PSMM RUB[Strategy] vs Deposit RUB[Benchmark]

27 May, 2024 - 26 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	42.34%	43.97%
CAGR﹪	18.48%	19.13%
Sharpe	11.85	42.63
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	8.25	29.67
Sortino	35.69	-
Smart Sortino	24.84	-
Sortino/√2	25.24	-
Smart Sortino/√2	17.56	-
Omega	9.43	9.43
Max Drawdown	-0.24%	-
Longest DD Days	-	-
Volatility (ann.)	1.25%	0.36%
R^2	0.01	0.01
Information Ratio	-0.02	-0.02
Calmar	75.99	-
Skew	0.78	4.0
Kurtosis	4.87	31.55
Expected Daily	0.06%	0.06%
Expected Monthly	1.37%	1.41%
Expected Yearly	12.49%	12.92%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.07%	-0.02%
Expected Shortfall (cVaR)	-0.07%	-0.02%
Max Consecutive Wins	78	599
Max Consecutive Losses	3	0
Gain/Pain Ratio	8.43	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	9.43	-
Common Sense Ratio	42.24	-
CPC Index	-	-
Tail Ratio	4.48	2.33
Outlier Win Ratio	2.29	2.97
Outlier Loss Ratio	0.83	-
MTD	1.09%	1.07%
3M	3.6%	3.54%
6M	7.45%	7.2%
YTD	7.01%	6.95%
1Y	16.86%	15.88%
3Y (ann.)	18.48%	19.13%
5Y (ann.)	18.48%	19.13%
10Y (ann.)	18.48%	19.13%
All-time (ann.)	18.48%	19.13%
Best Day	0.58%	0.25%
Worst Day	-0.24%	0.0%
Best Month	2.41%	1.83%
Worst Month	0.1%	1.01%
Best Year	20.77%	19.38%
Worst Year	7.01%	6.95%
Avg. Drawdown	-0.05%	-
Avg. Drawdown Days	-	-
Recovery Factor	174.12	-
Ulcer Index	0.0	0.0
Serenity Index	2202.18	-
Avg. Up Month	1.37%	1.41%
Avg. Down Month	-	-
Win Days	82.51%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.35	-
Alpha	0.09	-
Correlation	10.07%	-
Treynor Ratio	120.51%	-