PSRE RUB[Strategy] vs [Benchmark] IMOEX RUB

23 Jul, 2025 - 1 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	75.0%	75.0%
Cumulative Return	-2.85%	-3.84%
CAGR﹪	-69.1%	-79.55%
Sharpe	-4.39	-8.98
Prob. Sharpe Ratio	10.78%	6.07%
Smart Sharpe	-3.02	-6.17
Sortino	-4.63	-8.79
Smart Sortino	-3.18	-6.04
Sortino/√2	-3.28	-6.21
Smart Sortino/√2	-2.25	-4.27
Omega	0.32	0.32
Max Drawdown	-3.58%	-4.04%
Longest DD Days	4	8
Volatility (ann.)	21.8%	14.35%
R^2	0.28	0.28
Information Ratio	0.11	0.11
Calmar	-19.31	-19.67
Skew	-2.3	0.44
Kurtosis	5.74	-1.28
Expected Daily	-0.36%	-0.49%
Expected Monthly	-1.44%	-1.94%
Expected Yearly	-2.85%	-3.84%
Kelly Criterion	-74.0%	-109.75%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.61%	-1.97%
Expected Shortfall (cVaR)	-2.61%	-1.97%
Max Consecutive Wins	2	1
Max Consecutive Losses	2	3
Gain/Pain Ratio	-0.65	-0.76
Gain/Pain (1M)	-0.89	-1.0
Payoff Ratio	0.4	0.47
Profit Factor	0.35	0.24
Common Sense Ratio	0.09	0.12
CPC Index	0.07	0.04
Tail Ratio	0.25	0.51
Outlier Win Ratio	2.78	2.79
Outlier Loss Ratio	1.67	1.91
MTD	0.36%	0.0%
3M	-2.85%	-3.84%
6M	-2.85%	-3.84%
YTD	-2.85%	-3.84%
1Y	-2.85%	-3.84%
3Y (ann.)	-69.1%	-79.55%
5Y (ann.)	-69.1%	-79.55%
10Y (ann.)	-69.1%	-79.55%
All-time (ann.)	-69.1%	-79.55%
Best Day	0.78%	1.0%
Worst Day	-3.58%	-1.49%
Best Month	0.36%	0.0%
Worst Month	-3.2%	-3.84%
Best Year	-2.85%	-3.84%
Worst Year	-2.85%	-3.84%
Avg. Drawdown	-2.18%	-4.04%
Avg. Drawdown Days	3	8
Recovery Factor	-0.8	-0.95
Ulcer Index	0.02	0.03
Serenity Index	-1.6	-0.57
Avg. Up Month	-	-
Avg. Down Month	-3.2%	-3.84%
Win Days	50.0%	33.33%
Win Month	50.0%	0.0%
Win Quarter	0.0%	0.0%
Win Year	0.0%	0.0%
Beta	0.81	-
Alpha	0.1	-
Correlation	53.38%	-
Treynor Ratio	-12.15%	-