| Metric | SPY | PGP |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 204.97% | 42.12% |
| CAGR﹪ | 16.25% | 4.86% |
| Sharpe | 0.72 | 0.21 |
| Prob. Sharpe Ratio | 97.45% | 71.16% |
| Smart Sharpe | 0.63 | 0.2 |
| Sortino | 1.02 | 0.27 |
| Smart Sortino | 0.88 | 0.26 |
| Sortino/√2 | 0.72 | 0.19 |
| Smart Sortino/√2 | 0.62 | 0.18 |
| Omega | 1.18 | 1.07 |
| Max Drawdown | -33.72% | -57.62% |
| Max DD Date | 2020-03-23 | 2020-03-18 |
| Max DD Period Start | 2020-02-20 | 2020-02-14 |
| Max DD Period End | 2020-08-07 | 2021-06-01 |
| Longest DD Days | 708 | 1227 |
| Volatility (ann.) | 19.45% | 26.48% |
| R^2 | 0.25 | 0.25 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.48 | 0.08 |
| Skew | -0.29 | -3.24 |
| Kurtosis | 13.94 | 83.36 |
| Ulcer Performance Index | 25.91 | 2.33 |
| Risk-Adjusted Return | 16.25% | 5.12% |
| Risk-Return Ratio | 0.05 | 0.02 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.9% | 1.06% |
| Avg. Loss | -1.06% | -1.25% |
| Win/Loss Ratio | 0.85 | 0.85 |
| Profit Ratio | 0.78 | 0.71 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.25% | 0.39% |
| Expected Yearly | 14.96% | 4.49% |
| Kelly Criterion | 2.35% | -2.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -2.71% |
| Expected Shortfall (cVaR) | -3.2% | -5.19% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 7 | 10 |
| Gain/Pain Ratio | 0.18 | 0.07 |
| Gain/Pain (1M) | 1.15 | 0.37 |
| Payoff Ratio | 0.85 | 0.85 |
| Profit Factor | 1.18 | 1.07 |
| Common Sense Ratio | 1.13 | 1.11 |
| CPC Index | 0.55 | 0.48 |
| Tail Ratio | 0.96 | 1.03 |
| Outlier Win Ratio | 3.69 | 4.47 |
| Outlier Loss Ratio | 4.12 | 4.45 |
| 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.) | 16.25% | 4.86% |
| All-time (ann.) | 16.25% | 4.86% |
| Best Day | 10.5% | 18.11% |
| Worst Day | -10.94% | -31.17% |
| Best Month | 12.7% | 23.95% |
| Worst Month | -12.49% | -20.46% |
| Best Year | 28.73% | 29.92% |
| Worst Year | -18.18% | -29.83% |
| Avg. Drawdown | -1.79% | -4.05% |
| Avg. Drawdown Days | 16 | 54 |
| Recovery Factor | 3.72 | 1.08 |
| Ulcer Index | 0.08 | 0.18 |
| Serenity Index | 1.03 | 0.16 |
| Avg. Up Month | 4.14% | 4.12% |
| Avg. Down Month | -4.02% | -6.43% |
| Win Days | 55.15% | 52.66% |
| Win Month | 65.56% | 66.67% |
| Win Quarter | 77.42% | 64.52% |
| Win Year | 87.5% | 62.5% |
| Beta | - | 0.68 |
| Alpha | - | -0.03 |
| Correlation | - | 50.23% |
| Treynor Ratio | - | 61.58% |
| Year | SPY | PGP | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 3.84 | 0.23 | - |
| 2020 | 18.33 | -6.98 | -0.38 | - |
| 2021 | 28.73 | 16.38 | 0.57 | - |
| 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 |
|---|---|---|---|
| 2020-02-14 | 2021-06-01 | -57.62 | 474 |
| 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 |
| 2019-07-05 | 2020-01-07 | -11.93 | 187 |
| 2021-09-16 | 2021-11-05 | -6.25 | 51 |
| 2025-11-13 | 2025-11-28 | -4.58 | 16 |
| 2026-01-09 | 2026-01-26 | -4.15 | 18 |
| 2020-01-24 | 2020-02-11 | -3.88 | 19 |
| 2025-10-09 | 2025-10-30 | -3.61 | 22 |