PSRB RUB[Strategy] vs Deposit RUB[Benchmark]

20 Nov, 2024 - 7 Nov, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	23.31%	20.7%
CAGR﹪	24.27%	21.55%
Sharpe	1.46	41.33
Prob. Sharpe Ratio	93.49%	100.0%
Smart Sharpe	1.19	33.51
Sortino	2.5	-
Smart Sortino	2.03	-
Sortino/√2	1.77	-
Smart Sortino/√2	1.43	-
Omega	1.29	1.29
Max Drawdown	-8.86%	-
Longest DD Days	-	-
Volatility (ann.)	15.03%	0.45%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	2.74	-
Skew	0.71	4.15
Kurtosis	1.75	20.43
Expected Daily	0.08%	0.07%
Expected Monthly	1.62%	1.46%
Expected Yearly	11.05%	9.87%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.47%	-0.03%
Expected Shortfall (cVaR)	-1.47%	-0.03%
Max Consecutive Wins	6	252
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.29	-
Gain/Pain (1M)	2.46	-
Payoff Ratio	-	-
Profit Factor	1.29	-
Common Sense Ratio	1.91	-
CPC Index	-	-
Tail Ratio	1.48	1.6
Outlier Win Ratio	1.82	18.71
Outlier Loss Ratio	1.43	-
MTD	0.9%	0.28%
3M	0.12%	3.97%
6M	15.0%	8.74%
YTD	20.67%	16.69%
1Y	23.31%	20.7%
3Y (ann.)	24.27%	21.55%
5Y (ann.)	24.27%	21.55%
10Y (ann.)	24.27%	21.55%
All-time (ann.)	24.27%	21.55%
Best Day	4.25%	0.23%
Worst Day	-2.71%	0.0%
Best Month	7.81%	1.81%
Worst Month	-5.19%	0.28%
Best Year	20.67%	16.69%
Worst Year	2.19%	3.44%
Avg. Drawdown	-1.57%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.63	-
Ulcer Index	0.04	0.0
Serenity Index	0.86	-
Avg. Up Month	3.09%	1.42%
Avg. Down Month	-	-
Win Days	49.18%	100.0%
Win Month	76.92%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.15	-
Alpha	0.19	-
Correlation	0.44%	-
Treynor Ratio	159.45%	-