SCFT RUB[Strategy] vs Deposit RUB[Benchmark]

2 Feb, 2022 - 29 Jul, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	-53.88%	47.3%
CAGR﹪	-19.9%	11.75%
Sharpe	-0.31	47.01
Prob. Sharpe Ratio	28.67%	-
Smart Sharpe	-0.3	46.27
Sortino	-0.34	-
Smart Sortino	-0.33	-
Sortino/√2	-0.24	-
Smart Sortino/√2	-0.24	-
Omega	0.91	0.91
Max Drawdown	-64.42%	-
Longest DD Days	-	-
Volatility (ann.)	45.79%	0.32%
R^2	0.02	0.02
Information Ratio	-0.04	-0.04
Calmar	-0.31	-
Skew	-13.75	0.15
Kurtosis	292.78	-0.0
Expected Daily	-0.12%	0.06%
Expected Monthly	-2.39%	1.22%
Expected Yearly	-17.59%	10.17%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.8%	-0.03%
Expected Shortfall (cVaR)	-4.8%	-0.03%
Max Consecutive Wins	8	654
Max Consecutive Losses	7	0
Gain/Pain Ratio	-0.09	-
Gain/Pain (1M)	-0.3	-
Payoff Ratio	-	-
Profit Factor	0.91	-
Common Sense Ratio	0.82	-
CPC Index	-	-
Tail Ratio	0.9	2.82
Outlier Win Ratio	2.03	38.4
Outlier Loss Ratio	1.62	-
MTD	0.22%	1.44%
3M	-5.39%	4.81%
6M	-4.06%	10.35%
YTD	-2.07%	12.03%
1Y	-8.85%	21.89%
3Y (ann.)	-25.29%	16.38%
5Y (ann.)	-19.9%	11.75%
10Y (ann.)	-19.9%	11.75%
All-time (ann.)	-19.9%	11.75%
Best Day	14.97%	0.13%
Worst Day	-60.33%	0.0%
Best Month	13.92%	1.83%
Worst Month	-59.18%	0.64%
Best Year	-2.07%	18.74%
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	4.29%	1.17%
Avg. Down Month	-	-
Win Days	50.94%	100.0%
Win Month	59.38%	100.0%
Win Quarter	50.0%	100.0%
Win Year	0.0%	100.0%
Beta	-18.54	-
Alpha	2.62	-
Correlation	-12.84%	-
Treynor Ratio	2.91%	-