That's not really a problem, it's good that the mean is small compared to the standard deviation. It's how it's supposed to be. If for one strategy the mean is negative, you have "bleeding", so that strategy is clearly wrong. And if you have a positive mean, it's a bit of a question mark: what will stop this from turning negative at some point in the future? A hedged portfolio can produce a steady is independent of strategy. If, on the other hand you have one strategy that has approx. zero P&L and another one that has positive P&L, then the second one is "punting". the trader took a view on how the underlying will evolve, and underhedged, or overhedged accordingly. It's just a bet, and you can lose as easily as you can win. So basically you have two things to look at: - are the means approximately zero for both strategies? if one has non-zero mean, discard it- if both have mean zero, the strategy with lower stdev is better.