RCGL RUB[Strategy] vs [Benchmark] GLDRUB_TOM RUB

5 Sep, 2022 - 20 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	61.0%	100.0%
Cumulative Return	138.89%	255.82%
CAGR﹪	29.41%	45.61%
Sharpe	1.3	1.8
Prob. Sharpe Ratio	87.88%	97.43%
Smart Sharpe	1.22	1.69
Sortino	1.99	2.71
Smart Sortino	1.87	2.54
Sortino/√2	1.41	1.92
Smart Sortino/√2	1.32	1.8
Omega	1.31	1.31
Max Drawdown	-12.41%	-12.46%
Longest DD Days	483	279
Volatility (ann.)	15.3%	17.79%
R^2	0.29	0.29
Information Ratio	-0.05	-0.05
Calmar	2.37	3.66
Skew	0.03	-0.23
Kurtosis	4.11	1.28
Expected Daily	0.1%	0.15%
Expected Monthly	2.15%	3.14%
Expected Yearly	19.02%	28.9%
Kelly Criterion	16.32%	15.88%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.48%	-1.69%
Expected Shortfall (cVaR)	-1.48%	-1.69%
Max Consecutive Wins	10	12
Max Consecutive Losses	5	7
Gain/Pain Ratio	0.45	0.44
Gain/Pain (1M)	10.19	4.48
Payoff Ratio	0.97	1.05
Profit Factor	1.45	1.44
Common Sense Ratio	1.95	1.65
CPC Index	0.83	0.86
Tail Ratio	1.34	1.14
Outlier Win Ratio	6.55	3.38
Outlier Loss Ratio	2.95	3.44
MTD	0.0%	7.25%
3M	0.0%	6.94%
6M	0.0%	41.08%
YTD	0.0%	7.25%
1Y	0.0%	31.88%
3Y (ann.)	22.22%	41.04%
5Y (ann.)	29.41%	45.61%
10Y (ann.)	29.41%	45.61%
All-time (ann.)	29.41%	45.61%
Best Day	5.06%	3.78%
Worst Day	-5.0%	-4.4%
Best Month	17.22%	18.04%
Worst Month	-2.65%	-7.6%
Best Year	44.49%	46.25%
Worst Year	0.0%	7.25%
Avg. Drawdown	-2.52%	-1.93%
Avg. Drawdown Days	30	17
Recovery Factor	11.19	20.54
Ulcer Index	0.03	0.05
Serenity Index	5.78	7.06
Avg. Up Month	5.52%	6.26%
Avg. Down Month	-1.37%	-1.55%
Win Days	58.77%	56.83%
Win Month	73.08%	70.73%
Win Quarter	90.0%	73.33%
Win Year	100.0%	100.0%
Beta	0.47	-
Alpha	0.09	-
Correlation	54.16%	-
Treynor Ratio	283.11%	-