ESGE RUB[Strategy] vs Deposit RUB[Benchmark]

22 Jul, 2022 - 18 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	40.4%	67.17%
CAGR﹪	9.72%	15.08%
Sharpe	0.53	45.0
Prob. Sharpe Ratio	84.63%	-
Smart Sharpe	0.52	44.15
Sortino	0.76	-
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.)	21.69%	0.31%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.29	-
Skew	0.02	-0.06
Kurtosis	4.06	-1.06
Expected Daily	0.04%	0.06%
Expected Monthly	0.76%	1.15%
Expected Yearly	7.02%	10.82%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.2%	-0.02%
Expected Shortfall (cVaR)	-2.2%	-0.02%
Max Consecutive Wins	10	933
Max Consecutive Losses	8	0
Gain/Pain Ratio	0.1	-
Gain/Pain (1M)	0.46	-
Payoff Ratio	-	-
Profit Factor	1.1	-
Common Sense Ratio	1.04	-
CPC Index	-	-
Tail Ratio	0.95	3.2
Outlier Win Ratio	2.07	35.49
Outlier Loss Ratio	1.73	-
MTD	-0.84%	1.16%
3M	1.69%	4.12%
6M	0.05%	8.2%
YTD	3.24%	3.58%
1Y	-11.7%	18.37%
3Y (ann.)	4.27%	16.94%
5Y (ann.)	9.72%	15.08%
10Y (ann.)	9.72%	15.08%
All-time (ann.)	9.72%	15.08%
Best Day	8.47%	0.1%
Worst Day	-7.64%	0.0%
Best Month	15.75%	1.83%
Worst Month	-16.36%	0.48%
Best Year	37.09%	19.38%
Worst Year	-3.63%	3.5%
Avg. Drawdown	-3.52%	-
Avg. Drawdown Days	-	-
Recovery Factor	1.21	-
Ulcer Index	0.15	0.0
Serenity Index	0.14	-
Avg. Up Month	4.87%	1.06%
Avg. Down Month	-	-
Win Days	53.86%	100.0%
Win Month	62.22%	100.0%
Win Quarter	60.0%	100.0%
Win Year	60.0%	100.0%
Beta	-0.74	-
Alpha	0.22	-
Correlation	-1.05%	-
Treynor Ratio	-54.58%	-