TGLD RUB[Strategy] vs Deposit RUB[Benchmark]

25 Aug, 2021 - 2 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	166.14%	86.76%
CAGR﹪	21.51%	13.24%
Sharpe	0.93	28.32
Prob. Sharpe Ratio	96.39%	99.99%
Smart Sharpe	0.91	27.72
Sortino	1.23	-
Smart Sortino	1.21	-
Sortino/√2	0.87	-
Smart Sortino/√2	0.85	-
Omega	1.21	1.21
Max Drawdown	-36.95%	-
Longest DD Days	-	-
Volatility (ann.)	26.0%	0.46%
R^2	0.12	0.12
Information Ratio	0.03	0.03
Calmar	0.58	-
Skew	-3.71	15.18
Kurtosis	61.07	396.52
Expected Daily	0.08%	0.05%
Expected Monthly	1.64%	1.05%
Expected Yearly	17.72%	10.97%
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	1196
Max Consecutive Losses	9	0
Gain/Pain Ratio	0.21	-
Gain/Pain (1M)	1.1	-
Payoff Ratio	-	-
Profit Factor	1.21	-
Common Sense Ratio	1.31	-
CPC Index	-	-
Tail Ratio	1.08	3.49
Outlier Win Ratio	2.12	40.4
Outlier Loss Ratio	1.64	-
MTD	-1.36%	0.1%
3M	14.84%	3.3%
6M	-9.06%	6.8%
YTD	6.59%	9.36%
1Y	31.2%	15.04%
3Y (ann.)	25.36%	17.54%
5Y (ann.)	22.87%	13.33%
10Y (ann.)	21.51%	13.24%
All-time (ann.)	21.51%	13.24%
Best Day	9.11%	0.82%
Worst Day	-25.97%	0.0%
Best Month	24.03%	1.83%
Worst Month	-25.97%	0.1%
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	6.03%	1.06%
Avg. Down Month	-	-
Win Days	55.15%	100.0%
Win Month	61.67%	100.0%
Win Quarter	71.43%	100.0%
Win Year	83.33%	100.0%
Beta	-19.33	-
Alpha	2.78	-
Correlation	-34.54%	-
Treynor Ratio	-8.59%	-