GOLD RUB[Strategy] vs [Benchmark] GLDRUB_TOM RUB

29 Jul, 2022 - 26 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	191.64%	203.18%
CAGR﹪	28.67%	29.85%
Sharpe	0.95	1.01
Prob. Sharpe Ratio	62.06%	68.03%
Smart Sharpe	0.88	0.94
Sortino	1.38	1.48
Smart Sortino	1.29	1.37
Sortino/√2	0.98	1.04
Smart Sortino/√2	0.91	0.97
Omega	1.18	1.18
Max Drawdown	-27.64%	-29.75%
Longest DD Days	278	279
Volatility (ann.)	21.53%	20.84%
R^2	0.66	0.66
Information Ratio	-0.0	-0.0
Calmar	1.04	1.0
Skew	-0.22	-0.12
Kurtosis	4.46	2.69
Expected Daily	0.1%	0.1%
Expected Monthly	2.08%	2.16%
Expected Yearly	23.87%	24.84%
Kelly Criterion	8.32%	10.76%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.12%	-2.05%
Expected Shortfall (cVaR)	-2.12%	-2.05%
Max Consecutive Wins	12	12
Max Consecutive Losses	9	8
Gain/Pain Ratio	0.24	0.26
Gain/Pain (1M)	1.64	1.71
Payoff Ratio	1.01	1.04
Profit Factor	1.24	1.26
Common Sense Ratio	1.46	1.3
CPC Index	0.68	0.71
Tail Ratio	1.17	1.03
Outlier Win Ratio	3.56	3.65
Outlier Loss Ratio	3.56	3.66
MTD	-5.44%	-6.28%
3M	3.69%	2.6%
6M	-6.7%	-8.39%
YTD	-2.52%	-5.62%
1Y	1.89%	-1.53%
3Y (ann.)	22.88%	23.97%
5Y (ann.)	28.67%	29.85%
10Y (ann.)	28.67%	29.85%
All-time (ann.)	28.67%	29.85%
Best Day	7.3%	7.05%
Worst Day	-10.11%	-6.28%
Best Month	17.35%	18.04%
Worst Month	-7.84%	-8.46%
Best Year	46.8%	46.25%
Worst Year	-2.52%	-5.62%
Avg. Drawdown	-3.14%	-2.72%
Avg. Drawdown Days	26	24
Recovery Factor	6.93	6.83
Ulcer Index	0.08	0.08
Serenity Index	2.38	2.04
Avg. Up Month	5.86%	6.05%
Avg. Down Month	-4.04%	-4.0%
Win Days	53.93%	54.55%
Win Month	64.71%	62.75%
Win Quarter	66.67%	66.67%
Win Year	80.0%	80.0%
Beta	0.84	-
Alpha	0.04	-
Correlation	81.31%	-
Treynor Ratio	219.85%	-