ESGE[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2022 - 11 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	15.37%	31.74%
CAGR﹪	3.59%	7.03%
Sharpe	0.27	20.39
Prob. Sharpe Ratio	70.6%	100.0%
Smart Sharpe	0.26	19.71
Sortino	0.38	67.44
Smart Sortino	0.37	65.19
Sortino/√2	0.27	47.69
Smart Sortino/√2	0.26	46.09
Omega	1.05	1.05
Max Drawdown	-46.78%	-0.84%
Longest DD Days	813	140
Volatility (ann.)	22.43%	0.33%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	0.08	8.34
Skew	0.22	-0.05
Kurtosis	4.83	2.8
Expected Daily	0.01%	0.03%
Expected Monthly	0.29%	0.55%
Expected Yearly	2.9%	5.67%
Kelly Criterion	9.56%	91.59%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.3%	-0.01%
Expected Shortfall (cVaR)	-2.3%	-0.01%
Max Consecutive Wins	10	748
Max Consecutive Losses	8	28
Gain/Pain Ratio	0.05	22.1
Gain/Pain (1M)	0.21	22.1
Payoff Ratio	1.11	1.29
Profit Factor	1.05	23.1
Common Sense Ratio	0.98	621.64
CPC Index	0.61	28.36
Tail Ratio	0.94	26.91
Outlier Win Ratio	2.06	68.28
Outlier Loss Ratio	1.76	73.05
MTD	5.17%	0.29%
3M	-8.22%	2.26%
6M	-16.41%	3.53%
YTD	-15.16%	5.49%
1Y	-21.89%	6.86%
3Y (ann.)	-8.8%	8.26%
5Y (ann.)	3.59%	7.03%
10Y (ann.)	3.59%	7.03%
All-time (ann.)	3.59%	7.03%
Best Day	9.17%	0.09%
Worst Day	-7.64%	-0.07%
Best Month	15.75%	1.62%
Worst Month	-16.36%	-0.52%
Best Year	37.09%	9.51%
Worst Year	-15.16%	0.53%
Avg. Drawdown	-3.98%	-0.62%
Avg. Drawdown Days	48	102
Recovery Factor	0.33	37.63
Ulcer Index	0.17	0.0
Serenity Index	0.04	8.92
Avg. Up Month	4.84%	0.63%
Avg. Down Month	-	-
Win Days	52.5%	95.27%
Win Month	58.0%	94.0%
Win Quarter	52.94%	94.12%
Win Year	40.0%	100.0%
Beta	0.57	-
Alpha	0.02	-
Correlation	0.84%	-
Treynor Ratio	26.74%	-