PSRB RUB[Strategy] vs Deposit RUB[Benchmark]

20 Nov, 2024 - 21 Nov, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	50.0%	50.0%
Cumulative Return	0.04%	0.87%
CAGR﹪	15.57%	2238.11%
Sharpe	11.22	11.22
Prob. Sharpe Ratio	-	-
Smart Sharpe	-	-
Sortino	-	-
Smart Sortino	-	-
Sortino/√2	-	-
Smart Sortino/√2	-	-
Omega	-	-
Max Drawdown	%	%
Longest DD Days	-	-
Volatility (ann.)	0.45%	9.74%
R^2	1.0	1.0
Information Ratio	-0.71	-0.71
Calmar	-	-
Skew	-	-
Kurtosis	-	-
Expected Daily	0.02%	0.43%
Expected Monthly	0.04%	0.87%
Expected Yearly	0.04%	0.87%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.03%	-0.58%
Expected Shortfall (cVaR)	-0.03%	-0.58%
Max Consecutive Wins	1	1
Max Consecutive Losses	0	0
Gain/Pain Ratio	-	-
Gain/Pain (1M)	-	-
Payoff Ratio	-	-
Profit Factor	-	-
Common Sense Ratio	-	-
CPC Index	-	-
Tail Ratio	19.0	19.0
Outlier Win Ratio	22.65	1.04
Outlier Loss Ratio	-	-
MTD	0.04%	0.87%
3M	0.04%	0.87%
6M	0.04%	0.87%
YTD	0.04%	0.87%
1Y	0.04%	0.87%
3Y (ann.)	15.57%	2238.11%
5Y (ann.)	15.57%	2238.11%
10Y (ann.)	15.57%	2238.11%
All-time (ann.)	15.57%	2238.11%
Best Day	0.04%	0.87%
Worst Day	0.0%	0.0%
Best Month	0.04%	0.87%
Worst Month	0.04%	0.87%
Best Year	0.04%	0.87%
Worst Year	0.04%	0.87%
Recovery Factor	-	-
Ulcer Index	0.0	0.0
Serenity Index	-	-
Avg. Up Month	0.04%	0.87%
Avg. Down Month	-	-
Win Days	100.0%	100.0%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	0.05	-
Alpha	0.0	-
Correlation	100.0%	-
Treynor Ratio	0.87%	-
Avg. Drawdown Days	-	-