TGLD[Strategy] vs RUB Inflation[Benchmark]

25 Aug, 2021 - 30 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	149.5%	36.64%
CAGR﹪	21.56%	6.89%
Sharpe	0.94	20.58
Prob. Sharpe Ratio	95.82%	100.0%
Smart Sharpe	0.93	20.21
Sortino	1.24	82.41
Smart Sortino	1.22	80.95
Sortino/√2	0.87	58.27
Smart Sortino/√2	0.86	57.24
Omega	1.22	1.22
Max Drawdown	-36.95%	-1.25%
Longest DD Days	398	209
Volatility (ann.)	25.74%	0.34%
R^2	0.0	0.0
Information Ratio	0.04	0.04
Calmar	0.58	5.49
Skew	-4.15	0.02
Kurtosis	68.56	1.17
Expected Daily	0.08%	0.03%
Expected Monthly	1.68%	0.57%
Expected Yearly	16.46%	5.34%
Kelly Criterion	-5.8%	87.54%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.57%	-0.01%
Expected Shortfall (cVaR)	-2.57%	-0.01%
Max Consecutive Wins	9	727
Max Consecutive Losses	9	65
Gain/Pain Ratio	0.22	18.77
Gain/Pain (1M)	1.13	18.77
Payoff Ratio	0.73	1.65
Profit Factor	1.22	19.77
Common Sense Ratio	1.38	68.69
CPC Index	0.49	30.06
Tail Ratio	1.14	3.47
Outlier Win Ratio	2.17	64.87
Outlier Loss Ratio	1.72	91.25
MTD	-7.02%	0.6%
3M	-19.43%	1.94%
6M	6.65%	4.41%
YTD	-0.07%	3.59%
1Y	25.6%	6.1%
3Y (ann.)	29.0%	8.16%
5Y (ann.)	21.56%	6.89%
10Y (ann.)	21.56%	6.89%
All-time (ann.)	21.56%	6.89%
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	-3.91%	-0.83%
Avg. Drawdown Days	35	136
Recovery Factor	4.05	29.2
Ulcer Index	0.13	0.0
Serenity Index	0.81	4.21
Avg. Up Month	5.64%	0.64%
Avg. Down Month	-8.15%	-0.43%
Win Days	55.28%	92.25%
Win Month	63.64%	92.73%
Win Quarter	70.0%	90.0%
Win Year	66.67%	100.0%
Beta	-1.94	-
Alpha	0.38	-
Correlation	-2.6%	-
Treynor Ratio	-76.88%	-