SBGD RUB[Strategy] vs [Benchmark] GLDRUB_TOM RUB

16 Sep, 2022 - 16 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	100.0%
Cumulative Return	278.41%	304.17%
CAGR﹪	46.28%	49.06%
Sharpe	1.57	1.79
Prob. Sharpe Ratio	91.58%	97.12%
Smart Sharpe	1.41	1.61
Sortino	2.31	2.7
Smart Sortino	2.07	2.42
Sortino/√2	1.64	1.91
Smart Sortino/√2	1.47	1.71
Omega	1.32	1.32
Max Drawdown	-12.87%	-12.46%
Longest DD Days	278	279
Volatility (ann.)	21.13%	19.44%
R^2	0.71	0.71
Information Ratio	-0.01	-0.01
Calmar	3.6	3.94
Skew	-0.88	-0.15
Kurtosis	10.74	3.06
Expected Daily	0.15%	0.16%
Expected Monthly	3.14%	3.3%
Expected Yearly	30.49%	32.22%
Kelly Criterion	14.04%	16.76%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.03%	-1.85%
Expected Shortfall (cVaR)	-2.03%	-1.85%
Max Consecutive Wins	11	12
Max Consecutive Losses	6	7
Gain/Pain Ratio	0.4	0.45
Gain/Pain (1M)	4.95	5.38
Payoff Ratio	1.03	1.08
Profit Factor	1.4	1.45
Common Sense Ratio	1.95	1.65
CPC Index	0.81	0.89
Tail Ratio	1.4	1.14
Outlier Win Ratio	3.34	3.54
Outlier Loss Ratio	3.72	4.05
MTD	-0.72%	0.21%
3M	17.88%	19.29%
6M	33.64%	35.13%
YTD	16.12%	18.3%
1Y	53.35%	57.14%
3Y (ann.)	34.0%	36.36%
5Y (ann.)	46.28%	49.06%
10Y (ann.)	46.28%	49.06%
All-time (ann.)	46.28%	49.06%
Best Day	5.4%	7.05%
Worst Day	-12.71%	-6.28%
Best Month	20.57%	18.04%
Worst Month	-6.2%	-7.6%
Best Year	45.34%	46.25%
Worst Year	16.12%	18.3%
Avg. Drawdown	-2.47%	-2.02%
Avg. Drawdown Days	20	17
Recovery Factor	21.63	24.42
Ulcer Index	0.05	0.05
Serenity Index	8.98	9.32
Avg. Up Month	5.92%	5.82%
Avg. Down Month	-2.63%	-2.78%
Win Days	56.41%	56.84%
Win Month	69.77%	74.42%
Win Quarter	73.33%	80.0%
Win Year	100.0%	100.0%
Beta	0.91	-
Alpha	0.02	-
Correlation	84.02%	-
Treynor Ratio	297.17%	-