PSRB RUB[Strategy] vs [Benchmark] RUABITR RUB

26 Nov, 2024 - 9 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	96.0%	94.0%
Cumulative Return	17.52%	22.55%
CAGR﹪	29.94%	39.08%
Sharpe	1.23	5.32
Prob. Sharpe Ratio	67.49%	100.0%
Smart Sharpe	1.01	4.38
Sortino	2.09	12.01
Smart Sortino	1.72	9.88
Sortino/√2	1.48	8.49
Smart Sortino/√2	1.21	6.99
Omega	1.24	1.24
Max Drawdown	-7.97%	-2.95%
Longest DD Days	86	69
Volatility (ann.)	15.92%	4.69%
R^2	0.13	0.13
Information Ratio	-0.02	-0.02
Calmar	3.76	13.23
Skew	0.72	1.17
Kurtosis	1.84	4.73
Expected Daily	0.1%	0.13%
Expected Monthly	1.81%	2.29%
Expected Yearly	8.41%	10.7%
Kelly Criterion	7.55%	53.83%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.54%	-0.36%
Expected Shortfall (cVaR)	-1.54%	-0.36%
Max Consecutive Wins	5	29
Max Consecutive Losses	6	7
Gain/Pain Ratio	0.33	2.99
Gain/Pain (1M)	4.57	74.47
Payoff Ratio	1.36	1.49
Profit Factor	1.33	3.99
Common Sense Ratio	2.0	7.23
CPC Index	0.85	4.3
Tail Ratio	1.5	1.81
Outlier Win Ratio	2.26	8.47
Outlier Loss Ratio	2.07	7.94
MTD	1.16%	1.03%
3M	11.73%	9.35%
6M	15.32%	15.74%
YTD	15.28%	16.23%
1Y	17.52%	22.55%
3Y (ann.)	29.94%	39.08%
5Y (ann.)	29.94%	39.08%
10Y (ann.)	29.94%	39.08%
All-time (ann.)	29.94%	39.08%
Best Day	4.25%	1.58%
Worst Day	-2.71%	-0.79%
Best Month	7.81%	5.68%
Worst Month	-3.43%	-0.23%
Best Year	15.28%	16.23%
Worst Year	1.95%	5.44%
Avg. Drawdown	-1.6%	-1.06%
Avg. Drawdown Days	10	24
Recovery Factor	2.2	7.63
Ulcer Index	0.03	0.01
Serenity Index	0.48	3.22
Avg. Up Month	3.42%	3.48%
Avg. Down Month	-0.32%	-0.05%
Win Days	46.75%	72.37%
Win Month	77.78%	77.78%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	1.22	-
Alpha	-0.13	-
Correlation	36.11%	-
Treynor Ratio	8.59%	-