ESGE RUB[Strategy] vs [Benchmark] MRSVRT RUB

5 Aug, 2022 - 31 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	11.68%	19.67%
CAGR﹪	2.81%	4.6%
Sharpe	-0.07	0.0
Prob. Sharpe Ratio	3.85%	5.38%
Smart Sharpe	-0.07	0.0
Sortino	-0.1	0.0
Smart Sortino	-0.09	0.0
Sortino/√2	-0.07	0.0
Smart Sortino/√2	-0.07	0.0
Omega	0.99	0.99
Max Drawdown	-46.78%	-43.37%
Longest DD Days	802	802
Volatility (ann.)	22.39%	21.83%
R^2	0.65	0.65
Information Ratio	-0.01	-0.01
Calmar	0.06	0.11
Skew	0.22	0.09
Kurtosis	4.96	4.54
Expected Daily	0.01%	0.02%
Expected Monthly	0.23%	0.37%
Expected Yearly	2.23%	3.66%
Kelly Criterion	0.87%	1.65%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.3%	-2.23%
Expected Shortfall (cVaR)	-2.3%	-2.23%
Max Consecutive Wins	10	10
Max Consecutive Losses	8	14
Gain/Pain Ratio	0.04	0.06
Gain/Pain (1M)	0.18	0.24
Payoff Ratio	0.92	0.97
Profit Factor	1.04	1.06
Common Sense Ratio	0.97	1.0
CPC Index	0.5	0.53
Tail Ratio	0.93	0.95
Outlier Win Ratio	4.06	4.07
Outlier Loss Ratio	3.51	3.79
MTD	-1.32%	1.01%
3M	-13.64%	-8.83%
6M	-23.63%	-17.04%
YTD	-19.33%	-13.67%
1Y	-18.72%	-12.73%
3Y (ann.)	-10.61%	-8.77%
5Y (ann.)	2.81%	4.6%
10Y (ann.)	2.81%	4.6%
All-time (ann.)	2.81%	4.6%
Best Day	9.17%	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	-19.33%	-13.67%
Avg. Drawdown	-3.88%	-3.78%
Avg. Drawdown Days	48	50
Recovery Factor	0.25	0.45
Ulcer Index	0.17	0.17
Serenity Index	0.01	0.03
Avg. Up Month	5.31%	5.5%
Avg. Down Month	-6.0%	-6.04%
Win Days	52.5%	51.58%
Win Month	56.25%	58.33%
Win Quarter	47.06%	52.94%
Win Year	40.0%	40.0%
Beta	0.83	-
Alpha	-0.0	-
Correlation	80.92%	-
Treynor Ratio	5.64%	-