I am not criticizing, just put the data, the real gain is 1.39%, if my intention was to criticize, I would say that a gain of 6% a year in a market risk, is ridiculous, there are safer investments, if your looking a return like that.
I personally think the TWR is the variable to track otherwise cash ins and cash outs skew the PL.
We do PAMMs so tracking abs gains is redundant.
We trade selectively and may not trade for a few weeks or a month.
If we do that and we bring in new investment in that time, our abs gain drops through the time we are flat.
So we can sit aside and wait for the better opportunities for a month and be in a draw down in abs gain.
In fact, a successful PAMM is likely to downtrend in abs gain as it attracts new investments.
The abs gain give absolutely no indication of the net profitability of the accounts.
To call the abs gain the 'real gain' would be non reflective.
For a simple example, if there was $2,000 in and it made 100%, there is $4,000 with $2,000 profit.
The system looks good, more money is thrown in.
Let's say $100,000 goes in, the abs gain is now 1%, even though over the time period before this any money in the account will have doubled.
Lets say this was over a year, we have a gain of about 8% a month on this system and for that a DD of 15-20% would be good.
Working on abs gain, the DD is 200x more than the average monthly gain, which is horrific and not fit for investment.
But on the TWR, the real gain, it is 1:3 ratio and statistically unlikely to lose 2 quarters in a years, very good looking investment.
So from a money manager/investor perspective, abs gains are totally pointless as a metric to track.