ESGR RUB[Strategy] vs MCFTR RUB[Benchmark]

3 Jul, 2020 - 24 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	99.0%	100.0%
Cumulative Return	44.04%	61.2%
CAGR﹪	10.05%	13.35%
Sharpe	-8.75	-6.55
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-8.58	-6.42
Sortino	-8.04	-6.65
Smart Sortino	-7.88	-6.52
Sortino/√2	-5.69	-4.7
Smart Sortino/√2	-5.57	-4.61
Omega	0.15	0.15
Max Drawdown	-49.72%	-53.53%
Longest DD Days	916	916
Volatility (ann.)	22.43%	29.22%
R^2	0.84	0.84
Information Ratio	-0.03	-0.03
Calmar	0.2	0.25
Skew	-4.94	-5.52
Kurtosis	76.62	131.15
Expected Daily	0.04%	0.05%
Expected Monthly	0.81%	1.07%
Expected Yearly	7.57%	10.02%
Kelly Criterion	2.9%	5.3%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.27%	-2.96%
Expected Shortfall (cVaR)	-2.27%	-2.96%
Max Consecutive Wins	11	11
Max Consecutive Losses	12	5
Gain/Pain Ratio	0.12	0.16
Gain/Pain (1M)	0.6	0.81
Payoff Ratio	0.8	0.84
Profit Factor	1.12	1.16
Common Sense Ratio	1.1	1.2
CPC Index	0.51	0.55
Tail Ratio	0.98	1.04
Outlier Win Ratio	3.74	3.27
Outlier Loss Ratio	3.95	3.65
MTD	3.29%	2.9%
3M	6.85%	8.14%
6M	5.88%	7.52%
YTD	11.72%	11.49%
1Y	27.77%	39.41%
3Y (ann.)	0.92%	5.23%
5Y (ann.)	10.05%	13.35%
10Y (ann.)	10.05%	13.35%
All-time (ann.)	10.05%	13.35%
Best Day	8.74%	20.04%
Worst Day	-22.7%	-33.28%
Best Month	17.92%	15.56%
Worst Month	-23.84%	-30.02%
Best Year	36.13%	53.84%
Worst Year	-31.18%	-37.26%
Avg. Drawdown	-3.29%	-3.16%
Avg. Drawdown Days	46	35
Recovery Factor	0.89	1.14
Ulcer Index	0.22	0.26
Serenity Index	-1.0	-0.97
Avg. Up Month	4.31%	5.17%
Avg. Down Month	-8.31%	-8.94%
Win Days	56.72%	56.82%
Win Month	75.56%	66.67%
Win Quarter	68.75%	75.0%
Win Year	80.0%	80.0%
Beta	0.7	-
Alpha	0.0	-
Correlation	91.81%	-
Treynor Ratio	-930.59%	-