AKGD RUB[Strategy] vs [Benchmark] GLDRUB_TOM RUB

29 Dec, 2021 - 5 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	100.0%
Cumulative Return	134.29%	139.79%
CAGR﹪	24.14%	24.88%
Sharpe	0.79	0.68
Prob. Sharpe Ratio	49.22%	34.89%
Smart Sharpe	0.79	0.68
Sortino	1.14	1.1
Smart Sortino	1.14	1.1
Sortino/√2	0.81	0.78
Smart Sortino/√2	0.81	0.78
Omega	1.15	1.15
Max Drawdown	-42.54%	-62.58%
Longest DD Days	379	935
Volatility (ann.)	21.48%	27.68%
R^2	0.39	0.39
Information Ratio	-0.01	-0.01
Calmar	0.57	0.4
Skew	0.04	2.23
Kurtosis	4.43	24.57
Expected Daily	0.08%	0.09%
Expected Monthly	1.75%	1.8%
Expected Yearly	18.56%	19.11%
Kelly Criterion	7.46%	8.1%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.13%	-2.77%
Expected Shortfall (cVaR)	-2.13%	-2.77%
Max Consecutive Wins	15	12
Max Consecutive Losses	8	10
Gain/Pain Ratio	0.22	0.21
Gain/Pain (1M)	1.11	1.06
Payoff Ratio	0.96	0.98
Profit Factor	1.22	1.21
Common Sense Ratio	1.19	1.16
CPC Index	0.64	0.65
Tail Ratio	0.98	0.96
Outlier Win Ratio	4.25	3.71
Outlier Loss Ratio	4.27	3.95
MTD	-0.57%	-0.93%
3M	13.07%	12.8%
6M	19.98%	20.37%
YTD	20.09%	20.51%
1Y	16.09%	16.02%
3Y (ann.)	34.28%	36.03%
5Y (ann.)	24.14%	24.88%
10Y (ann.)	24.14%	24.88%
All-time (ann.)	24.14%	24.88%
Best Day	9.01%	18.21%
Worst Day	-6.62%	-8.59%
Best Month	17.11%	34.12%
Worst Month	-18.31%	-16.94%
Best Year	43.19%	46.25%
Worst Year	-4.66%	-7.21%
Avg. Drawdown	-4.17%	-6.92%
Avg. Drawdown Days	39	76
Recovery Factor	3.16	2.23
Ulcer Index	0.16	0.31
Serenity Index	0.36	0.13
Avg. Up Month	5.9%	6.75%
Avg. Down Month	-4.91%	-4.83%
Win Days	54.74%	54.41%
Win Month	63.27%	63.27%
Win Quarter	70.59%	76.47%
Win Year	60.0%	80.0%
Beta	0.49	-
Alpha	0.11	-
Correlation	62.59%	-
Treynor Ratio	262.04%	-