PSRB RUB[Strategy] vs Deposit RUB[Benchmark]

20 Nov, 2024 - 13 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	34.15%	32.72%
CAGR﹪	19.57%	18.79%
Sharpe	1.35	36.2
Prob. Sharpe Ratio	97.14%	100.0%
Smart Sharpe	1.07	28.69
Sortino	2.27	-
Smart Sortino	1.8	-
Sortino/√2	1.6	-
Smart Sortino/√2	1.27	-
Omega	1.28	1.28
Max Drawdown	-8.86%	-
Longest DD Days	-	-
Volatility (ann.)	12.25%	0.42%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	2.21	-
Skew	0.79	3.67
Kurtosis	3.52	20.98
Expected Daily	0.06%	0.06%
Expected Monthly	1.41%	1.36%
Expected Yearly	10.29%	9.89%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.2%	-0.02%
Expected Shortfall (cVaR)	-1.2%	-0.02%
Max Consecutive Wins	6	467
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.28	-
Gain/Pain (1M)	3.23	-
Payoff Ratio	-	-
Profit Factor	1.28	-
Common Sense Ratio	1.7	-
CPC Index	-	-
Tail Ratio	1.32	2.46
Outlier Win Ratio	2.36	22.81
Outlier Loss Ratio	1.74	-
MTD	0.28%	0.49%
3M	1.82%	3.33%
6M	5.61%	7.22%
YTD	6.04%	7.47%
1Y	15.17%	15.55%
3Y (ann.)	19.57%	18.79%
5Y (ann.)	19.57%	18.79%
10Y (ann.)	19.57%	18.79%
All-time (ann.)	19.57%	18.79%
Best Day	4.25%	0.23%
Worst Day	-2.71%	0.0%
Best Month	7.81%	1.81%
Worst Month	-5.19%	0.49%
Best Year	23.79%	19.38%
Worst Year	2.19%	3.44%
Avg. Drawdown	-1.14%	-
Avg. Drawdown Days	-	-
Recovery Factor	3.86	-
Ulcer Index	0.03	0.0
Serenity Index	1.68	-
Avg. Up Month	2.5%	1.34%
Avg. Down Month	-	-
Win Days	49.56%	100.0%
Win Month	76.19%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.69	-
Alpha	0.06	-
Correlation	2.36%	-
Treynor Ratio	49.64%	-