ESGE RUB[Strategy] vs [Benchmark] MRSVRT RUB

5 Aug, 2022 - 16 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	37.64%	30.83%
CAGR﹪	10.5%	8.76%
Sharpe	0.25	0.18
Prob. Sharpe Ratio	15.67%	13.03%
Smart Sharpe	0.24	0.17
Sortino	0.35	0.25
Smart Sortino	0.34	0.24
Sortino/√2	0.25	0.17
Smart Sortino/√2	0.24	0.17
Omega	1.04	1.04
Max Drawdown	-33.35%	-34.34%
Longest DD Days	514	514
Volatility (ann.)	22.16%	21.77%
R^2	0.65	0.65
Information Ratio	0.01	0.01
Calmar	0.31	0.26
Skew	0.03	-0.03
Kurtosis	4.16	4.77
Expected Daily	0.04%	0.03%
Expected Monthly	0.82%	0.69%
Expected Yearly	8.32%	6.95%
Kelly Criterion	3.64%	3.33%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.25%	-2.21%
Expected Shortfall (cVaR)	-2.25%	-2.21%
Max Consecutive Wins	10	10
Max Consecutive Losses	8	14
Gain/Pain Ratio	0.1	0.09
Gain/Pain (1M)	0.47	0.37
Payoff Ratio	0.9	0.93
Profit Factor	1.1	1.09
Common Sense Ratio	1.03	1.03
CPC Index	0.54	0.54
Tail Ratio	0.94	0.94
Outlier Win Ratio	4.06	4.11
Outlier Loss Ratio	3.4	3.59
MTD	1.76%	-2.9%
3M	1.92%	-2.66%
6M	-0.2%	-3.72%
YTD	-4.19%	-7.67%
1Y	1.1%	-3.84%
3Y (ann.)	9.59%	7.16%
5Y (ann.)	10.5%	8.76%
10Y (ann.)	10.5%	8.76%
All-time (ann.)	10.5%	8.76%
Best Day	8.47%	9.04%
Worst Day	-7.64%	-7.33%
Best Month	15.75%	17.01%
Worst Month	-16.36%	-19.59%
Best Year	37.09%	36.84%
Worst Year	-4.19%	-7.67%
Avg. Drawdown	-3.4%	-3.45%
Avg. Drawdown Days	38	39
Recovery Factor	1.13	0.9
Ulcer Index	0.14	0.14
Serenity Index	0.12	0.08
Avg. Up Month	5.36%	5.66%
Avg. Down Month	-6.02%	-6.39%
Win Days	54.39%	53.37%
Win Month	64.1%	58.97%
Win Quarter	57.14%	50.0%
Win Year	50.0%	50.0%
Beta	0.82	-
Alpha	0.04	-
Correlation	80.32%	-
Treynor Ratio	37.47%	-