PSMM RUB[Strategy] vs Deposit RUB[Benchmark]

27 May, 2024 - 15 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	38.37%	40.27%
CAGR﹪	18.8%	19.67%
Sharpe	12.16	44.8
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	8.3	30.56
Sortino	35.57	-
Smart Sortino	24.27	-
Sortino/√2	25.15	-
Smart Sortino/√2	17.16	-
Omega	9.65	9.65
Max Drawdown	-0.24%	-
Longest DD Days	-	-
Volatility (ann.)	1.26%	0.36%
R^2	0.01	0.01
Information Ratio	-0.03	-0.03
Calmar	77.33	-
Skew	0.74	4.33
Kurtosis	5.24	34.42
Expected Daily	0.06%	0.06%
Expected Monthly	1.36%	1.42%
Expected Yearly	11.43%	11.94%
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	532
Max Consecutive Losses	3	0
Gain/Pain Ratio	8.65	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	9.65	-
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	0.5%	0.63%
3M	3.62%	3.81%
6M	7.72%	7.61%
YTD	4.03%	4.21%
1Y	18.09%	17.26%
3Y (ann.)	18.8%	19.67%
5Y (ann.)	18.8%	19.67%
10Y (ann.)	18.8%	19.67%
All-time (ann.)	18.8%	19.67%
Best Day	0.58%	0.25%
Worst Day	-0.24%	0.0%
Best Month	2.41%	1.83%
Worst Month	0.1%	0.63%
Best Year	20.77%	19.38%
Worst Year	4.03%	4.21%
Avg. Drawdown	-0.05%	-
Avg. Drawdown Days	-	-
Recovery Factor	157.81	-
Ulcer Index	0.0	0.0
Serenity Index	1871.33	-
Avg. Up Month	1.36%	1.42%
Avg. Down Month	-	-
Win Days	83.93%	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	8.3%	-
Treynor Ratio	130.75%	-