PSGM RUB[Strategy] vs Deposit RUB[Benchmark]

15 Apr, 2025 - 8 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	32.64%	22.62%
CAGR﹪	23.96%	16.77%
Sharpe	0.86	42.39
Prob. Sharpe Ratio	85.23%	100.0%
Smart Sharpe	0.83	40.74
Sortino	1.21	-
Smart Sortino	1.16	-
Sortino/√2	0.85	-
Smart Sortino/√2	0.82	-
Omega	1.16	1.16
Max Drawdown	-29.98%	-
Longest DD Days	-	-
Volatility (ann.)	25.12%	0.31%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.8	-
Skew	-0.61	2.12
Kurtosis	3.56	6.67
Expected Daily	0.07%	0.05%
Expected Monthly	1.68%	1.21%
Expected Yearly	15.17%	10.73%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.52%	-0.02%
Expected Shortfall (cVaR)	-2.52%	-0.02%
Max Consecutive Wins	7	384
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.16	-
Gain/Pain (1M)	1.05	-
Payoff Ratio	-	-
Profit Factor	1.16	-
Common Sense Ratio	1.1	-
CPC Index	-	-
Tail Ratio	0.94	2.33
Outlier Win Ratio	1.68	35.77
Outlier Loss Ratio	1.75	-
MTD	11.88%	0.21%
3M	1.26%	3.18%
6M	-7.24%	6.71%
YTD	5.27%	8.31%
1Y	34.54%	15.14%
3Y (ann.)	23.96%	16.77%
5Y (ann.)	23.96%	16.77%
10Y (ann.)	23.96%	16.77%
All-time (ann.)	23.96%	16.77%
Best Day	5.08%	0.14%
Worst Day	-9.1%	0.0%
Best Month	17.77%	1.62%
Worst Month	-9.07%	0.21%
Best Year	26.0%	13.21%
Worst Year	5.27%	8.31%
Avg. Drawdown	-5.1%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.09	-
Ulcer Index	0.13	0.0
Serenity Index	0.17	-
Avg. Up Month	6.53%	1.15%
Avg. Down Month	-	-
Win Days	53.91%	100.0%
Win Month	58.82%	100.0%
Win Quarter	66.67%	100.0%
Win Year	100.0%	100.0%
Beta	1.02	-
Alpha	0.08	-
Correlation	1.28%	-
Treynor Ratio	32.0%	-