ESGE RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2022 - 9 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	10.83%	78.85%
CAGR﹪	2.47%	14.77%
Sharpe	0.22	48.15
Prob. Sharpe Ratio	67.5%	-
Smart Sharpe	0.21	46.98
Sortino	0.32	-
Smart Sortino	0.31	-
Sortino/√2	0.22	-
Smart Sortino/√2	0.22	-
Omega	1.04	1.04
Max Drawdown	-46.78%	-
Longest DD Days	-	-
Volatility (ann.)	22.81%	0.28%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.05	-
Skew	0.24	0.04
Kurtosis	4.39	-0.77
Expected Daily	0.01%	0.05%
Expected Monthly	0.2%	1.12%
Expected Yearly	2.08%	12.33%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.34%	-0.02%
Expected Shortfall (cVaR)	-2.34%	-0.02%
Max Consecutive Wins	10	1078
Max Consecutive Losses	8	0
Gain/Pain Ratio	0.04	-
Gain/Pain (1M)	0.18	-
Payoff Ratio	-	-
Profit Factor	1.04	-
Common Sense Ratio	0.99	-
CPC Index	-	-
Tail Ratio	0.95	3.18
Outlier Win Ratio	2.08	38.13
Outlier Loss Ratio	1.7	-
MTD	5.96%	0.34%
3M	8.38%	3.34%
6M	-17.31%	6.69%
YTD	-18.5%	10.82%
1Y	-13.37%	14.77%
3Y (ann.)	-9.94%	17.56%
5Y (ann.)	2.47%	14.77%
10Y (ann.)	2.47%	14.77%
All-time (ann.)	2.47%	14.77%
Best Day	9.17%	0.1%
Worst Day	-7.64%	0.0%
Best Month	15.75%	1.83%
Worst Month	-16.36%	0.34%
Best Year	37.09%	19.38%
Worst Year	-18.5%	3.5%
Avg. Drawdown	-3.98%	-
Avg. Drawdown Days	-	-
Recovery Factor	0.23	-
Ulcer Index	0.18	0.0
Serenity Index	0.03	-
Avg. Up Month	4.91%	1.03%
Avg. Down Month	-	-
Win Days	52.35%	100.0%
Win Month	55.77%	100.0%
Win Quarter	50.0%	100.0%
Win Year	40.0%	100.0%
Beta	-0.35	-
Alpha	0.1	-
Correlation	-0.43%	-
Treynor Ratio	-31.3%	-