AKGD RUB[Strategy] vs [Benchmark] GLDRUB_TOM RUB

29 Dec, 2021 - 4 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	100.0%
Cumulative Return	90.16%	94.32%
CAGR﹪	20.06%	20.8%
Sharpe	0.63	0.56
Prob. Sharpe Ratio	37.81%	26.7%
Smart Sharpe	0.63	0.56
Sortino	0.91	0.91
Smart Sortino	0.9	0.9
Sortino/√2	0.64	0.64
Smart Sortino/√2	0.64	0.64
Omega	1.12	1.12
Max Drawdown	-42.54%	-62.58%
Longest DD Days	379	935
Volatility (ann.)	21.71%	28.55%
R^2	0.37	0.37
Information Ratio	-0.01	-0.01
Calmar	0.47	0.33
Skew	0.03	2.3
Kurtosis	4.65	24.43
Expected Daily	0.07%	0.07%
Expected Monthly	1.47%	1.52%
Expected Yearly	13.72%	14.21%
Kelly Criterion	6.3%	6.59%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.17%	-2.87%
Expected Shortfall (cVaR)	-2.17%	-2.87%
Max Consecutive Wins	15	10
Max Consecutive Losses	8	10
Gain/Pain Ratio	0.19	0.18
Gain/Pain (1M)	0.86	0.84
Payoff Ratio	0.94	0.98
Profit Factor	1.19	1.18
Common Sense Ratio	1.14	1.11
CPC Index	0.61	0.62
Tail Ratio	0.96	0.94
Outlier Win Ratio	4.7	3.97
Outlier Loss Ratio	4.36	4.05
MTD	1.64%	1.73%
3M	-0.95%	-0.78%
6M	-4.15%	-4.14%
YTD	-2.53%	-2.34%
1Y	23.77%	24.63%
3Y (ann.)	33.69%	35.71%
5Y (ann.)	20.06%	20.8%
10Y (ann.)	20.06%	20.8%
All-time (ann.)	20.06%	20.8%
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	-4.57%	-8.3%
Avg. Drawdown Days	45	95
Recovery Factor	2.12	1.51
Ulcer Index	0.17	0.33
Serenity Index	0.22	0.08
Avg. Up Month	5.94%	6.91%
Avg. Down Month	-5.18%	-5.07%
Win Days	54.56%	53.82%
Win Month	61.36%	61.36%
Win Quarter	68.75%	75.0%
Win Year	40.0%	60.0%
Beta	0.46	-
Alpha	0.1	-
Correlation	60.85%	-
Treynor Ratio	179.73%	-