ESGE[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2022 - 26 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	65.26%	10.51%
CAGR﹪	32.94%	5.83%
Sharpe	1.61	18.8
Prob. Sharpe Ratio	97.87%	100.0%
Smart Sharpe	1.54	18.01
Sortino	2.25	41.18
Smart Sortino	2.16	39.44
Sortino/√2	1.59	29.12
Smart Sortino/√2	1.53	27.89
Omega	1.34	1.34
Max Drawdown	-22.86%	-0.84%
Longest DD Days	195	140
Volatility (ann.)	18.56%	0.3%
R^2	0.0	0.0
Information Ratio	0.08	0.08
Calmar	1.44	6.91
Skew	-1.05	-1.56
Kurtosis	7.29	4.5
Expected Daily	0.11%	0.02%
Expected Monthly	2.31%	0.46%
Expected Yearly	18.23%	3.39%
Kelly Criterion	16.01%	87.16%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.8%	-0.01%
Expected Shortfall (cVaR)	-1.8%	-0.01%
Max Consecutive Wins	10	421
Max Consecutive Losses	5	28
Gain/Pain Ratio	0.34	11.81
Gain/Pain (1M)	2.24	11.81
Payoff Ratio	0.99	0.94
Profit Factor	1.34	12.81
Common Sense Ratio	1.52	23.31
CPC Index	0.77	11.34
Tail Ratio	1.13	1.82
Outlier Win Ratio	1.99	61.3
Outlier Loss Ratio	2.24	62.47
MTD	3.93%	0.39%
3M	9.0%	1.63%
6M	7.71%	4.39%
YTD	13.12%	2.34%
1Y	31.95%	7.77%
3Y (ann.)	32.94%	5.83%
5Y (ann.)	32.94%	5.83%
10Y (ann.)	32.94%	5.83%
All-time (ann.)	32.94%	5.83%
Best Day	4.19%	0.05%
Worst Day	-7.64%	-0.07%
Best Month	13.41%	1.11%
Worst Month	-16.36%	-0.52%
Best Year	37.09%	7.42%
Worst Year	6.56%	0.53%
Avg. Drawdown	-2.48%	-0.84%
Avg. Drawdown Days	20	140
Recovery Factor	2.85	12.46
Ulcer Index	0.06	0.0
Serenity Index	1.15	1.21
Avg. Up Month	4.3%	0.51%
Avg. Down Month	-	-
Win Days	58.24%	93.76%
Win Month	81.82%	90.91%
Win Quarter	75.0%	87.5%
Win Year	100.0%	100.0%
Beta	-2.66	-
Alpha	0.45	-
Correlation	-4.27%	-
Treynor Ratio	-24.55%	-