PSRB RUB[Strategy] vs Deposit RUB[Benchmark]

20 Nov, 2024 - 30 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	26.5%	23.5%
CAGR﹪	23.6%	20.95%
Sharpe	1.45	40.87
Prob. Sharpe Ratio	94.72%	100.0%
Smart Sharpe	1.15	32.53
Sortino	2.45	-
Smart Sortino	1.95	-
Sortino/√2	1.73	-
Smart Sortino/√2	1.38	-
Omega	1.29	1.29
Max Drawdown	-8.86%	-
Longest DD Days	-	-
Volatility (ann.)	14.54%	0.44%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	2.67	-
Skew	0.69	4.11
Kurtosis	2.03	21.46
Expected Daily	0.08%	0.07%
Expected Monthly	1.69%	1.52%
Expected Yearly	12.47%	11.13%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.42%	-0.03%
Expected Shortfall (cVaR)	-1.42%	-0.03%
Max Consecutive Wins	6	295
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.29	-
Gain/Pain (1M)	2.75	-
Payoff Ratio	-	-
Profit Factor	1.29	-
Common Sense Ratio	1.94	-
CPC Index	-	-
Tail Ratio	1.5	1.95
Outlier Win Ratio	1.93	19.62
Outlier Loss Ratio	1.62	-
MTD	0.5%	1.28%
3M	5.48%	3.97%
6M	8.64%	8.19%
YTD	23.79%	19.39%
1Y	23.74%	19.49%
3Y (ann.)	23.6%	20.95%
5Y (ann.)	23.6%	20.95%
10Y (ann.)	23.6%	20.95%
All-time (ann.)	23.6%	20.95%
Best Day	4.25%	0.23%
Worst Day	-2.71%	0.0%
Best Month	7.81%	1.81%
Worst Month	-5.19%	1.28%
Best Year	23.79%	19.39%
Worst Year	2.19%	3.44%
Avg. Drawdown	-1.57%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.99	-
Ulcer Index	0.04	0.0
Serenity Index	1.06	-
Avg. Up Month	3.04%	1.5%
Avg. Down Month	-	-
Win Days	49.83%	100.0%
Win Month	78.57%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.34	-
Alpha	0.15	-
Correlation	1.02%	-
Treynor Ratio	78.79%	-