TGLD RUB[Strategy] vs Deposit RUB[Benchmark]

25 Aug, 2021 - 28 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	179.5%	86.57%
CAGR﹪	22.77%	13.25%
Sharpe	0.97	28.31
Prob. Sharpe Ratio	96.89%	99.99%
Smart Sharpe	0.95	27.68
Sortino	1.29	-
Smart Sortino	1.26	-
Sortino/√2	0.91	-
Smart Sortino/√2	0.89	-
Omega	1.22	1.22
Max Drawdown	-36.95%	-
Longest DD Days	-	-
Volatility (ann.)	25.97%	0.47%
R^2	0.12	0.12
Information Ratio	0.03	0.03
Calmar	0.62	-
Skew	-3.73	15.16
Kurtosis	61.53	395.43
Expected Daily	0.09%	0.05%
Expected Monthly	1.76%	1.06%
Expected Yearly	18.68%	10.95%
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	1193
Max Consecutive Losses	9	0
Gain/Pain Ratio	0.22	-
Gain/Pain (1M)	1.16	-
Payoff Ratio	-	-
Profit Factor	1.22	-
Common Sense Ratio	1.32	-
CPC Index	-	-
Tail Ratio	1.09	3.49
Outlier Win Ratio	2.12	40.38
Outlier Loss Ratio	1.65	-
MTD	21.56%	1.07%
3M	22.93%	3.35%
6M	-4.5%	6.69%
YTD	11.94%	9.25%
1Y	40.57%	15.13%
3Y (ann.)	27.74%	17.55%
5Y (ann.)	24.26%	13.32%
10Y (ann.)	22.77%	13.25%
All-time (ann.)	22.77%	13.25%
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	4.86	-
Ulcer Index	0.14	0.0
Serenity Index	0.83	-
Avg. Up Month	6.14%	1.06%
Avg. Down Month	-	-
Win Days	55.2%	100.0%
Win Month	62.71%	100.0%
Win Quarter	71.43%	100.0%
Win Year	83.33%	100.0%
Beta	-19.29	-
Alpha	2.79	-
Correlation	-34.55%	-
Treynor Ratio	-9.3%	-