ESGE RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2022 - 6 Feb, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	39.92%	63.98%
CAGR﹪	9.93%	14.96%
Sharpe	0.53	44.79
Prob. Sharpe Ratio	84.46%	-
Smart Sharpe	0.52	43.85
Sortino	0.77	-
Smart Sortino	0.75	-
Sortino/√2	0.54	-
Smart Sortino/√2	0.53	-
Omega	1.1	1.1
Max Drawdown	-33.35%	-
Longest DD Days	-	-
Volatility (ann.)	21.96%	0.31%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.3	-
Skew	0.02	-0.06
Kurtosis	3.92	-1.1
Expected Daily	0.04%	0.05%
Expected Monthly	0.77%	1.13%
Expected Yearly	6.95%	10.4%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.23%	-0.02%
Expected Shortfall (cVaR)	-2.23%	-0.02%
Max Consecutive Wins	10	906
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	3.29
Outlier Win Ratio	2.07	36.07
Outlier Loss Ratio	1.71	-
MTD	-2.59%	0.36%
3M	10.28%	4.04%
6M	0.84%	8.14%
YTD	2.89%	1.61%
1Y	-1.94%	18.86%
3Y (ann.)	7.96%	16.48%
5Y (ann.)	9.93%	14.96%
10Y (ann.)	9.93%	14.96%
All-time (ann.)	9.93%	14.96%
Best Day	8.47%	0.1%
Worst Day	-7.64%	0.0%
Best Month	15.75%	1.83%
Worst Month	-16.36%	0.36%
Best Year	37.09%	19.38%
Worst Year	-3.63%	1.61%
Avg. Drawdown	-3.52%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.2	-
Ulcer Index	0.15	0.0
Serenity Index	0.14	-
Avg. Up Month	4.87%	1.06%
Avg. Down Month	-	-
Win Days	54.2%	100.0%
Win Month	63.64%	100.0%
Win Quarter	60.0%	100.0%
Win Year	60.0%	100.0%
Beta	-0.71	-
Alpha	0.21	-
Correlation	-0.99%	-
Treynor Ratio	-56.52%	-