TGLD RUB[Strategy] vs Deposit RUB[Benchmark]

25 Aug, 2021 - 14 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	145.66%	90.65%
CAGR﹪	19.11%	13.38%
Sharpe	0.85	28.46
Prob. Sharpe Ratio	95.39%	99.99%
Smart Sharpe	0.83	27.9
Sortino	1.13	-
Smart Sortino	1.1	-
Sortino/√2	0.8	-
Smart Sortino/√2	0.78	-
Omega	1.19	1.19
Max Drawdown	-36.95%	-
Longest DD Days	-	-
Volatility (ann.)	25.85%	0.47%
R^2	0.11	0.11
Information Ratio	0.02	0.02
Calmar	0.52	-
Skew	-3.67	14.7
Kurtosis	60.88	381.76
Expected Daily	0.07%	0.05%
Expected Monthly	1.48%	1.06%
Expected Yearly	16.16%	11.35%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.59%	-0.0%
Expected Shortfall (cVaR)	-2.59%	-0.0%
Max Consecutive Wins	9	1226
Max Consecutive Losses	9	0
Gain/Pain Ratio	0.19	-
Gain/Pain (1M)	0.96	-
Payoff Ratio	-	-
Profit Factor	1.19	-
Common Sense Ratio	1.26	-
CPC Index	-	-
Tail Ratio	1.06	3.49
Outlier Win Ratio	2.13	40.11
Outlier Loss Ratio	1.65	-
MTD	-0.74%	1.09%
3M	10.72%	3.96%
6M	-5.82%	7.33%
YTD	-1.61%	11.64%
1Y	2.28%	15.43%
3Y (ann.)	23.58%	17.8%
5Y (ann.)	19.66%	13.62%
10Y (ann.)	19.11%	13.38%
All-time (ann.)	19.11%	13.38%
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	3.94	-
Ulcer Index	0.14	0.0
Serenity Index	0.67	-
Avg. Up Month	6.03%	1.06%
Avg. Down Month	-	-
Win Days	54.64%	100.0%
Win Month	60.66%	100.0%
Win Quarter	68.18%	100.0%
Win Year	66.67%	100.0%
Beta	-18.81	-
Alpha	2.71	-
Correlation	-33.89%	-
Treynor Ratio	-7.74%	-