AKGD RUB[Strategy] vs [Benchmark] GLDRUB_TOM RUB

29 Dec, 2021 - 27 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	96.0%
Cumulative Return	126.04%	137.1%
CAGR﹪	19.89%	21.17%
Sharpe	0.58	0.55
Prob. Sharpe Ratio	30.36%	23.63%
Smart Sharpe	0.56	0.53
Sortino	0.81	0.87
Smart Sortino	0.79	0.84
Sortino/√2	0.57	0.61
Smart Sortino/√2	0.56	0.6
Omega	1.11	1.11
Max Drawdown	-42.54%	-62.58%
Longest DD Days	379	935
Volatility (ann.)	22.92%	27.94%
R^2	0.43	0.43
Information Ratio	-0.01	-0.01
Calmar	0.47	0.34
Skew	-0.38	1.85
Kurtosis	6.86	20.56
Expected Daily	0.07%	0.07%
Expected Monthly	1.49%	1.58%
Expected Yearly	14.56%	15.47%
Kelly Criterion	7.41%	6.29%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.3%	-2.81%
Expected Shortfall (cVaR)	-2.3%	-2.81%
Max Consecutive Wins	15	12
Max Consecutive Losses	8	10
Gain/Pain Ratio	0.17	0.18
Gain/Pain (1M)	0.85	0.88
Payoff Ratio	0.92	0.99
Profit Factor	1.17	1.18
Common Sense Ratio	1.16	1.13
CPC Index	0.6	0.62
Tail Ratio	0.99	0.96
Outlier Win Ratio	4.3	3.81
Outlier Loss Ratio	4.14	3.94
MTD	-1.55%	-1.7%
3M	-11.54%	-11.52%
6M	-8.71%	-7.8%
YTD	-8.49%	-7.48%
1Y	19.21%	22.82%
3Y (ann.)	20.85%	22.55%
5Y (ann.)	19.89%	21.17%
10Y (ann.)	19.89%	21.17%
All-time (ann.)	19.89%	21.17%
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	-8.49%	-7.48%
Avg. Drawdown	-4.84%	-6.83%
Avg. Drawdown Days	39	62
Recovery Factor	2.96	2.19
Ulcer Index	0.16	0.29
Serenity Index	0.37	0.15
Avg. Up Month	6.13%	6.84%
Avg. Down Month	-5.49%	-5.23%
Win Days	55.66%	53.47%
Win Month	61.82%	61.82%
Win Quarter	68.42%	73.68%
Win Year	50.0%	66.67%
Beta	0.54	-
Alpha	0.08	-
Correlation	65.89%	-
Treynor Ratio	220.23%	-