PSMM[Strategy] vs RUB Inflation[Benchmark]

27 May, 2024 - 31 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	95.0%	100.0%
Cumulative Return	24.07%	11.02%
CAGR﹪	20.09%	9.28%
Sharpe	13.71	23.13
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	8.85	14.92
Sortino	39.31	-
Smart Sortino	25.36	-
Sortino/√2	27.8	-
Smart Sortino/√2	17.93	-
Omega	13.31	13.31
Max Drawdown	-0.24%	-
Longest DD Days	-	-
Volatility (ann.)	1.29%	0.37%
R^2	0.0	0.0
Information Ratio	0.43	0.43
Calmar	82.61	-
Skew	0.82	1.63
Kurtosis	7.47	5.35
Expected Daily	0.07%	0.03%
Expected Monthly	1.45%	0.7%
Expected Yearly	11.38%	5.37%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.06%	-0.0%
Expected Shortfall (cVaR)	-0.06%	-0.0%
Max Consecutive Wins	78	307
Max Consecutive Losses	1	0
Gain/Pain Ratio	12.31	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	13.31	-
Common Sense Ratio	81.98	-
CPC Index	-	-
Tail Ratio	6.16	7.45
Outlier Win Ratio	2.48	6.09
Outlier Loss Ratio	1.37	-
MTD	1.58%	0.23%
3M	5.15%	0.88%
6M	10.97%	2.81%
YTD	12.64%	4.01%
1Y	21.5%	8.48%
3Y (ann.)	20.09%	9.28%
5Y (ann.)	20.09%	9.28%
10Y (ann.)	20.09%	9.28%
All-time (ann.)	20.09%	9.28%
Best Day	0.58%	0.15%
Worst Day	-0.24%	0.0%
Best Month	2.41%	1.43%
Worst Month	0.1%	0.2%
Best Year	12.64%	6.74%
Worst Year	10.14%	4.01%
Avg. Drawdown	-0.06%	-
Avg. Drawdown Days	-	-
Recovery Factor	98.98	-
Ulcer Index	0.0	0.0
Serenity Index	1270.95	-
Avg. Up Month	1.45%	0.7%
Avg. Down Month	-	-
Win Days	90.41%	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	-1.77%	-
Treynor Ratio	-391.66%	-