ESGR RUB[Strategy] vs [Benchmark] MRSVT RUB

8 Jul, 2020 - 5 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	98.0%	100.0%
Cumulative Return	21.41%	29.72%
CAGR﹪	3.49%	4.71%
Sharpe	-0.02	0.05
Prob. Sharpe Ratio	2.54%	3.37%
Smart Sharpe	-0.02	0.05
Sortino	-0.02	0.06
Smart Sortino	-0.02	0.06
Sortino/√2	-0.02	0.04
Smart Sortino/√2	-0.02	0.04
Omega	1.0	1.0
Max Drawdown	-49.72%	-48.86%
Longest DD Days	1596	938
Volatility (ann.)	23.66%	25.29%
R^2	0.8	0.8
Information Ratio	-0.01	-0.01
Calmar	0.07	0.1
Skew	-2.74	-2.93
Kurtosis	42.17	77.72
Expected Daily	0.01%	0.02%
Expected Monthly	0.28%	0.38%
Expected Yearly	2.81%	3.79%
Kelly Criterion	0.96%	2.99%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.43%	-2.59%
Expected Shortfall (cVaR)	-2.43%	-2.59%
Max Consecutive Wins	12	12
Max Consecutive Losses	12	14
Gain/Pain Ratio	0.05	0.07
Gain/Pain (1M)	0.25	0.31
Payoff Ratio	0.86	0.88
Profit Factor	1.05	1.07
Common Sense Ratio	0.89	0.96
CPC Index	0.49	0.51
Tail Ratio	0.85	0.9
Outlier Win Ratio	4.04	3.93
Outlier Loss Ratio	3.74	3.82
MTD	-0.48%	-0.49%
3M	7.06%	7.07%
6M	-1.16%	-1.18%
YTD	4.26%	4.04%
1Y	-10.79%	-10.33%
3Y (ann.)	4.65%	5.72%
5Y (ann.)	-2.16%	-1.04%
10Y (ann.)	3.49%	4.71%
All-time (ann.)	3.49%	4.71%
Best Day	8.74%	17.88%
Worst Day	-22.7%	-27.71%
Best Month	17.92%	17.77%
Worst Month	-23.84%	-22.33%
Best Year	36.13%	38.37%
Worst Year	-31.18%	-30.06%
Avg. Drawdown	-3.28%	-4.94%
Avg. Drawdown Days	71	78
Recovery Factor	0.43	0.61
Ulcer Index	0.22	0.21
Serenity Index	0.02	0.05
Avg. Up Month	4.09%	4.25%
Avg. Down Month	-6.3%	-6.44%
Win Days	54.24%	54.62%
Win Month	64.71%	66.67%
Win Quarter	60.87%	60.87%
Win Year	57.14%	57.14%
Beta	0.83	-
Alpha	-0.0	-
Correlation	89.18%	-
Treynor Ratio	17.28%	-