PSRB[Strategy] vs RUB Inflation[Benchmark]

20 Nov, 2024 - 25 May, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	34.02%	11.83%
CAGR﹪	21.4%	7.69%
Sharpe	1.46	14.51
Prob. Sharpe Ratio	97.42%	100.0%
Smart Sharpe	1.16	11.57
Sortino	2.47	98.92
Smart Sortino	1.97	78.85
Sortino/√2	1.75	69.95
Smart Sortino/√2	1.39	55.75
Omega	1.31	1.31
Max Drawdown	-8.86%	-0.4%
Longest DD Days	181	63
Volatility (ann.)	12.59%	0.46%
R^2	0.0	0.0
Information Ratio	0.06	0.06
Calmar	2.42	19.21
Skew	0.81	2.5
Kurtosis	3.36	10.33
Expected Daily	0.07%	0.03%
Expected Monthly	1.55%	0.59%
Expected Yearly	10.25%	3.8%
Kelly Criterion	4.06%	91.64%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.23%	-0.02%
Expected Shortfall (cVaR)	-1.23%	-0.02%
Max Consecutive Wins	6	218
Max Consecutive Losses	6	21
Gain/Pain Ratio	0.31	27.9
Gain/Pain (1M)	3.25	27.9
Payoff Ratio	1.15	1.49
Profit Factor	1.31	28.9
Common Sense Ratio	1.95	2.6707611831628344e+16
CPC Index	0.73	40.92
Tail Ratio	1.5	924111430549535.6
Outlier Win Ratio	2.19	46.99
Outlier Loss Ratio	1.79	44.87
MTD	0.4%	0.1%
3M	3.58%	0.96%
6M	5.82%	3.64%
YTD	5.94%	3.23%
1Y	22.55%	5.36%
3Y (ann.)	21.4%	7.69%
5Y (ann.)	21.4%	7.69%
10Y (ann.)	21.4%	7.69%
All-time (ann.)	21.4%	7.69%
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	-1.16%	-0.4%
Avg. Drawdown Days	11	63
Recovery Factor	3.84	29.57
Ulcer Index	0.03	0.0
Serenity Index	1.57	30.88
Avg. Up Month	2.65%	0.57%
Avg. Down Month	-	-
Win Days	48.78%	95.0%
Win Month	78.95%	94.74%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-0.49	-
Alpha	0.22	-
Correlation	-1.8%	-
Treynor Ratio	-69.34%	-