AKGD RUB[Strategy] vs [Benchmark] GLDRUB_TOM RUB

29 Dec, 2021 - 11 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	98.0%
Cumulative Return	193.89%	205.7%
CAGR﹪	29.26%	30.48%
Sharpe	0.92	0.82
Prob. Sharpe Ratio	58.86%	46.0%
Smart Sharpe	0.88	0.79
Sortino	1.32	1.33
Smart Sortino	1.26	1.27
Sortino/√2	0.93	0.94
Smart Sortino/√2	0.89	0.9
Omega	1.19	1.19
Max Drawdown	-42.54%	-62.58%
Longest DD Days	379	935
Volatility (ann.)	22.61%	27.96%
R^2	0.41	0.41
Information Ratio	-0.01	-0.01
Calmar	0.69	0.49
Skew	-0.38	2.0
Kurtosis	7.77	22.08
Expected Daily	0.1%	0.1%
Expected Monthly	2.09%	2.17%
Expected Yearly	19.68%	20.47%
Kelly Criterion	9.39%	9.68%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.23%	-2.78%
Expected Shortfall (cVaR)	-2.23%	-2.78%
Max Consecutive Wins	15	12
Max Consecutive Losses	8	10
Gain/Pain Ratio	0.25	0.25
Gain/Pain (1M)	1.38	1.34
Payoff Ratio	0.96	1.01
Profit Factor	1.25	1.25
Common Sense Ratio	1.24	1.32
CPC Index	0.67	0.69
Tail Ratio	0.99	1.06
Outlier Win Ratio	4.25	3.74
Outlier Loss Ratio	4.28	4.01
MTD	-1.76%	1.05%
3M	22.86%	24.63%
6M	31.92%	33.2%
YTD	18.98%	19.29%
1Y	56.67%	59.61%
3Y (ann.)	35.99%	37.5%
5Y (ann.)	29.26%	30.48%
10Y (ann.)	29.26%	30.48%
All-time (ann.)	29.26%	30.48%
Best Day	9.01%	18.21%
Worst Day	-11.66%	-8.59%
Best Month	18.49%	34.12%
Worst Month	-18.31%	-16.94%
Best Year	43.19%	46.25%
Worst Year	-4.66%	-7.21%
Avg. Drawdown	-4.16%	-5.83%
Avg. Drawdown Days	36	58
Recovery Factor	4.56	3.29
Ulcer Index	0.15	0.3
Serenity Index	0.6	0.21
Avg. Up Month	6.13%	6.84%
Avg. Down Month	-5.18%	-5.07%
Win Days	55.73%	54.61%
Win Month	65.38%	67.31%
Win Quarter	72.22%	77.78%
Win Year	66.67%	83.33%
Beta	0.52	-
Alpha	0.12	-
Correlation	64.4%	-
Treynor Ratio	358.82%	-