PSRB[Strategy] vs RUB Inflation[Benchmark]

20 Nov, 2024 - 9 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	17.4%	6.72%
CAGR﹪	28.84%	10.82%
Sharpe	1.63	18.19
Prob. Sharpe Ratio	91.45%	100.0%
Smart Sharpe	1.34	15.0
Sortino	2.83	-
Smart Sortino	2.33	-
Sortino/√2	2.0	-
Smart Sortino/√2	1.65	-
Omega	1.33	1.33
Max Drawdown	-7.97%	-
Longest DD Days	-	-
Volatility (ann.)	15.71%	0.54%
R^2	0.0	0.0
Information Ratio	0.06	0.06
Calmar	3.62	-
Skew	0.74	2.77
Kurtosis	1.98	8.89
Expected Daily	0.1%	0.04%
Expected Monthly	1.8%	0.73%
Expected Yearly	8.35%	3.31%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.53%	-0.02%
Expected Shortfall (cVaR)	-1.53%	-0.02%
Max Consecutive Wins	5	165
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.33	-
Gain/Pain (1M)	4.54	-
Payoff Ratio	-	-
Profit Factor	1.33	-
Common Sense Ratio	2.0	-
CPC Index	-	-
Tail Ratio	1.51	3.7
Outlier Win Ratio	1.81	37.31
Outlier Loss Ratio	1.65	-
MTD	0.81%	0.12%
3M	11.35%	1.17%
6M	14.92%	3.84%
YTD	14.88%	4.03%
1Y	17.4%	6.72%
3Y (ann.)	28.84%	10.82%
5Y (ann.)	28.84%	10.82%
10Y (ann.)	28.84%	10.82%
All-time (ann.)	28.84%	10.82%
Best Day	4.25%	0.18%
Worst Day	-2.71%	0.0%
Best Month	7.81%	1.32%
Worst Month	-3.43%	0.12%
Best Year	14.88%	4.03%
Worst Year	2.19%	2.59%
Avg. Drawdown	-1.6%	-
Avg. Drawdown Days	-	-
Recovery Factor	2.18	-
Ulcer Index	0.03	0.0
Serenity Index	0.8	-
Avg. Up Month	2.92%	0.7%
Avg. Down Month	-	-
Win Days	48.1%	100.0%
Win Month	77.78%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.93	-
Alpha	0.35	-
Correlation	-3.23%	-
Treynor Ratio	-18.62%	-