| Avg. Down Month | -3.68% | -5.73% |
| Win Days | 53.48% | 51.86% |
| Win Month | 62.3% | 62.3% |
| Win Quarter | 71.43% | 57.14% |
| Win Year | 83.33% | 50.0% |
| Beta | - | 0.48 |
| Alpha | - | -0.0 |
| Correlation | - | 44.61% |
| Treynor Ratio | - | 44.72% |
| Year | SPY | PGP | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -3.81 | -2.20 | - |
| 2022 | -18.18 | -29.83 | 1.64 | - |
| 2023 | 26.18 | 21.33 | 0.81 | - |
| 2024 | 24.89 | 15.48 | 0.62 | - |
| 2025 | 17.72 | 29.92 | 1.69 | + |
| 2026 | 13.33 | -1.03 | -0.08 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-10 | 2025-03-20 | -40.42 | 1227 |
| 2025-04-03 | 2025-05-23 | -16.03 | 51 |
| 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 |
| 2025-10-09 | 2025-10-30 | -3.61 | 22 |
| 2025-07-10 | 2025-07-21 | -1.57 | 12 |
| 2025-09-16 | 2025-09-30 | -1.16 | 15 |
| 2025-12-17 | 2025-12-18 | -1.07 | 2 |
| 2025-11-04 | 2025-11-07 | -0.93 | 4 |