TGLD[Strategy] vs RUB Inflation[Benchmark]

25 Aug, 2021 - 8 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	172.18%	39.05%
CAGR﹪	21.97%	6.76%
Sharpe	0.95	20.46
Prob. Sharpe Ratio	96.62%	100.0%
Smart Sharpe	0.92	20.0
Sortino	1.25	83.66
Smart Sortino	1.23	81.8
Sortino/√2	0.89	59.16
Smart Sortino/√2	0.87	57.84
Omega	1.21	1.21
Max Drawdown	-36.95%	-1.25%
Longest DD Days	398	209
Volatility (ann.)	25.99%	0.34%
R^2	0.0	0.0
Information Ratio	0.04	0.04
Calmar	0.59	5.39
Skew	-3.7	0.08
Kurtosis	60.99	1.19
Expected Daily	0.08%	0.03%
Expected Monthly	1.68%	0.55%
Expected Yearly	18.16%	5.65%
Kelly Criterion	-3.66%	88.35%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.6%	-0.01%
Expected Shortfall (cVaR)	-2.6%	-0.01%
Max Consecutive Wins	9	727
Max Consecutive Losses	9	65
Gain/Pain Ratio	0.21	19.82
Gain/Pain (1M)	1.14	19.82
Payoff Ratio	0.76	1.6
Profit Factor	1.21	20.82
Common Sense Ratio	1.31	68.42
CPC Index	0.51	30.9
Tail Ratio	1.08	3.29
Outlier Win Ratio	2.13	67.97
Outlier Loss Ratio	1.66	91.39
MTD	0.88%	0.14%
3M	18.47%	1.85%
6M	-7.23%	2.85%
YTD	9.01%	5.42%
1Y	28.5%	7.01%
3Y (ann.)	26.47%	7.94%
5Y (ann.)	23.85%	6.71%
10Y (ann.)	21.97%	6.76%
All-time (ann.)	21.97%	6.76%
Best Day	9.11%	0.12%
Worst Day	-25.97%	-0.02%
Best Month	24.03%	1.62%
Worst Month	-25.97%	-0.52%
Best Year	43.2%	9.51%
Worst Year	-4.77%	2.41%
Avg. Drawdown	-4.17%	-0.83%
Avg. Drawdown Days	39	136
Recovery Factor	4.66	31.12
Ulcer Index	0.14	0.0
Serenity Index	0.8	4.78
Avg. Up Month	5.71%	0.62%
Avg. Down Month	-8.15%	-0.43%
Win Days	55.3%	92.83%
Win Month	63.33%	93.33%
Win Quarter	71.43%	90.48%
Win Year	83.33%	100.0%
Beta	-1.39	-
Alpha	0.34	-
Correlation	-1.81%	-
Treynor Ratio	-124.08%	-