ESGR[Strategy] vs RUB Inflation[Benchmark]

29 Jun, 2020 - 27 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	100.0%
Cumulative Return	7.91%	41.93%
CAGR﹪	1.44%	6.79%
Sharpe	0.18	20.09
Prob. Sharpe Ratio	66.15%	100.0%
Smart Sharpe	0.18	19.88
Sortino	0.24	84.2
Smart Sortino	0.24	83.32
Sortino/√2	0.17	59.54
Smart Sortino/√2	0.17	58.92
Omega	1.04	1.04
Max Drawdown	-49.72%	-1.25%
Longest DD Days	1467	209
Volatility (ann.)	24.15%	0.33%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.03	5.41
Skew	-2.74	0.0
Kurtosis	41.48	0.67
Expected Daily	0.01%	0.03%
Expected Monthly	0.12%	0.55%
Expected Yearly	1.28%	6.01%
Kelly Criterion	9.04%	86.25%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.48%	-0.01%
Expected Shortfall (cVaR)	-2.48%	-0.01%
Max Consecutive Wins	12	741
Max Consecutive Losses	12	65
Gain/Pain Ratio	0.04	19.75
Gain/Pain (1M)	0.17	19.75
Payoff Ratio	1.01	2.42
Profit Factor	1.04	20.75
Common Sense Ratio	0.86	76.0
CPC Index	0.57	45.4
Tail Ratio	0.83	3.66
Outlier Win Ratio	2.05	60.25
Outlier Loss Ratio	1.88	146.02
MTD	-6.22%	0.26%
3M	-9.46%	0.3%
6M	-13.15%	1.46%
YTD	-11.27%	4.58%
1Y	-1.81%	7.61%
3Y (ann.)	5.48%	7.67%
5Y (ann.)	-2.19%	7.07%
10Y (ann.)	1.44%	6.79%
All-time (ann.)	1.44%	6.79%
Best Day	8.74%	0.11%
Worst Day	-22.7%	-0.02%
Best Month	17.92%	1.56%
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	64	114
Recovery Factor	0.16	33.42
Ulcer Index	0.22	0.0
Serenity Index	0.01	5.56
Avg. Up Month	4.04%	0.66%
Avg. Down Month	-2.22%	-0.37%
Win Days	54.19%	90.26%
Win Month	64.06%	90.62%
Win Quarter	52.17%	95.65%
Win Year	50.0%	100.0%
Beta	-0.67	-
Alpha	0.09	-
Correlation	-0.92%	-
Treynor Ratio	-11.85%	-