ESGE[Strategy] vs RUB Inflation[Benchmark]

22 Jul, 2022 - 20 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	40.24%	28.57%
CAGR﹪	9.67%	7.1%
Sharpe	0.53	20.12
Prob. Sharpe Ratio	84.56%	100.0%
Smart Sharpe	0.52	19.74
Sortino	0.76	64.68
Smart Sortino	0.74	63.46
Sortino/√2	0.54	45.74
Smart Sortino/√2	0.53	44.87
Omega	1.1	1.1
Max Drawdown	-33.35%	-0.84%
Longest DD Days	669	140
Volatility (ann.)	21.67%	0.34%
R^2	0.0	0.0
Information Ratio	0.01	0.01
Calmar	0.29	8.42
Skew	0.02	-0.06
Kurtosis	4.07	2.83
Expected Daily	0.04%	0.03%
Expected Monthly	0.75%	0.56%
Expected Yearly	7.0%	5.15%
Kelly Criterion	10.64%	90.74%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.2%	-0.01%
Expected Shortfall (cVaR)	-2.2%	-0.01%
Max Consecutive Wins	10	748
Max Consecutive Losses	8	28
Gain/Pain Ratio	0.1	20.15
Gain/Pain (1M)	0.45	20.15
Payoff Ratio	1.07	1.3
Profit Factor	1.1	21.15
Common Sense Ratio	1.04	67.75
CPC Index	0.63	26.11
Tail Ratio	0.95	3.2
Outlier Win Ratio	2.08	65.72
Outlier Loss Ratio	1.75	70.86
MTD	-0.96%	0.58%
3M	2.12%	3.06%
6M	3.2%	4.35%
YTD	3.13%	2.95%
1Y	-11.1%	6.11%
3Y (ann.)	4.31%	8.09%
5Y (ann.)	9.67%	7.1%
10Y (ann.)	9.67%	7.1%
All-time (ann.)	9.67%	7.1%
Best Day	8.47%	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	-3.63%	0.53%
Avg. Drawdown	-3.52%	-0.62%
Avg. Drawdown Days	43	102
Recovery Factor	1.21	33.87
Ulcer Index	0.15	0.0
Serenity Index	0.14	7.39
Avg. Up Month	4.83%	0.64%
Avg. Down Month	-	-
Win Days	53.85%	94.76%
Win Month	62.22%	93.33%
Win Quarter	60.0%	93.33%
Win Year	60.0%	100.0%
Beta	0.34	-
Alpha	0.09	-
Correlation	0.53%	-
Treynor Ratio	118.1%	-