ESGE RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2022 - 16 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	34.97%	57.32%
CAGR﹪	9.7%	15.02%
Sharpe	0.52	41.44
Prob. Sharpe Ratio	82.81%	-
Smart Sharpe	0.51	40.22
Sortino	0.75	-
Smart Sortino	0.73	-
Sortino/√2	0.53	-
Smart Sortino/√2	0.51	-
Omega	1.1	1.1
Max Drawdown	-33.35%	-
Longest DD Days	-	-
Volatility (ann.)	22.12%	0.33%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.29	-
Skew	0.03	0.17
Kurtosis	4.07	-0.92
Expected Daily	0.04%	0.05%
Expected Monthly	0.75%	1.14%
Expected Yearly	7.79%	11.99%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.25%	-0.02%
Expected Shortfall (cVaR)	-2.25%	-0.02%
Max Consecutive Wins	10	831
Max Consecutive Losses	8	0
Gain/Pain Ratio	0.1	-
Gain/Pain (1M)	0.45	-
Payoff Ratio	-	-
Profit Factor	1.1	-
Common Sense Ratio	1.03	-
CPC Index	-	-
Tail Ratio	0.94	3.5
Outlier Win Ratio	2.14	37.29
Outlier Loss Ratio	1.69	-
MTD	1.59%	1.29%
3M	1.75%	4.69%
6M	-0.37%	9.61%
YTD	-4.35%	16.38%
1Y	0.93%	21.7%
3Y (ann.)	9.52%	15.82%
5Y (ann.)	9.7%	15.02%
10Y (ann.)	9.7%	15.02%
All-time (ann.)	9.7%	15.02%
Best Day	8.47%	0.11%
Worst Day	-7.64%	0.0%
Best Month	15.75%	1.83%
Worst Month	-16.36%	0.48%
Best Year	37.09%	18.74%
Worst Year	-4.35%	3.5%
Avg. Drawdown	-3.52%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.05	-
Ulcer Index	0.14	0.0
Serenity Index	0.14	-
Avg. Up Month	4.74%	1.04%
Avg. Down Month	-	-
Win Days	54.21%	100.0%
Win Month	65.0%	100.0%
Win Quarter	57.14%	100.0%
Win Year	50.0%	100.0%
Beta	-0.72	-
Alpha	0.21	-
Correlation	-1.08%	-
Treynor Ratio	-48.35%	-