SBGD RUB[Strategy] vs [Benchmark] GLDRUB_TOM RUB

16 Sep, 2022 - 2 Jun, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	100.0%
Cumulative Return	149.55%	157.08%
CAGR﹪	40.1%	41.64%
Sharpe	1.5	1.69
Prob. Sharpe Ratio	88.94%	94.08%
Smart Sharpe	1.38	1.56
Sortino	2.28	2.49
Smart Sortino	2.1	2.3
Sortino/√2	1.61	1.76
Smart Sortino/√2	1.48	1.63
Omega	1.28	1.28
Max Drawdown	-12.87%	-12.46%
Longest DD Days	204	204
Volatility (ann.)	19.07%	17.37%
R^2	0.66	0.66
Information Ratio	-0.0	-0.0
Calmar	3.12	3.34
Skew	0.05	-0.31
Kurtosis	1.99	1.49
Expected Daily	0.13%	0.14%
Expected Monthly	2.73%	2.82%
Expected Yearly	25.69%	26.62%
Kelly Criterion	12.95%	15.06%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.84%	-1.66%
Expected Shortfall (cVaR)	-1.84%	-1.66%
Max Consecutive Wins	11	10
Max Consecutive Losses	6	7
Gain/Pain Ratio	0.36	0.42
Gain/Pain (1M)	3.74	3.74
Payoff Ratio	0.98	1.02
Profit Factor	1.36	1.42
Common Sense Ratio	1.63	1.57
CPC Index	0.76	0.83
Tail Ratio	1.2	1.11
Outlier Win Ratio	3.29	3.58
Outlier Loss Ratio	3.59	4.04
MTD	2.2%	0.0%
3M	2.16%	1.44%
6M	-6.7%	-7.73%
YTD	-3.13%	-3.09%
1Y	22.87%	24.21%
3Y (ann.)	40.1%	41.64%
5Y (ann.)	40.1%	41.64%
10Y (ann.)	40.1%	41.64%
All-time (ann.)	40.1%	41.64%
Best Day	5.4%	3.78%
Worst Day	-4.36%	-4.4%
Best Month	16.43%	18.04%
Worst Month	-6.2%	-7.6%
Best Year	45.34%	46.25%
Worst Year	-3.13%	-3.09%
Avg. Drawdown	-2.38%	-1.76%
Avg. Drawdown Days	21	16
Recovery Factor	11.62	12.61
Ulcer Index	0.05	0.05
Serenity Index	4.64	4.41
Avg. Up Month	5.48%	5.76%
Avg. Down Month	-2.87%	-2.98%
Win Days	56.85%	57.06%
Win Month	70.59%	69.7%
Win Quarter	66.67%	75.0%
Win Year	75.0%	75.0%
Beta	0.89	-
Alpha	0.03	-
Correlation	81.19%	-
Treynor Ratio	159.98%	-