SBGD RUB[Strategy] vs [Benchmark] GLDRUB_TOM RUB

16 Sep, 2022 - 13 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	100.0%
Cumulative Return	227.72%	243.22%
CAGR﹪	38.34%	40.1%
Sharpe	1.3	1.44
Prob. Sharpe Ratio	82.4%	89.43%
Smart Sharpe	1.18	1.3
Sortino	1.89	2.11
Smart Sortino	1.72	1.92
Sortino/√2	1.34	1.49
Smart Sortino/√2	1.21	1.36
Omega	1.26	1.26
Max Drawdown	-18.63%	-18.81%
Longest DD Days	278	279
Volatility (ann.)	21.27%	20.0%
R^2	0.71	0.71
Information Ratio	-0.01	-0.01
Calmar	2.06	2.13
Skew	-0.84	-0.26
Kurtosis	9.94	3.09
Expected Daily	0.13%	0.13%
Expected Monthly	2.67%	2.78%
Expected Yearly	26.79%	27.97%
Kelly Criterion	11.88%	13.79%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.07%	-1.93%
Expected Shortfall (cVaR)	-2.07%	-1.93%
Max Consecutive Wins	11	12
Max Consecutive Losses	6	7
Gain/Pain Ratio	0.33	0.36
Gain/Pain (1M)	3.0	3.08
Payoff Ratio	1.01	1.04
Profit Factor	1.33	1.36
Common Sense Ratio	1.8	1.53
CPC Index	0.75	0.79
Tail Ratio	1.36	1.12
Outlier Win Ratio	3.34	3.48
Outlier Loss Ratio	3.77	4.02
MTD	-0.0%	-0.16%
3M	-12.42%	-11.87%
6M	2.11%	2.05%
YTD	0.57%	0.46%
1Y	31.64%	31.43%
3Y (ann.)	29.13%	29.68%
5Y (ann.)	38.34%	40.1%
10Y (ann.)	38.34%	40.1%
All-time (ann.)	38.34%	40.1%
Best Day	5.4%	7.05%
Worst Day	-12.71%	-6.28%
Best Month	20.57%	18.04%
Worst Month	-7.96%	-8.46%
Best Year	45.34%	46.25%
Worst Year	0.57%	0.46%
Avg. Drawdown	-2.58%	-2.24%
Avg. Drawdown Days	22	17
Recovery Factor	12.22	12.93
Ulcer Index	0.05	0.05
Serenity Index	5.7	5.66
Avg. Up Month	5.92%	5.82%
Avg. Down Month	-3.14%	-3.33%
Win Days	55.81%	56.05%
Win Month	66.67%	68.89%
Win Quarter	68.75%	75.0%
Win Year	100.0%	100.0%
Beta	0.89	-
Alpha	0.03	-
Correlation	84.05%	-
Treynor Ratio	246.95%	-