PSMM RUB[Strategy] vs Deposit RUB[Benchmark]

27 May, 2024 - 13 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	38.27%	40.16%
CAGR﹪	18.82%	19.68%
Sharpe	12.17	44.85
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	8.3	30.61
Sortino	35.56	-
Smart Sortino	24.27	-
Sortino/√2	25.14	-
Smart Sortino/√2	17.16	-
Omega	9.64	9.64
Max Drawdown	-0.24%	-
Longest DD Days	-	-
Volatility (ann.)	1.27%	0.36%
R^2	0.01	0.01
Information Ratio	-0.03	-0.03
Calmar	77.39	-
Skew	0.74	4.34
Kurtosis	5.23	34.48
Expected Daily	0.06%	0.06%
Expected Monthly	1.36%	1.42%
Expected Yearly	11.41%	11.91%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.07%	-0.03%
Expected Shortfall (cVaR)	-0.07%	-0.03%
Max Consecutive Wins	78	530
Max Consecutive Losses	3	0
Gain/Pain Ratio	8.64	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	9.64	-
Common Sense Ratio	39.53	-
CPC Index	-	-
Tail Ratio	4.1	2.08
Outlier Win Ratio	2.26	2.85
Outlier Loss Ratio	0.89	-
MTD	0.43%	0.54%
3M	3.63%	3.84%
6M	7.71%	7.62%
YTD	3.95%	4.12%
1Y	18.12%	17.25%
3Y (ann.)	18.82%	19.68%
5Y (ann.)	18.82%	19.68%
10Y (ann.)	18.82%	19.68%
All-time (ann.)	18.82%	19.68%
Best Day	0.58%	0.25%
Worst Day	-0.24%	0.0%
Best Month	2.41%	1.83%
Worst Month	0.1%	0.54%
Best Year	20.77%	19.38%
Worst Year	3.95%	4.12%
Avg. Drawdown	-0.05%	-
Avg. Drawdown Days	-	-
Recovery Factor	157.4	-
Ulcer Index	0.0	0.0
Serenity Index	1861.73	-
Avg. Up Month	1.36%	1.42%
Avg. Down Month	-	-
Win Days	84.06%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.29	-
Alpha	0.11	-
Correlation	8.2%	-
Treynor Ratio	131.76%	-