TGLD RUB[Strategy] vs Deposit RUB[Benchmark]

25 Aug, 2021 - 20 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	166.33%	86.57%
CAGR﹪	21.69%	13.31%
Sharpe	0.94	28.27
Prob. Sharpe Ratio	96.41%	99.99%
Smart Sharpe	0.91	27.63
Sortino	1.24	-
Smart Sortino	1.21	-
Sortino/√2	0.88	-
Smart Sortino/√2	0.86	-
Omega	1.21	1.21
Max Drawdown	-36.95%	-
Longest DD Days	-	-
Volatility (ann.)	26.0%	0.47%
R^2	0.12	0.12
Information Ratio	0.03	0.03
Calmar	0.59	-
Skew	-3.73	14.92
Kurtosis	61.56	386.79
Expected Daily	0.08%	0.05%
Expected Monthly	1.67%	1.06%
Expected Yearly	17.73%	10.95%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.6%	-0.0%
Expected Shortfall (cVaR)	-2.6%	-0.0%
Max Consecutive Wins	9	1187
Max Consecutive Losses	9	0
Gain/Pain Ratio	0.21	-
Gain/Pain (1M)	1.12	-
Payoff Ratio	-	-
Profit Factor	1.21	-
Common Sense Ratio	1.31	-
CPC Index	-	-
Tail Ratio	1.09	3.49
Outlier Win Ratio	2.13	40.2
Outlier Loss Ratio	1.65	-
MTD	15.83%	1.07%
3M	15.56%	3.69%
6M	-4.59%	7.02%
YTD	6.67%	9.25%
1Y	36.59%	15.56%
3Y (ann.)	24.73%	17.64%
5Y (ann.)	22.9%	13.35%
10Y (ann.)	21.69%	13.31%
All-time (ann.)	21.69%	13.31%
Best Day	9.11%	0.82%
Worst Day	-25.97%	0.0%
Best Month	24.03%	1.83%
Worst Month	-25.97%	0.41%
Best Year	43.2%	19.38%
Worst Year	-4.77%	2.77%
Avg. Drawdown	-4.17%	-
Avg. Drawdown Days	-	-
Recovery Factor	4.5	-
Ulcer Index	0.14	0.0
Serenity Index	0.77	-
Avg. Up Month	5.99%	1.06%
Avg. Down Month	-	-
Win Days	55.23%	100.0%
Win Month	62.71%	100.0%
Win Quarter	71.43%	100.0%
Win Year	83.33%	100.0%
Beta	-18.85	-
Alpha	2.74	-
Correlation	-33.94%	-
Treynor Ratio	-8.82%	-