AKGD RUB[Strategy] vs [Benchmark] GLDRUB_TOM RUB

29 Dec, 2021 - 27 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	95.0%
Cumulative Return	176.18%	188.32%
CAGR﹪	24.34%	25.49%
Sharpe	0.72	0.67
Prob. Sharpe Ratio	41.39%	32.12%
Smart Sharpe	0.69	0.64
Sortino	1.02	1.05
Smart Sortino	0.98	1.01
Sortino/√2	0.72	0.74
Smart Sortino/√2	0.69	0.71
Omega	1.14	1.14
Max Drawdown	-42.54%	-62.58%
Longest DD Days	379	935
Volatility (ann.)	22.98%	27.69%
R^2	0.45	0.45
Information Ratio	-0.01	-0.01
Calmar	0.57	0.41
Skew	-0.34	1.81
Kurtosis	6.54	20.31
Expected Daily	0.08%	0.09%
Expected Monthly	1.8%	1.88%
Expected Yearly	18.45%	19.3%
Kelly Criterion	8.85%	7.65%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.29%	-2.77%
Expected Shortfall (cVaR)	-2.29%	-2.77%
Max Consecutive Wins	15	12
Max Consecutive Losses	8	10
Gain/Pain Ratio	0.2	0.2
Gain/Pain (1M)	1.03	1.05
Payoff Ratio	0.93	0.99
Profit Factor	1.2	1.2
Common Sense Ratio	1.21	1.2
CPC Index	0.63	0.65
Tail Ratio	1.01	0.99
Outlier Win Ratio	4.22	3.83
Outlier Loss Ratio	4.07	3.86
MTD	21.0%	20.49%
3M	21.48%	21.24%
6M	-4.16%	-3.87%
YTD	11.81%	12.51%
1Y	40.45%	43.23%
3Y (ann.)	27.7%	29.55%
5Y (ann.)	24.34%	25.49%
10Y (ann.)	24.34%	25.49%
All-time (ann.)	24.34%	25.49%
Best Day	9.01%	18.21%
Worst Day	-11.66%	-8.59%
Best Month	21.0%	34.12%
Worst Month	-18.31%	-16.94%
Best Year	43.19%	46.25%
Worst Year	-4.66%	-7.21%
Avg. Drawdown	-4.84%	-6.83%
Avg. Drawdown Days	41	65
Recovery Factor	4.14	3.01
Ulcer Index	0.16	0.29
Serenity Index	0.51	0.21
Avg. Up Month	6.42%	7.08%
Avg. Down Month	-5.51%	-5.26%
Win Days	56.1%	53.98%
Win Month	63.16%	63.16%
Win Quarter	70.0%	75.0%
Win Year	66.67%	83.33%
Beta	0.55	-
Alpha	0.09	-
Correlation	66.81%	-
Treynor Ratio	305.14%	-