PSGM RUB[Strategy] vs Deposit RUB[Benchmark]

15 Apr, 2025 - 23 Jun, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	98.0%
Cumulative Return	-3.01%	4.77%
CAGR﹪	-14.93%	27.97%
Sharpe	-0.69	59.13
Prob. Sharpe Ratio	38.34%	100.0%
Smart Sharpe	-0.61	51.82
Sortino	-0.97	-
Smart Sortino	-0.85	-
Sortino/√2	-0.69	-
Smart Sortino/√2	-0.6	-
Omega	0.88	0.88
Max Drawdown	-8.49%	-
Longest DD Days	-	-
Volatility (ann.)	20.64%	0.42%
R^2	0.0	0.0
Information Ratio	-0.12	-0.12
Calmar	-1.76	-
Skew	-0.14	-0.66
Kurtosis	1.7	2.72
Expected Daily	-0.07%	0.1%
Expected Monthly	-1.01%	1.57%
Expected Yearly	-3.01%	4.77%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.2%	-0.06%
Expected Shortfall (cVaR)	-2.2%	-0.06%
Max Consecutive Wins	4	46
Max Consecutive Losses	5	0
Gain/Pain Ratio	-0.12	-
Gain/Pain (1M)	-0.68	-
Payoff Ratio	-	-
Profit Factor	0.88	-
Common Sense Ratio	1.26	-
CPC Index	-	-
Tail Ratio	1.43	1.7
Outlier Win Ratio	1.49	14.84
Outlier Loss Ratio	2.15	-
MTD	1.13%	1.57%
3M	-3.01%	4.77%
6M	-3.01%	4.77%
YTD	-3.01%	4.77%
1Y	-3.01%	4.77%
3Y (ann.)	-14.93%	27.97%
5Y (ann.)	-14.93%	27.97%
10Y (ann.)	-14.93%	27.97%
All-time (ann.)	-14.93%	27.97%
Best Day	2.95%	0.14%
Worst Day	-3.88%	0.0%
Best Month	1.13%	1.62%
Worst Month	-3.95%	1.51%
Best Year	-3.01%	4.77%
Worst Year	-3.01%	4.77%
Avg. Drawdown	-5.17%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.35	-
Ulcer Index	0.06	0.0
Serenity Index	-0.08	-
Avg. Up Month	1.13%	1.57%
Avg. Down Month	-	-
Win Days	41.3%	100.0%
Win Month	33.33%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	2.47	-
Alpha	-0.76	-
Correlation	5.05%	-
Treynor Ratio	-1.22%	-