PSRE RUB[Strategy] vs [Benchmark] IMOEX RUB

30 Jul, 2025 - 17 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	83.0%
Cumulative Return	-8.94%	-16.19%
CAGR﹪	-7.93%	-14.42%
Sharpe	-0.58	-0.88
Prob. Sharpe Ratio	5.69%	2.58%
Smart Sharpe	-0.57	-0.87
Sortino	-0.8	-1.17
Smart Sortino	-0.8	-1.16
Sortino/√2	-0.57	-0.83
Smart Sortino/√2	-0.56	-0.82
Omega	0.9	0.9
Max Drawdown	-30.11%	-34.98%
Longest DD Days	395	395
Volatility (ann.)	19.96%	19.96%
R^2	0.57	0.57
Information Ratio	0.03	0.03
Calmar	-0.26	-0.41
Skew	0.51	-0.22
Kurtosis	6.73	2.34
Expected Daily	-0.03%	-0.05%
Expected Monthly	-0.62%	-1.17%
Expected Yearly	-4.58%	-8.45%
Kelly Criterion	-0.25%	-7.84%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.09%	-2.11%
Expected Shortfall (cVaR)	-2.09%	-2.11%
Max Consecutive Wins	6	5
Max Consecutive Losses	6	5
Gain/Pain Ratio	-0.04	-0.1
Gain/Pain (1M)	-0.21	-0.41
Payoff Ratio	0.95	0.96
Profit Factor	0.96	0.9
Common Sense Ratio	0.84	0.88
CPC Index	0.47	0.41
Tail Ratio	0.87	0.98
Outlier Win Ratio	3.59	4.21
Outlier Loss Ratio	3.96	3.68
MTD	4.11%	4.86%
3M	-5.41%	-8.26%
6M	-14.98%	-19.93%
YTD	-12.33%	-17.41%
1Y	-11.6%	-18.48%
3Y (ann.)	-7.93%	-14.42%
5Y (ann.)	-7.93%	-14.42%
10Y (ann.)	-7.93%	-14.42%
All-time (ann.)	-7.93%	-14.42%
Best Day	8.32%	4.35%
Worst Day	-4.88%	-4.29%
Best Month	6.46%	6.12%
Worst Month	-8.06%	-8.48%
Best Year	3.86%	1.48%
Worst Year	-12.33%	-17.41%
Avg. Drawdown	-10.49%	-9.01%
Avg. Drawdown Days	132	100
Recovery Factor	-0.3	-0.46
Ulcer Index	0.12	0.16
Serenity Index	-0.09	-0.07
Avg. Up Month	3.57%	3.1%
Avg. Down Month	-4.09%	-4.71%
Win Days	51.17%	47.22%
Win Month	46.67%	46.67%
Win Quarter	60.0%	40.0%
Win Year	50.0%	50.0%
Beta	0.75	-
Alpha	0.03	-
Correlation	75.41%	-
Treynor Ratio	-21.14%	-