PSMM[Strategy] vs RUB Inflation[Benchmark]

27 May, 2024 - 30 May, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	20.29%	10.59%
CAGR﹪	20.11%	10.5%
Sharpe	17.61	26.55
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	14.86	22.4
Sortino	107.65	-
Smart Sortino	90.81	-
Sortino/√2	76.12	-
Smart Sortino/√2	64.21	-
Omega	29.73	29.73
Max Drawdown	-0.07%	-
Longest DD Days	-	-
Volatility (ann.)	1.0%	0.36%
R^2	0.0	0.0
Information Ratio	0.47	0.47
Calmar	289.48	-
Skew	0.69	1.71
Kurtosis	0.44	6.13
Expected Daily	0.07%	0.04%
Expected Monthly	1.43%	0.78%
Expected Yearly	9.68%	5.16%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.03%	-0.0%
Expected Shortfall (cVaR)	-0.03%	-0.0%
Max Consecutive Wins	78	264
Max Consecutive Losses	1	0
Gain/Pain Ratio	28.73	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	29.73	-
Common Sense Ratio	230.3	-
CPC Index	-	-
Tail Ratio	7.75	7.45
Outlier Win Ratio	2.41	4.95
Outlier Loss Ratio	0.69	-
MTD	1.71%	0.47%
3M	6.03%	1.57%
6M	11.11%	4.98%
YTD	9.22%	3.61%
1Y	20.23%	10.26%
3Y (ann.)	20.11%	10.5%
5Y (ann.)	20.11%	10.5%
10Y (ann.)	20.11%	10.5%
All-time (ann.)	20.11%	10.5%
Best Day	0.29%	0.15%
Worst Day	-0.07%	0.0%
Best Month	2.41%	1.43%
Worst Month	0.1%	0.2%
Best Year	10.14%	6.74%
Worst Year	9.22%	3.61%
Avg. Drawdown	-0.03%	-
Avg. Drawdown Days	-	-
Recovery Factor	292.08	-
Ulcer Index	0.0	0.0
Serenity Index	6519.12	-
Avg. Up Month	1.43%	0.78%
Avg. Down Month	-	-
Win Days	92.03%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.06	-
Alpha	0.18	-
Correlation	-2.15%	-
Treynor Ratio	-341.16%	-