PSRE RUB[Strategy] vs Deposit RUB[Benchmark]

18 Jul, 2025 - 16 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	3.27%	11.81%
CAGR﹪	4.99%	18.42%
Sharpe	0.34	48.41
Prob. Sharpe Ratio	61.26%	100.0%
Smart Sharpe	0.3	43.65
Sortino	0.47	-
Smart Sortino	0.43	-
Sortino/√2	0.34	-
Smart Sortino/√2	0.3	-
Omega	1.06	1.06
Max Drawdown	-16.41%	-
Longest DD Days	-	-
Volatility (ann.)	17.9%	0.32%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	0.3	-
Skew	-0.02	2.47
Kurtosis	3.17	7.78
Expected Daily	0.02%	0.06%
Expected Monthly	0.36%	1.25%
Expected Yearly	1.62%	5.74%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.83%	-0.03%
Expected Shortfall (cVaR)	-1.83%	-0.03%
Max Consecutive Wins	5	182
Max Consecutive Losses	6	0
Gain/Pain Ratio	0.06	-
Gain/Pain (1M)	0.27	-
Payoff Ratio	-	-
Profit Factor	1.06	-
Common Sense Ratio	1.13	-
CPC Index	-	-
Tail Ratio	1.07	1.82
Outlier Win Ratio	1.62	20.65
Outlier Loss Ratio	1.95	-
MTD	-0.16%	1.16%
3M	5.15%	4.29%
6M	2.89%	8.32%
YTD	3.12%	3.58%
1Y	3.27%	11.81%
3Y (ann.)	4.99%	18.42%
5Y (ann.)	4.99%	18.42%
10Y (ann.)	4.99%	18.42%
All-time (ann.)	4.99%	18.42%
Best Day	5.27%	0.14%
Worst Day	-3.94%	0.0%
Best Month	6.46%	1.31%
Worst Month	-7.45%	1.16%
Best Year	3.12%	7.95%
Worst Year	0.15%	3.58%
Avg. Drawdown	-4.41%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.2	-
Ulcer Index	0.07	0.0
Serenity Index	0.04	-
Avg. Up Month	4.09%	1.25%
Avg. Down Month	-	-
Win Days	52.54%	100.0%
Win Month	55.56%	100.0%
Win Quarter	66.67%	100.0%
Win Year	100.0%	100.0%
Beta	-3.43	-
Alpha	0.59	-
Correlation	-6.09%	-
Treynor Ratio	-0.95%	-