PSGM RUB[Strategy] vs Deposit RUB[Benchmark]

15 Apr, 2025 - 2 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	93.0%	93.0%
Cumulative Return	-0.29%	1.67%
CAGR﹪	-5.99%	42.69%
Sharpe	-0.1	52.83
Prob. Sharpe Ratio	49.15%	95.5%
Smart Sharpe	-0.07	39.83
Sortino	-0.14	-
Smart Sortino	-0.11	-
Sortino/√2	-0.1	-
Smart Sortino/√2	-0.08	-
Omega	0.98	0.98
Max Drawdown	-4.56%	-
Longest DD Days	-	-
Volatility (ann.)	25.74%	0.61%
R^2	0.0	0.0
Information Ratio	-0.08	-0.08
Calmar	-1.31	-
Skew	-0.15	-3.61
Kurtosis	0.36	13.0
Expected Daily	-0.02%	0.13%
Expected Monthly	-0.14%	0.83%
Expected Yearly	-0.29%	1.67%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.68%	-0.06%
Expected Shortfall (cVaR)	-2.68%	-0.06%
Max Consecutive Wins	3	12
Max Consecutive Losses	5	0
Gain/Pain Ratio	-0.02	-
Gain/Pain (1M)	-0.93	-
Payoff Ratio	-	-
Profit Factor	0.98	-
Common Sense Ratio	1.03	-
CPC Index	-	-
Tail Ratio	1.05	1.67
Outlier Win Ratio	1.1	10.82
Outlier Loss Ratio	1.4	-
MTD	-0.14%	0.14%
3M	-0.29%	1.67%
6M	-0.29%	1.67%
YTD	-0.29%	1.67%
1Y	-0.29%	1.67%
3Y (ann.)	-5.99%	42.69%
5Y (ann.)	-5.99%	42.69%
10Y (ann.)	-5.99%	42.69%
All-time (ann.)	-5.99%	42.69%
Best Day	2.64%	0.14%
Worst Day	-3.26%	0.0%
Best Month	-0.14%	1.53%
Worst Month	-0.15%	0.14%
Best Year	-0.29%	1.67%
Worst Year	-0.29%	1.67%
Avg. Drawdown	-3.2%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.06	-
Ulcer Index	0.03	0.0
Serenity Index	-0.03	-
Avg. Up Month	-	-
Avg. Down Month	-	-
Win Days	41.67%	100.0%
Win Month	0.0%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	-0.08	-
Alpha	0.0	-
Correlation	-0.18%	-
Treynor Ratio	3.67%	-