PSRB RUB[Strategy] vs Deposit RUB[Benchmark]

20 Nov, 2024 - 9 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	17.8%	14.84%
CAGR﹪	29.55%	24.44%
Sharpe	1.66	41.46
Prob. Sharpe Ratio	91.87%	100.0%
Smart Sharpe	1.37	34.11
Sortino	2.88	-
Smart Sortino	2.37	-
Sortino/√2	2.04	-
Smart Sortino/√2	1.68	-
Omega	1.34	1.34
Max Drawdown	-7.97%	-
Longest DD Days	-	-
Volatility (ann.)	15.72%	0.51%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	3.71	-
Skew	0.74	3.75
Kurtosis	1.96	15.33
Expected Daily	0.1%	0.08%
Expected Monthly	1.84%	1.55%
Expected Yearly	8.54%	7.17%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.53%	-0.03%
Expected Shortfall (cVaR)	-1.53%	-0.03%
Max Consecutive Wins	5	165
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.34	-
Gain/Pain (1M)	4.64	-
Payoff Ratio	-	-
Profit Factor	1.34	-
Common Sense Ratio	2.01	-
CPC Index	-	-
Tail Ratio	1.51	1.44
Outlier Win Ratio	1.83	17.83
Outlier Loss Ratio	1.61	-
MTD	1.16%	0.53%
3M	11.73%	4.96%
6M	15.32%	10.73%
YTD	15.28%	11.03%
1Y	17.8%	14.84%
3Y (ann.)	29.55%	24.44%
5Y (ann.)	29.55%	24.44%
10Y (ann.)	29.55%	24.44%
All-time (ann.)	29.55%	24.44%
Best Day	4.25%	0.23%
Worst Day	-2.71%	0.0%
Best Month	7.81%	1.81%
Worst Month	-3.43%	0.53%
Best Year	15.28%	11.03%
Worst Year	2.19%	3.44%
Avg. Drawdown	-1.6%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.23	-
Ulcer Index	0.03	0.0
Serenity Index	0.82	-
Avg. Up Month	2.97%	1.5%
Avg. Down Month	-	-
Win Days	48.1%	100.0%
Win Month	77.78%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.21	-
Alpha	0.31	-
Correlation	-0.69%	-
Treynor Ratio	-82.82%	-