PSRB RUB[Strategy] vs Deposit RUB[Benchmark]

20 Nov, 2024 - 25 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	34.02%	30.68%
CAGR﹪	21.4%	19.4%
Sharpe	1.46	38.24
Prob. Sharpe Ratio	97.42%	100.0%
Smart Sharpe	1.16	30.48
Sortino	2.47	-
Smart Sortino	1.97	-
Sortino/√2	1.75	-
Smart Sortino/√2	1.39	-
Omega	1.31	1.31
Max Drawdown	-8.86%	-
Longest DD Days	-	-
Volatility (ann.)	12.59%	0.42%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	2.42	-
Skew	0.81	3.89
Kurtosis	3.36	22.23
Expected Daily	0.07%	0.06%
Expected Monthly	1.55%	1.42%
Expected Yearly	10.25%	9.33%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.23%	-0.02%
Expected Shortfall (cVaR)	-1.23%	-0.02%
Max Consecutive Wins	6	420
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.31	-
Gain/Pain (1M)	3.25	-
Payoff Ratio	-	-
Profit Factor	1.31	-
Common Sense Ratio	1.95	-
CPC Index	-	-
Tail Ratio	1.5	2.46
Outlier Win Ratio	2.23	21.79
Outlier Loss Ratio	1.74	-
MTD	0.4%	1.09%
3M	3.58%	3.54%
6M	5.82%	7.45%
YTD	5.94%	5.83%
1Y	22.55%	16.58%
3Y (ann.)	21.4%	19.4%
5Y (ann.)	21.4%	19.4%
10Y (ann.)	21.4%	19.4%
All-time (ann.)	21.4%	19.4%
Best Day	4.25%	0.23%
Worst Day	-2.71%	0.0%
Best Month	7.81%	1.81%
Worst Month	-5.19%	1.09%
Best Year	23.79%	19.38%
Worst Year	2.19%	3.44%
Avg. Drawdown	-1.16%	-
Avg. Drawdown Days	-	-
Recovery Factor	3.84	-
Ulcer Index	0.03	0.0
Serenity Index	1.57	-
Avg. Up Month	2.65%	1.4%
Avg. Down Month	-	-
Win Days	48.78%	100.0%
Win Month	78.95%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.48	-
Alpha	0.11	-
Correlation	1.59%	-
Treynor Ratio	71.31%	-