PSRE RUB[Strategy] vs Deposit RUB[Benchmark]

18 Jul, 2025 - 30 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	99.0%
Cumulative Return	-8.39%	5.22%
CAGR﹪	-26.49%	19.57%
Sharpe	-1.2	40.94
Prob. Sharpe Ratio	25.93%	100.0%
Smart Sharpe	-1.12	38.33
Sortino	-1.62	-
Smart Sortino	-1.52	-
Sortino/√2	-1.15	-
Smart Sortino/√2	-1.07	-
Omega	0.81	0.81
Max Drawdown	-16.41%	-
Longest DD Days	-	-
Volatility (ann.)	22.44%	0.42%
R^2	0.0	0.0
Information Ratio	-0.12	-0.12
Calmar	-1.61	-
Skew	0.19	1.9
Kurtosis	2.7	3.49
Expected Daily	-0.12%	0.07%
Expected Monthly	-2.17%	1.28%
Expected Yearly	-8.39%	5.22%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.43%	-0.02%
Expected Shortfall (cVaR)	-2.43%	-0.02%
Max Consecutive Wins	5	74
Max Consecutive Losses	6	0
Gain/Pain Ratio	-0.19	-
Gain/Pain (1M)	-0.57	-
Payoff Ratio	-	-
Profit Factor	0.81	-
Common Sense Ratio	0.67	-
CPC Index	-	-
Tail Ratio	0.83	2.34
Outlier Win Ratio	1.85	24.27
Outlier Loss Ratio	1.6	-
MTD	-5.58%	1.29%
3M	-8.39%	4.23%
6M	-8.39%	5.22%
YTD	-8.39%	5.22%
1Y	-8.39%	5.22%
3Y (ann.)	-26.49%	19.57%
5Y (ann.)	-26.49%	19.57%
10Y (ann.)	-26.49%	19.57%
All-time (ann.)	-26.49%	19.57%
Best Day	5.27%	0.14%
Worst Day	-3.94%	0.0%
Best Month	5.97%	1.31%
Worst Month	-5.58%	1.23%
Best Year	-8.39%	5.22%
Worst Year	-8.39%	5.22%
Avg. Drawdown	-4.41%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.51	-
Ulcer Index	0.07	0.0
Serenity Index	-0.12	-
Avg. Up Month	5.97%	1.31%
Avg. Down Month	-	-
Win Days	48.61%	100.0%
Win Month	25.0%	100.0%
Win Quarter	0.0%	100.0%
Win Year	0.0%	100.0%
Beta	-2.91	-
Alpha	0.23	-
Correlation	-5.43%	-
Treynor Ratio	2.88%	-