TGLD RUB[Strategy] vs Deposit RUB[Benchmark]

25 Aug, 2021 - 15 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	158.64%	88.58%
CAGR﹪	20.66%	13.36%
Sharpe	0.9	28.34
Prob. Sharpe Ratio	96.06%	99.99%
Smart Sharpe	0.88	27.75
Sortino	1.2	-
Smart Sortino	1.17	-
Sortino/√2	0.85	-
Smart Sortino/√2	0.83	-
Omega	1.2	1.2
Max Drawdown	-36.95%	-
Longest DD Days	-	-
Volatility (ann.)	25.96%	0.47%
R^2	0.12	0.12
Information Ratio	0.02	0.02
Calmar	0.56	-
Skew	-3.69	14.74
Kurtosis	60.99	381.63
Expected Daily	0.08%	0.05%
Expected Monthly	1.6%	1.06%
Expected Yearly	17.16%	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	1205
Max Consecutive Losses	9	0
Gain/Pain Ratio	0.2	-
Gain/Pain (1M)	1.05	-
Payoff Ratio	-	-
Profit Factor	1.2	-
Common Sense Ratio	1.29	-
CPC Index	-	-
Tail Ratio	1.08	3.49
Outlier Win Ratio	2.13	40.13
Outlier Loss Ratio	1.64	-
MTD	-4.14%	1.08%
3M	22.53%	3.88%
6M	-12.55%	7.29%
YTD	3.59%	10.43%
1Y	16.47%	15.55%
3Y (ann.)	24.27%	17.76%
5Y (ann.)	22.06%	13.48%
10Y (ann.)	20.66%	13.36%
All-time (ann.)	20.66%	13.36%
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	4.29	-
Ulcer Index	0.14	0.0
Serenity Index	0.74	-
Avg. Up Month	6.03%	1.06%
Avg. Down Month	-	-
Win Days	54.98%	100.0%
Win Month	61.67%	100.0%
Win Quarter	71.43%	100.0%
Win Year	83.33%	100.0%
Beta	-19.14	-
Alpha	2.77	-
Correlation	-34.5%	-
Treynor Ratio	-8.29%	-