PSRB[Strategy] vs RUB Inflation[Benchmark]

20 Nov, 2024 - 12 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	28.18%	8.21%
CAGR﹪	26.38%	7.73%
Sharpe	1.58	14.46
Prob. Sharpe Ratio	95.7%	100.0%
Smart Sharpe	1.27	11.55
Sortino	2.69	85.96
Smart Sortino	2.15	68.66
Sortino/√2	1.9	60.78
Smart Sortino/√2	1.52	48.55
Omega	1.32	1.32
Max Drawdown	-8.86%	-0.4%
Longest DD Days	114	63
Volatility (ann.)	14.9%	0.5%
R^2	0.0	0.0
Information Ratio	0.07	0.07
Calmar	2.98	19.32
Skew	0.66	2.65
Kurtosis	1.81	11.11
Expected Daily	0.09%	0.03%
Expected Monthly	1.79%	0.57%
Expected Yearly	13.22%	4.03%
Kelly Criterion	15.55%	87.99%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.45%	-0.02%
Expected Shortfall (cVaR)	-1.45%	-0.02%
Max Consecutive Wins	6	181
Max Consecutive Losses	6	21
Gain/Pain Ratio	0.32	19.7
Gain/Pain (1M)	2.9	19.7
Payoff Ratio	1.41	1.71
Profit Factor	1.32	20.7
Common Sense Ratio	1.97	66.33
CPC Index	0.94	32.72
Tail Ratio	1.5	3.2
Outlier Win Ratio	1.85	42.83
Outlier Loss Ratio	1.65	53.44
MTD	1.83%	0.21%
3M	1.23%	1.34%
6M	13.99%	1.77%
YTD	25.43%	5.48%
1Y	25.55%	6.37%
3Y (ann.)	26.38%	7.73%
5Y (ann.)	26.38%	7.73%
10Y (ann.)	26.38%	7.73%
All-time (ann.)	26.38%	7.73%
Best Day	4.25%	0.18%
Worst Day	-2.71%	-0.02%
Best Month	7.81%	1.32%
Worst Month	-5.19%	-0.4%
Best Year	25.43%	5.48%
Worst Year	2.19%	2.59%
Avg. Drawdown	-1.57%	-0.4%
Avg. Drawdown Days	12	63
Recovery Factor	3.18	20.53
Ulcer Index	0.04	0.0
Serenity Index	1.1	14.95
Avg. Up Month	3.22%	0.64%
Avg. Down Month	-	-
Win Days	50.56%	92.42%
Win Month	78.57%	92.86%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.59	-
Alpha	0.28	-
Correlation	-1.95%	-
Treynor Ratio	-47.88%	-