PSGM RUB[Strategy] vs Deposit RUB[Benchmark]

15 Apr, 2025 - 28 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	20.39%	11.77%
CAGR﹪	34.76%	19.6%
Sharpe	1.53	53.08
Prob. Sharpe Ratio	88.56%	100.0%
Smart Sharpe	1.52	52.84
Sortino	2.28	-
Smart Sortino	2.27	-
Sortino/√2	1.62	-
Smart Sortino/√2	1.61	-
Omega	1.3	1.3
Max Drawdown	-10.49%	-
Longest DD Days	-	-
Volatility (ann.)	20.33%	0.33%
R^2	0.0	0.0
Information Ratio	0.04	0.04
Calmar	3.31	-
Skew	-0.27	2.09
Kurtosis	1.38	5.79
Expected Daily	0.12%	0.07%
Expected Monthly	2.35%	1.4%
Expected Yearly	20.39%	11.77%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.98%	-0.04%
Expected Shortfall (cVaR)	-1.98%	-0.04%
Max Consecutive Wins	6	160
Max Consecutive Losses	5	0
Gain/Pain Ratio	0.3	-
Gain/Pain (1M)	4.18	-
Payoff Ratio	-	-
Profit Factor	1.3	-
Common Sense Ratio	1.55	-
CPC Index	-	-
Tail Ratio	1.2	2.46
Outlier Win Ratio	1.7	24.65
Outlier Loss Ratio	2.08	-
MTD	0.54%	1.29%
3M	20.21%	4.05%
6M	23.33%	8.62%
YTD	20.39%	11.77%
1Y	20.39%	11.77%
3Y (ann.)	34.76%	19.6%
5Y (ann.)	34.76%	19.6%
10Y (ann.)	34.76%	19.6%
All-time (ann.)	34.76%	19.6%
Best Day	3.38%	0.14%
Worst Day	-4.19%	0.0%
Best Month	13.55%	1.62%
Worst Month	-3.95%	1.28%
Best Year	20.39%	11.77%
Worst Year	20.39%	11.77%
Avg. Drawdown	-3.1%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.94	-
Ulcer Index	0.06	0.0
Serenity Index	0.48	-
Avg. Up Month	4.95%	1.31%
Avg. Down Month	-	-
Win Days	53.75%	100.0%
Win Month	62.5%	100.0%
Win Quarter	66.67%	100.0%
Win Year	100.0%	100.0%
Beta	-4.28	-
Alpha	1.06	-
Correlation	-6.92%	-
Treynor Ratio	-4.76%	-