ESGE[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2022 - 26 Dec, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	32.82%	18.23%
CAGR﹪	12.37%	7.13%
Sharpe	0.65	21.07
Prob. Sharpe Ratio	84.64%	100.0%
Smart Sharpe	0.61	19.52
Sortino	0.92	58.68
Smart Sortino	0.85	54.35
Sortino/√2	0.65	41.49
Smart Sortino/√2	0.6	38.43
Omega	1.12	1.12
Max Drawdown	-33.35%	-0.84%
Longest DD Days	220	140
Volatility (ann.)	20.93%	0.32%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.37	8.45
Skew	-0.23	-0.78
Kurtosis	5.71	3.11
Expected Daily	0.05%	0.03%
Expected Monthly	0.95%	0.56%
Expected Yearly	9.92%	5.74%
Kelly Criterion	14.89%	91.39%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.11%	-0.01%
Expected Shortfall (cVaR)	-2.11%	-0.01%
Max Consecutive Wins	10	593
Max Consecutive Losses	8	28
Gain/Pain Ratio	0.12	19.78
Gain/Pain (1M)	0.56	19.78
Payoff Ratio	1.1	1.1
Profit Factor	1.12	20.78
Common Sense Ratio	1.0	618.49
CPC Index	0.69	21.8
Tail Ratio	0.89	29.77
Outlier Win Ratio	1.84	54.34
Outlier Loss Ratio	1.93	62.99
MTD	8.95%	1.29%
3M	-1.52%	3.58%
6M	-13.35%	5.51%
YTD	-9.08%	9.48%
1Y	-8.54%	9.64%
3Y (ann.)	12.37%	7.13%
5Y (ann.)	12.37%	7.13%
10Y (ann.)	12.37%	7.13%
All-time (ann.)	12.37%	7.13%
Best Day	8.47%	0.07%
Worst Day	-7.64%	-0.07%
Best Month	13.41%	1.43%
Worst Month	-16.36%	-0.52%
Best Year	37.09%	9.48%
Worst Year	-9.08%	0.53%
Avg. Drawdown	-3.52%	-0.84%
Avg. Drawdown Days	27	140
Recovery Factor	0.98	21.61
Ulcer Index	0.12	0.0
Serenity Index	0.16	3.18
Avg. Up Month	4.46%	0.6%
Avg. Down Month	-	-
Win Days	55.45%	95.49%
Win Month	70.0%	93.33%
Win Quarter	50.0%	90.0%
Win Year	66.67%	100.0%
Beta	-1.14	-
Alpha	0.21	-
Correlation	-1.76%	-
Treynor Ratio	-28.74%	-