PSGM RUB[Strategy] vs [Benchmark] GLDRUB_TOM RUB

23 Apr, 2025 - 6 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	89.0%
Cumulative Return	28.33%	27.21%
CAGR﹪	27.24%	26.16%
Sharpe	0.73	0.69
Prob. Sharpe Ratio	45.57%	44.15%
Smart Sharpe	0.68	0.65
Sortino	1.0	1.0
Smart Sortino	0.93	0.94
Sortino/√2	0.71	0.71
Smart Sortino/√2	0.66	0.66
Omega	1.14	1.14
Max Drawdown	-18.76%	-18.81%
Longest DD Days	129	116
Volatility (ann.)	24.22%	24.19%
R^2	0.69	0.69
Information Ratio	0.0	0.0
Calmar	1.45	1.39
Skew	-0.84	-0.18
Kurtosis	5.41	3.46
Expected Daily	0.08%	0.08%
Expected Monthly	1.8%	1.73%
Expected Yearly	13.28%	12.79%
Kelly Criterion	7.25%	8.17%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.41%	-2.41%
Expected Shortfall (cVaR)	-2.41%	-2.41%
Max Consecutive Wins	7	12
Max Consecutive Losses	5	5
Gain/Pain Ratio	0.2	0.2
Gain/Pain (1M)	1.19	1.32
Payoff Ratio	0.99	1.07
Profit Factor	1.2	1.2
Common Sense Ratio	1.17	1.47
CPC Index	0.64	0.67
Tail Ratio	0.98	1.23
Outlier Win Ratio	3.39	3.73
Outlier Loss Ratio	4.12	3.88
MTD	1.1%	0.16%
3M	-7.16%	-6.59%
6M	7.92%	7.01%
YTD	2.94%	0.78%
1Y	29.54%	27.92%
3Y (ann.)	27.24%	26.16%
5Y (ann.)	27.24%	26.16%
10Y (ann.)	27.24%	26.16%
All-time (ann.)	27.24%	26.16%
Best Day	5.08%	7.05%
Worst Day	-9.1%	-6.28%
Best Month	17.77%	14.03%
Worst Month	-9.07%	-8.46%
Best Year	24.67%	26.23%
Worst Year	2.94%	0.78%
Avg. Drawdown	-4.34%	-4.45%
Avg. Drawdown Days	26	24
Recovery Factor	1.51	1.45
Ulcer Index	0.07	0.07
Serenity Index	0.38	0.38
Avg. Up Month	5.85%	5.35%
Avg. Down Month	-4.82%	-4.27%
Win Days	53.95%	52.51%
Win Month	64.29%	64.29%
Win Quarter	60.0%	60.0%
Win Year	100.0%	100.0%
Beta	0.83	-
Alpha	0.05	-
Correlation	83.01%	-
Treynor Ratio	25.68%	-