PSRE RUB[Strategy] vs Deposit RUB[Benchmark]

18 Jul, 2025 - 15 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	-1.78%	7.49%
CAGR﹪	-4.29%	19.2%
Sharpe	-0.08	47.51
Prob. Sharpe Ratio	47.78%	100.0%
Smart Sharpe	-0.08	42.68
Sortino	-0.12	-
Smart Sortino	-0.11	-
Sortino/√2	-0.08	-
Smart Sortino/√2	-0.08	-
Omega	0.99	0.99
Max Drawdown	-16.41%	-
Longest DD Days	-	-
Volatility (ann.)	21.65%	0.35%
R^2	0.0	0.0
Information Ratio	-0.05	-0.05
Calmar	-0.26	-
Skew	0.04	2.39
Kurtosis	1.82	6.5
Expected Daily	-0.02%	0.07%
Expected Monthly	-0.3%	1.21%
Expected Yearly	-1.78%	7.49%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.25%	-0.03%
Expected Shortfall (cVaR)	-2.25%	-0.03%
Max Consecutive Wins	5	108
Max Consecutive Losses	6	0
Gain/Pain Ratio	-0.01	-
Gain/Pain (1M)	-0.05	-
Payoff Ratio	-	-
Profit Factor	0.99	-
Common Sense Ratio	0.92	-
CPC Index	-	-
Tail Ratio	0.93	2.46
Outlier Win Ratio	1.34	19.26
Outlier Loss Ratio	1.59	-
MTD	2.75%	0.84%
3M	-2.36%	4.19%
6M	-1.78%	7.49%
YTD	-1.78%	7.49%
1Y	-1.78%	7.49%
3Y (ann.)	-4.29%	19.2%
5Y (ann.)	-4.29%	19.2%
10Y (ann.)	-4.29%	19.2%
All-time (ann.)	-4.29%	19.2%
Best Day	5.27%	0.14%
Worst Day	-3.94%	0.0%
Best Month	6.46%	1.31%
Worst Month	-7.45%	0.84%
Best Year	-1.78%	7.49%
Worst Year	-1.78%	7.49%
Avg. Drawdown	-4.41%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.11	-
Ulcer Index	0.09	0.0
Serenity Index	-0.02	-
Avg. Up Month	5.06%	1.15%
Avg. Down Month	-	-
Win Days	51.43%	100.0%
Win Month	50.0%	100.0%
Win Quarter	50.0%	100.0%
Win Year	0.0%	100.0%
Beta	-2.7	-
Alpha	0.43	-
Correlation	-4.39%	-
Treynor Ratio	0.66%	-