ESGR[Strategy] vs RUB Inflation[Benchmark]

29 Jun, 2020 - 19 Mar, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	24.21%	47.38%
CAGR﹪	3.86%	7.01%
Sharpe	0.28	20.09
Prob. Sharpe Ratio	74.49%	100.0%
Smart Sharpe	0.28	19.83
Sortino	0.37	90.12
Smart Sortino	0.36	88.96
Sortino/√2	0.26	63.73
Smart Sortino/√2	0.26	62.91
Omega	1.06	1.06
Max Drawdown	-49.72%	-1.25%
Longest DD Days	1610	209
Volatility (ann.)	23.65%	0.34%
R^2	0.0	0.0
Information Ratio	-0.0	-0.0
Calmar	0.08	5.59
Skew	-2.74	0.26
Kurtosis	42.17	1.14
Expected Daily	0.02%	0.03%
Expected Monthly	0.31%	0.56%
Expected Yearly	3.15%	5.7%
Kelly Criterion	8.74%	87.26%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.42%	-0.01%
Expected Shortfall (cVaR)	-2.42%	-0.01%
Max Consecutive Wins	12	741
Max Consecutive Losses	12	65
Gain/Pain Ratio	0.06	21.88
Gain/Pain (1M)	0.27	21.88
Payoff Ratio	1.0	2.49
Profit Factor	1.06	22.88
Common Sense Ratio	0.89	88.58
CPC Index	0.58	51.85
Tail Ratio	0.85	3.87
Outlier Win Ratio	2.02	57.64
Outlier Loss Ratio	1.92	145.29
MTD	0.64%	0.46%
3M	4.52%	2.95%
6M	4.04%	4.24%
YTD	5.44%	2.83%
1Y	-10.14%	6.02%
3Y (ann.)	3.15%	8.05%
5Y (ann.)	-2.47%	7.17%
10Y (ann.)	3.86%	7.01%
All-time (ann.)	3.86%	7.01%
Best Day	8.74%	0.11%
Worst Day	-22.7%	-0.02%
Best Month	17.92%	1.62%
Worst Month	-23.84%	-0.52%
Best Year	36.13%	9.51%
Worst Year	-31.18%	2.34%
Avg. Drawdown	-3.19%	-0.59%
Avg. Drawdown Days	69	114
Recovery Factor	0.49	37.76
Ulcer Index	0.22	0.0
Serenity Index	0.04	6.98
Avg. Up Month	4.02%	0.66%
Avg. Down Month	-2.22%	-0.37%
Win Days	54.27%	90.91%
Win Month	65.22%	91.3%
Win Quarter	58.33%	95.83%
Win Year	57.14%	100.0%
Beta	-0.13	-
Alpha	0.08	-
Correlation	-0.2%	-
Treynor Ratio	-179.51%	-