PSRE RUB[Strategy] vs Deposit RUB[Benchmark]

18 Jul, 2025 - 16 Jun, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	-7.18%	14.93%
CAGR﹪	-7.84%	16.48%
Sharpe	-0.34	43.85
Prob. Sharpe Ratio	36.12%	100.0%
Smart Sharpe	-0.31	40.08
Sortino	-0.47	-
Smart Sortino	-0.43	-
Sortino/√2	-0.33	-
Smart Sortino/√2	-0.3	-
Omega	0.94	0.94
Max Drawdown	-16.41%	-
Longest DD Days	-	-
Volatility (ann.)	16.34%	0.3%
R^2	0.0	0.0
Information Ratio	-0.07	-0.07
Calmar	-0.48	-
Skew	-0.01	2.97
Kurtosis	3.35	11.8
Expected Daily	-0.03%	0.05%
Expected Monthly	-0.62%	1.17%
Expected Yearly	-3.65%	7.21%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.72%	-0.02%
Expected Shortfall (cVaR)	-1.72%	-0.02%
Max Consecutive Wins	6	269
Max Consecutive Losses	6	0
Gain/Pain Ratio	-0.06	-
Gain/Pain (1M)	-0.23	-
Payoff Ratio	-	-
Profit Factor	0.94	-
Common Sense Ratio	0.81	-
CPC Index	-	-
Tail Ratio	0.86	1.79
Outlier Win Ratio	1.69	22.76
Outlier Loss Ratio	1.81	-
MTD	-2.57%	0.62%
3M	-10.59%	3.41%
6M	-5.49%	7.19%
YTD	-7.31%	6.47%
1Y	-7.18%	14.93%
3Y (ann.)	-7.84%	16.48%
5Y (ann.)	-7.84%	16.48%
10Y (ann.)	-7.84%	16.48%
All-time (ann.)	-7.84%	16.48%
Best Day	5.27%	0.14%
Worst Day	-3.94%	0.0%
Best Month	6.46%	1.31%
Worst Month	-7.45%	0.62%
Best Year	0.15%	7.95%
Worst Year	-7.31%	6.47%
Avg. Drawdown	-4.41%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.44	-
Ulcer Index	0.07	0.0
Serenity Index	-0.08	-
Avg. Up Month	4.09%	1.25%
Avg. Down Month	-	-
Win Days	50.76%	100.0%
Win Month	41.67%	100.0%
Win Quarter	25.0%	100.0%
Win Year	50.0%	100.0%
Beta	-0.73	-
Alpha	0.04	-
Correlation	-1.33%	-
Treynor Ratio	9.8%	-