PSRB RUB[Strategy] vs [Benchmark] RUABITR RUB

26 Nov, 2024 - 7 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	97.0%	97.0%
Cumulative Return	23.02%	28.25%
CAGR﹪	24.43%	30.01%
Sharpe	1.01	4.16
Prob. Sharpe Ratio	63.96%	100.0%
Smart Sharpe	0.82	3.38
Sortino	1.69	8.36
Smart Sortino	1.37	6.78
Sortino/√2	1.19	5.91
Smart Sortino/√2	0.97	4.79
Omega	1.19	1.19
Max Drawdown	-8.86%	-3.98%
Longest DD Days	86	69
Volatility (ann.)	15.15%	4.45%
R^2	0.13	0.13
Information Ratio	-0.01	-0.01
Calmar	2.76	7.54
Skew	0.7	1.0
Kurtosis	1.68	4.4
Expected Daily	0.08%	0.1%
Expected Monthly	1.61%	1.93%
Expected Yearly	10.91%	13.25%
Kelly Criterion	8.06%	44.56%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.48%	-0.36%
Expected Shortfall (cVaR)	-1.48%	-0.36%
Max Consecutive Wins	6	29
Max Consecutive Losses	6	13
Gain/Pain Ratio	0.29	2.01
Gain/Pain (1M)	2.43	11.74
Payoff Ratio	1.28	1.37
Profit Factor	1.29	3.01
Common Sense Ratio	1.9	4.82
CPC Index	0.8	2.81
Tail Ratio	1.48	1.6
Outlier Win Ratio	2.26	8.17
Outlier Loss Ratio	1.91	7.31
MTD	0.9%	0.39%
3M	0.12%	0.73%
6M	15.0%	13.42%
YTD	20.67%	21.64%
1Y	23.02%	28.25%
3Y (ann.)	24.43%	30.01%
5Y (ann.)	24.43%	30.01%
10Y (ann.)	24.43%	30.01%
All-time (ann.)	24.43%	30.01%
Best Day	4.25%	1.58%
Worst Day	-2.71%	-0.79%
Best Month	7.81%	5.68%
Worst Month	-5.19%	-1.85%
Best Year	20.67%	21.64%
Worst Year	1.95%	5.44%
Avg. Drawdown	-1.57%	-0.89%
Avg. Drawdown Days	10	18
Recovery Factor	2.6	7.1
Ulcer Index	0.04	0.01
Serenity Index	0.59	1.76
Avg. Up Month	3.4%	3.05%
Avg. Down Month	-2.75%	-0.95%
Win Days	48.33%	67.92%
Win Month	76.92%	76.92%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	1.22	-
Alpha	-0.09	-
Correlation	35.78%	-
Treynor Ratio	13.15%	-