PSRE RUB[Strategy] vs [Benchmark] IMOEX RUB

30 Jul, 2025 - 1 Nov, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	82.0%
Cumulative Return	1.04%	-7.96%
CAGR﹪	0.82%	-6.38%
Sharpe	-0.22	-0.52
Prob. Sharpe Ratio	11.06%	5.47%
Smart Sharpe	-0.22	-0.52
Sortino	-0.3	-0.7
Smart Sortino	-0.3	-0.7
Sortino/√2	-0.22	-0.5
Smart Sortino/√2	-0.22	-0.5
Omega	0.96	0.96
Max Drawdown	-30.11%	-34.98%
Longest DD Days	440	440
Volatility (ann.)	19.55%	19.68%
R^2	0.58	0.58
Information Ratio	0.03	0.03
Calmar	0.03	-0.18
Skew	0.47	-0.16
Kurtosis	6.5	2.39
Expected Daily	0.0%	-0.02%
Expected Monthly	0.06%	-0.49%
Expected Yearly	0.52%	-4.06%
Kelly Criterion	2.61%	-4.77%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.02%	-2.05%
Expected Shortfall (cVaR)	-2.02%	-2.05%
Max Consecutive Wins	6	5
Max Consecutive Losses	6	5
Gain/Pain Ratio	0.02	-0.03
Gain/Pain (1M)	0.13	-0.14
Payoff Ratio	0.96	0.96
Profit Factor	1.02	0.97
Common Sense Ratio	0.96	0.98
CPC Index	0.52	0.45
Tail Ratio	0.93	1.01
Outlier Win Ratio	3.75	4.44
Outlier Loss Ratio	4.04	3.67
MTD	0.18%	0.0%
3M	11.78%	12.71%
6M	1.33%	-5.6%
YTD	-2.72%	-9.3%
1Y	8.5%	-0.63%
3Y (ann.)	0.82%	-6.38%
5Y (ann.)	0.82%	-6.38%
10Y (ann.)	0.82%	-6.38%
All-time (ann.)	0.82%	-6.38%
Best Day	8.32%	4.35%
Worst Day	-4.88%	-4.29%
Best Month	10.33%	10.7%
Worst Month	-8.06%	-8.48%
Best Year	3.86%	1.48%
Worst Year	-2.72%	-9.3%
Avg. Drawdown	-10.49%	-9.01%
Avg. Drawdown Days	147	111
Recovery Factor	0.03	-0.23
Ulcer Index	0.12	0.17
Serenity Index	-0.03	-0.04
Avg. Up Month	4.46%	3.95%
Avg. Down Month	-4.09%	-4.71%
Win Days	52.21%	48.75%
Win Month	52.94%	50.0%
Win Quarter	66.67%	50.0%
Win Year	50.0%	50.0%
Beta	0.76	-
Alpha	0.05	-
Correlation	76.15%	-
Treynor Ratio	-7.88%	-