PSRE RUB[Strategy] vs Deposit RUB[Benchmark]

18 Jul, 2025 - 1 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	73.0%	91.0%
Cumulative Return	-2.85%	1.44%
CAGR﹪	-53.0%	45.0%
Sharpe	-3.48	47.86
Prob. Sharpe Ratio	16.44%	94.97%
Smart Sharpe	-2.44	33.59
Sortino	-3.68	-
Smart Sortino	-2.59	-
Sortino/√2	-2.61	-
Smart Sortino/√2	-1.83	-
Omega	0.4	0.4
Max Drawdown	-3.58%	-
Longest DD Days	-	-
Volatility (ann.)	18.6%	0.68%
R^2	0.01	0.01
Information Ratio	-0.33	-0.33
Calmar	-14.81	-
Skew	-2.65	-3.32
Kurtosis	7.82	11.0
Expected Daily	-0.26%	0.13%
Expected Monthly	-1.44%	0.72%
Expected Yearly	-2.85%	1.44%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.18%	-0.06%
Expected Shortfall (cVaR)	-2.18%	-0.06%
Max Consecutive Wins	2	10
Max Consecutive Losses	2	0
Gain/Pain Ratio	-0.6	-
Gain/Pain (1M)	-0.89	-
Payoff Ratio	-	-
Profit Factor	0.4	-
Common Sense Ratio	0.11	-
CPC Index	-	-
Tail Ratio	0.27	2.0
Outlier Win Ratio	1.64	3.4
Outlier Loss Ratio	1.39	-
MTD	0.36%	0.14%
3M	-2.85%	1.44%
6M	-2.85%	1.44%
YTD	-2.85%	1.44%
1Y	-2.85%	1.44%
3Y (ann.)	-53.0%	45.0%
5Y (ann.)	-53.0%	45.0%
10Y (ann.)	-53.0%	45.0%
All-time (ann.)	-53.0%	45.0%
Best Day	0.78%	0.14%
Worst Day	-3.58%	0.0%
Best Month	0.36%	1.29%
Worst Month	-3.2%	0.14%
Best Year	-2.85%	1.44%
Worst Year	-2.85%	1.44%
Avg. Drawdown	-1.57%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.8	-
Ulcer Index	0.02	0.0
Serenity Index	-0.55	-
Avg. Up Month	0.36%	0.14%
Avg. Down Month	-	-
Win Days	50.0%	100.0%
Win Month	50.0%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	-1.98	-
Alpha	0.0	-
Correlation	-7.26%	-
Treynor Ratio	1.44%	-