PSMM RUB[Strategy] vs Deposit RUB[Benchmark]

27 May, 2024 - 18 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	38.67%	40.96%
CAGR﹪	18.85%	19.88%
Sharpe	12.17	45.95
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	8.31	31.35
Sortino	35.69	-
Smart Sortino	24.35	-
Sortino/√2	25.24	-
Smart Sortino/√2	17.22	-
Omega	9.67	9.67
Max Drawdown	-0.24%	-
Longest DD Days	-	-
Volatility (ann.)	1.26%	0.35%
R^2	0.01	0.01
Information Ratio	-0.04	-0.04
Calmar	77.52	-
Skew	0.74	4.48
Kurtosis	5.2	36.27
Expected Daily	0.06%	0.06%
Expected Monthly	1.37%	1.44%
Expected Yearly	11.51%	12.12%
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	535
Max Consecutive Losses	3	0
Gain/Pain Ratio	8.67	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	9.67	-
Common Sense Ratio	39.62	-
CPC Index	-	-
Tail Ratio	4.1	2.03
Outlier Win Ratio	2.26	2.83
Outlier Loss Ratio	0.88	-
MTD	0.72%	1.12%
3M	3.67%	4.14%
6M	7.78%	8.0%
YTD	4.25%	4.72%
1Y	18.16%	17.57%
3Y (ann.)	18.85%	19.88%
5Y (ann.)	18.85%	19.88%
10Y (ann.)	18.85%	19.88%
All-time (ann.)	18.85%	19.88%
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	4.25%	4.72%
Avg. Drawdown	-0.05%	-
Avg. Drawdown Days	-	-
Recovery Factor	159.04	-
Ulcer Index	0.0	0.0
Serenity Index	1895.07	-
Avg. Up Month	1.37%	1.44%
Avg. Down Month	-	-
Win Days	84.02%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.27	-
Alpha	0.11	-
Correlation	7.49%	-
Treynor Ratio	143.56%	-