PSMM[Strategy] vs RUB Inflation[Benchmark]

27 May, 2024 - 3 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	16.44%	9.98%
CAGR﹪	19.56%	11.82%
Sharpe	18.94	30.6
Prob. Sharpe Ratio	-	100.0%
Smart Sharpe	16.76	27.08
Sortino	123.07	-
Smart Sortino	108.89	-
Sortino/√2	87.02	-
Smart Sortino/√2	77.0	-
Omega	40.82	40.82
Max Drawdown	-0.07%	-
Longest DD Days	-	-
Volatility (ann.)	0.92%	0.36%
R^2	0.0	0.0
Information Ratio	0.42	0.42
Calmar	281.62	-
Skew	0.76	1.58
Kurtosis	0.57	6.62
Expected Daily	0.07%	0.04%
Expected Monthly	1.28%	0.8%
Expected Yearly	7.91%	4.87%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.03%	-0.01%
Expected Shortfall (cVaR)	-0.03%	-0.01%
Max Consecutive Wins	78	219
Max Consecutive Losses	1	0
Gain/Pain Ratio	39.82	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	40.82	-
Common Sense Ratio	16389.4	-
CPC Index	-	-
Tail Ratio	401.48	7.45
Outlier Win Ratio	2.45	4.23
Outlier Loss Ratio	0.59	-
MTD	0.14%	0.12%
3M	5.72%	3.04%
6M	10.77%	6.62%
YTD	5.72%	3.04%
1Y	16.44%	9.98%
3Y (ann.)	19.56%	11.82%
5Y (ann.)	19.56%	11.82%
10Y (ann.)	19.56%	11.82%
All-time (ann.)	19.56%	11.82%
Best Day	0.27%	0.15%
Worst Day	-0.07%	0.0%
Best Month	2.41%	1.43%
Worst Month	0.1%	0.12%
Best Year	10.14%	6.74%
Worst Year	5.72%	3.04%
Avg. Drawdown	-0.03%	-
Avg. Drawdown Days	-	-
Recovery Factor	236.72	-
Ulcer Index	0.0	0.0
Serenity Index	6540.18	-
Avg. Up Month	1.28%	0.8%
Avg. Down Month	-	-
Win Days	94.81%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.02	-
Alpha	0.17	-
Correlation	0.66%	-
Treynor Ratio	968.16%	-