ESGE[Strategy] vs RUB Inflation[Benchmark]

20 Jul, 2016 - 29 Jan, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	77.05%	78.03%
CAGR﹪	6.17%	6.24%
Sharpe	0.4	11.06
Prob. Sharpe Ratio	89.18%	100.0%
Smart Sharpe	0.36	9.85
Sortino	0.56	82.83
Smart Sortino	0.5	73.77
Sortino/√2	0.4	58.57
Smart Sortino/√2	0.35	52.17
Omega	1.07	1.07
Max Drawdown	-43.02%	-1.25%
Longest DD Days	1799	209
Volatility (ann.)	19.68%	0.55%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.14	4.97
Skew	-0.61	5.96
Kurtosis	9.28	48.61
Expected Daily	0.02%	0.02%
Expected Monthly	0.5%	0.5%
Expected Yearly	5.33%	5.38%
Kelly Criterion	7.77%	86.74%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.01%	-0.03%
Expected Shortfall (cVaR)	-2.01%	-0.03%
Max Consecutive Wins	11	730
Max Consecutive Losses	8	64
Gain/Pain Ratio	0.07	20.14
Gain/Pain (1M)	0.44	20.14
Payoff Ratio	1.01	2.01
Profit Factor	1.07	21.14
Common Sense Ratio	1.03	118.33
CPC Index	0.58	38.7
Tail Ratio	0.96	5.6
Outlier Win Ratio	1.9	56.38
Outlier Loss Ratio	1.69	117.42
MTD	9.87%	0.28%
3M	7.61%	1.09%
6M	21.63%	1.54%
YTD	9.87%	0.28%
1Y	42.36%	4.8%
3Y (ann.)	16.99%	7.34%
5Y (ann.)	2.2%	8.44%
10Y (ann.)	6.17%	6.24%
All-time (ann.)	6.17%	6.24%
Best Day	7.9%	0.32%
Worst Day	-12.48%	-0.02%
Best Month	15.65%	7.61%
Worst Month	-16.12%	-0.54%
Best Year	36.14%	11.92%
Worst Year	-24.35%	0.28%
Avg. Drawdown	-3.16%	-0.57%
Avg. Drawdown Days	72	120
Recovery Factor	1.79	62.19
Ulcer Index	0.21	0.0
Serenity Index	0.12	25.38
Avg. Up Month	3.71%	0.49%
Avg. Down Month	-2.33%	-0.29%
Win Days	53.64%	91.15%
Win Month	59.13%	91.3%
Win Quarter	64.1%	92.31%
Win Year	63.64%	100.0%
Beta	-0.35	-
Alpha	0.1	-
Correlation	-0.99%	-
Treynor Ratio	-217.65%	-