TGLD RUB[Strategy] vs Deposit RUB[Benchmark]

25 Aug, 2021 - 30 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	147.48%	88.59%
CAGR﹪	19.44%	13.24%
Sharpe	0.86	28.52
Prob. Sharpe Ratio	95.5%	99.99%
Smart Sharpe	0.84	27.96
Sortino	1.14	-
Smart Sortino	1.12	-
Sortino/√2	0.81	-
Smart Sortino/√2	0.79	-
Omega	1.19	1.19
Max Drawdown	-36.95%	-
Longest DD Days	-	-
Volatility (ann.)	25.9%	0.46%
R^2	0.12	0.12
Information Ratio	0.02	0.02
Calmar	0.53	-
Skew	-3.68	15.31
Kurtosis	60.93	403.11
Expected Daily	0.07%	0.05%
Expected Monthly	1.52%	1.06%
Expected Yearly	16.3%	11.15%
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	1216
Max Consecutive Losses	9	0
Gain/Pain Ratio	0.19	-
Gain/Pain (1M)	0.97	-
Payoff Ratio	-	-
Profit Factor	1.19	-
Common Sense Ratio	1.27	-
CPC Index	-	-
Tail Ratio	1.06	3.49
Outlier Win Ratio	2.12	40.37
Outlier Loss Ratio	1.65	-
MTD	-8.27%	1.08%
3M	11.45%	3.32%
6M	-7.65%	6.75%
YTD	-0.88%	10.44%
1Y	7.55%	14.82%
3Y (ann.)	22.33%	17.56%
5Y (ann.)	21.59%	13.43%
10Y (ann.)	19.44%	13.24%
All-time (ann.)	19.44%	13.24%
Best Day	9.11%	0.82%
Worst Day	-25.97%	0.0%
Best Month	24.03%	1.83%
Worst Month	-25.97%	0.41%
Best Year	43.2%	19.38%
Worst Year	-4.77%	2.77%
Avg. Drawdown	-4.17%	-
Avg. Drawdown Days	-	-
Recovery Factor	3.99	-
Ulcer Index	0.14	0.0
Serenity Index	0.68	-
Avg. Up Month	6.03%	1.06%
Avg. Down Month	-	-
Win Days	54.72%	100.0%
Win Month	61.67%	100.0%
Win Quarter	71.43%	100.0%
Win Year	66.67%	100.0%
Beta	-19.3	-
Alpha	2.76	-
Correlation	-34.33%	-
Treynor Ratio	-7.64%	-