PSGM RUB[Strategy] vs [Benchmark] GLDRUB_TOM RUB

23 Apr, 2025 - 13 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	99.0%
Cumulative Return	20.0%	20.59%
CAGR﹪	46.9%	48.45%
Sharpe	1.94	2.0
Prob. Sharpe Ratio	80.58%	80.95%
Smart Sharpe	1.85	1.9
Sortino	3.2	3.16
Smart Sortino	3.04	3.01
Sortino/√2	2.26	2.23
Smart Sortino/√2	2.15	2.13
Omega	1.38	1.38
Max Drawdown	-7.44%	-7.65%
Longest DD Days	129	116
Volatility (ann.)	16.78%	16.87%
R^2	0.8	0.8
Information Ratio	-0.01	-0.01
Calmar	6.3	6.33
Skew	0.17	-0.15
Kurtosis	1.7	1.32
Expected Daily	0.15%	0.15%
Expected Monthly	2.64%	2.71%
Expected Yearly	20.0%	20.59%
Kelly Criterion	16.8%	18.38%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.58%	-1.59%
Expected Shortfall (cVaR)	-1.58%	-1.59%
Max Consecutive Wins	6	12
Max Consecutive Losses	5	5
Gain/Pain Ratio	0.48	0.48
Gain/Pain (1M)	3.18	3.34
Payoff Ratio	1.33	1.31
Profit Factor	1.48	1.48
Common Sense Ratio	2.25	1.93
CPC Index	1.03	1.04
Tail Ratio	1.52	1.3
Outlier Win Ratio	3.17	3.19
Outlier Loss Ratio	2.54	2.4
MTD	5.01%	4.72%
3M	25.63%	25.3%
6M	20.0%	20.59%
YTD	20.0%	20.59%
1Y	20.0%	20.59%
3Y (ann.)	46.9%	48.45%
5Y (ann.)	46.9%	48.45%
10Y (ann.)	46.9%	48.45%
All-time (ann.)	46.9%	48.45%
Best Day	3.33%	2.95%
Worst Day	-3.88%	-4.06%
Best Month	13.55%	14.03%
Worst Month	-3.95%	-3.77%
Best Year	20.0%	20.59%
Worst Year	20.0%	20.59%
Avg. Drawdown	-2.26%	-2.83%
Avg. Drawdown Days	25	25
Recovery Factor	2.69	2.69
Ulcer Index	0.04	0.04
Serenity Index	0.5	0.53
Avg. Up Month	6.39%	6.49%
Avg. Down Month	-2.04%	-2.0%
Win Days	52.5%	53.78%
Win Month	57.14%	57.14%
Win Quarter	66.67%	66.67%
Win Year	100.0%	100.0%
Beta	0.89	-
Alpha	0.03	-
Correlation	89.27%	-
Treynor Ratio	14.64%	-