PSRB RUB[Strategy] vs Deposit RUB[Benchmark]

20 Nov, 2024 - 13 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	38.99%	37.87%
CAGR﹪	18.97%	18.46%
Sharpe	1.33	35.63
Prob. Sharpe Ratio	97.92%	100.0%
Smart Sharpe	1.03	27.62
Sortino	2.22	-
Smart Sortino	1.72	-
Sortino/√2	1.57	-
Smart Sortino/√2	1.22	-
Omega	1.28	1.28
Max Drawdown	-8.86%	-
Longest DD Days	-	-
Volatility (ann.)	11.76%	0.41%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	2.14	-
Skew	0.77	3.55
Kurtosis	3.64	20.73
Expected Daily	0.06%	0.06%
Expected Monthly	1.38%	1.35%
Expected Yearly	11.6%	11.3%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.16%	-0.02%
Expected Shortfall (cVaR)	-1.16%	-0.02%
Max Consecutive Wins	6	552
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.28	-
Gain/Pain (1M)	3.62	-
Payoff Ratio	-	-
Profit Factor	1.28	-
Common Sense Ratio	1.65	-
CPC Index	-	-
Tail Ratio	1.29	2.51
Outlier Win Ratio	2.35	22.72
Outlier Loss Ratio	1.76	-
MTD	0.35%	1.09%
3M	3.03%	3.96%
6M	5.5%	7.34%
YTD	9.87%	11.64%
1Y	16.76%	15.49%
3Y (ann.)	18.97%	18.46%
5Y (ann.)	18.97%	18.46%
10Y (ann.)	18.97%	18.46%
All-time (ann.)	18.97%	18.46%
Best Day	4.25%	0.23%
Worst Day	-2.71%	0.0%
Best Month	7.81%	1.81%
Worst Month	-5.19%	1.06%
Best Year	23.79%	19.38%
Worst Year	2.19%	3.44%
Avg. Drawdown	-1.05%	-
Avg. Drawdown Days	-	-
Recovery Factor	4.4	-
Ulcer Index	0.03	0.0
Serenity Index	2.14	-
Avg. Up Month	2.29%	1.33%
Avg. Down Month	-	-
Win Days	49.63%	100.0%
Win Month	79.17%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.66	-
Alpha	0.06	-
Correlation	2.29%	-
Treynor Ratio	59.41%	-