| Metric | SPY | PGP |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 86.58% | 21.62% |
| CAGR﹪ | 13.36% | 4.02% |
| Sharpe | 0.59 | 0.1 |
| Prob. Sharpe Ratio | 90.85% | 58.89% |
| Smart Sharpe | 0.58 | 0.09 |
| Sortino | 0.86 | 0.14 |
| Smart Sortino | 0.83 | 0.12 |
| Sortino/√2 | 0.61 | 0.1 |
| Smart Sortino/√2 | 0.59 | 0.09 |
| Omega | 1.16 | 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.) | 17.2% | 18.59% |
| R^2 | 0.2 | 0.2 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.55 | 0.1 |
| Skew | 0.32 | -0.64 |
| Kurtosis | 8.95 | 5.56 |
| Ulcer Performance Index | 10.24 | 1.21 |
| Risk-Adjusted Return | 13.36% | 4.23% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.86% | 0.92% |
| Avg. Loss | -0.97% | -1.04% |
| Win/Loss Ratio | 0.89 | 0.89 |
| Profit Ratio | 0.83 | 0.75 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.03% | 0.32% |
| Expected Yearly | 10.95% | 3.32% |
| Kelly Criterion | 2.18% | -2.69% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.9% |
| Expected Shortfall (cVaR) | -2.58% | -2.96% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 10 |
| Gain/Pain Ratio | 0.16 | 0.06 |
| Gain/Pain (1M) | 0.87 | 0.23 |
| Payoff Ratio | 0.89 | 0.89 |
| Profit Factor | 1.16 | 1.06 |
| Common Sense Ratio | 1.17 | 1.05 |
| CPC Index | 0.55 | 0.48 |
| Tail Ratio | 1.01 | 0.99 |
| Outlier Win Ratio | 3.41 | 3.99 |
| Outlier Loss Ratio | 3.77 | 4.0 |
| MTD | 1.08% | -4.56% |
| 3M | 3.82% | -1.37% |
| 6M | 19.85% | 6.54% |
| YTD | 14.3% | -1.98% |
| 1Y | 17.78% | 7.18% |
| 3Y (ann.) | 24.86% | 25.01% |
| 5Y (ann.) | 13.06% | 4.44% |
| 10Y (ann.) | 13.36% | 4.02% |
| All-time (ann.) | 13.36% | 4.02% |
| 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 | -1.89% | -2.84% |
| Avg. Drawdown Days | 20 | 47 |
| Recovery Factor | 2.85 | 0.7 |
| Ulcer Index | 0.08 | 0.18 |
| Serenity Index | 0.47 | 0.05 |
| Avg. Up Month | 4.09% | 4.22% |
| Avg. Down Month | -3.87% | -5.9% |
| Win Days | 54.04% | 51.73% |
| Win Month | 63.93% | 62.3% |
| Win Quarter | 66.67% | 57.14% |
| Win Year | 83.33% | 50.0% |
| Beta | - | 0.48 |
| Alpha | - | -0.01 |
| Correlation | - | 44.54% |
| Treynor Ratio | - | 44.92% |
| Year | SPY | PGP | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.55 | -2.86 | -0.38 | - |
| 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 | 14.30 | -1.98 | -0.14 | - |
| 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 | 2026-09-22 | -13.05 | 205 |
| 2021-09-27 | 2021-10-28 | -5.01 | 32 |
| 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 | 2025-10-01 | -1.16 | 16 |
| 2025-12-17 | 2025-12-18 | -1.07 | 2 |