PSRB[Strategy] vs RUB Inflation[Benchmark]

20 Nov, 2024 - 3 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	31.58%	11.86%
CAGR﹪	22.23%	8.55%
Sharpe	1.47	16.18
Prob. Sharpe Ratio	96.72%	100.0%
Smart Sharpe	1.17	12.88
Sortino	2.49	105.54
Smart Sortino	1.98	84.01
Sortino/√2	1.76	74.63
Smart Sortino/√2	1.4	59.41
Omega	1.3	1.3
Max Drawdown	-8.86%	-0.4%
Longest DD Days	181	63
Volatility (ann.)	13.28%	0.47%
R^2	0.0	0.0
Information Ratio	0.06	0.06
Calmar	2.51	21.36
Skew	0.76	2.37
Kurtosis	2.8	9.79
Expected Daily	0.07%	0.03%
Expected Monthly	1.54%	0.62%
Expected Yearly	9.58%	3.81%
Kelly Criterion	7.45%	91.03%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.3%	-0.02%
Expected Shortfall (cVaR)	-1.3%	-0.02%
Max Consecutive Wins	6	181
Max Consecutive Losses	6	21
Gain/Pain Ratio	0.3	27.98
Gain/Pain (1M)	3.05	27.98
Payoff Ratio	1.24	1.71
Profit Factor	1.3	28.98
Common Sense Ratio	1.95	116.26
CPC Index	0.79	46.76
Tail Ratio	1.5	4.01
Outlier Win Ratio	2.06	41.28
Outlier Loss Ratio	1.74	46.97
MTD	0.01%	0.09%
3M	4.01%	3.26%
6M	10.42%	4.5%
YTD	4.01%	3.26%
1Y	20.51%	6.12%
3Y (ann.)	22.23%	8.55%
5Y (ann.)	22.23%	8.55%
10Y (ann.)	22.23%	8.55%
All-time (ann.)	22.23%	8.55%
Best Day	4.25%	0.18%
Worst Day	-2.71%	-0.02%
Best Month	7.81%	1.62%
Worst Month	-5.19%	-0.4%
Best Year	23.79%	5.6%
Worst Year	2.19%	2.59%
Avg. Drawdown	-1.36%	-0.4%
Avg. Drawdown Days	13	63
Recovery Factor	3.57	29.66
Ulcer Index	0.03	0.0
Serenity Index	1.37	27.72
Avg. Up Month	2.72%	0.62%
Avg. Down Month	-	-
Win Days	48.75%	94.34%
Win Month	77.78%	94.44%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.68	-
Alpha	0.25	-
Correlation	-2.42%	-
Treynor Ratio	-46.23%	-