SCFT RUB[Strategy] vs Deposit RUB[Benchmark]

2 Feb, 2022 - 10 Apr, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	-54.4%	63.23%
CAGR﹪	-17.1%	12.42%
Sharpe	-0.26	52.42
Prob. Sharpe Ratio	29.72%	-
Smart Sharpe	-0.26	51.92
Sortino	-0.29	-
Smart Sortino	-0.29	-
Sortino/√2	-0.21	-
Smart Sortino/√2	-0.2	-
Omega	0.93	0.93
Max Drawdown	-64.42%	-
Longest DD Days	-	-
Volatility (ann.)	41.8%	0.28%
R^2	0.01	0.01
Information Ratio	-0.04	-0.04
Calmar	-0.27	-
Skew	-14.24	0.2
Kurtosis	332.56	0.7
Expected Daily	-0.09%	0.06%
Expected Monthly	-1.9%	1.2%
Expected Yearly	-14.53%	10.3%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.37%	-0.03%
Expected Shortfall (cVaR)	-4.37%	-0.03%
Max Consecutive Wins	8	830
Max Consecutive Losses	7	0
Gain/Pain Ratio	-0.07	-
Gain/Pain (1M)	-0.25	-
Payoff Ratio	-	-
Profit Factor	0.93	-
Common Sense Ratio	0.87	-
CPC Index	-	-
Tail Ratio	0.94	2.82
Outlier Win Ratio	1.91	34.93
Outlier Loss Ratio	1.7	-
MTD	-0.56%	0.41%
3M	0.62%	3.76%
6M	3.43%	7.63%
YTD	-0.91%	3.98%
1Y	6.51%	17.27%
3Y (ann.)	2.25%	16.9%
5Y (ann.)	-17.1%	12.42%
10Y (ann.)	-17.1%	12.42%
All-time (ann.)	-17.1%	12.42%
Best Day	14.97%	0.13%
Worst Day	-60.33%	0.0%
Best Month	13.92%	1.83%
Worst Month	-59.18%	0.41%
Best Year	-0.91%	19.38%
Worst Year	-46.59%	0.67%
Avg. Drawdown	-32.97%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.84	-
Ulcer Index	0.54	0.0
Serenity Index	-0.04	-
Avg. Up Month	4.7%	1.18%
Avg. Down Month	-	-
Win Days	50.74%	100.0%
Win Month	53.66%	100.0%
Win Quarter	40.0%	100.0%
Win Year	0.0%	100.0%
Beta	-17.65	-
Alpha	2.51	-
Correlation	-11.98%	-
Treynor Ratio	3.08%	-