SCFT RUB[Strategy] vs Deposit RUB[Benchmark]

2 Feb, 2022 - 12 Oct, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	-60.39%	74.05%
CAGR﹪	-17.91%	12.53%
Sharpe	-0.31	54.27
Prob. Sharpe Ratio	24.06%	-
Smart Sharpe	-0.31	53.39
Sortino	-0.36	-
Smart Sortino	-0.35	-
Sortino/√2	-0.25	-
Smart Sortino/√2	-0.25	-
Omega	0.92	0.92
Max Drawdown	-68.68%	-
Longest DD Days	-	-
Volatility (ann.)	40.17%	0.27%
R^2	0.01	0.01
Information Ratio	-0.04	-0.04
Calmar	-0.26	-
Skew	-13.88	0.39
Kurtosis	337.28	1.09
Expected Daily	-0.1%	0.06%
Expected Monthly	-1.95%	1.19%
Expected Yearly	-16.91%	11.72%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.21%	-0.03%
Expected Shortfall (cVaR)	-4.21%	-0.03%
Max Consecutive Wins	8	958
Max Consecutive Losses	7	0
Gain/Pain Ratio	-0.08	-
Gain/Pain (1M)	-0.3	-
Payoff Ratio	-	-
Profit Factor	0.92	-
Common Sense Ratio	0.86	-
CPC Index	-	-
Tail Ratio	0.93	2.78
Outlier Win Ratio	1.86	35.2
Outlier Loss Ratio	1.68	-
MTD	5.24%	0.39%
3M	11.06%	3.27%
6M	-13.14%	6.64%
YTD	-13.93%	10.87%
1Y	-8.8%	14.7%
3Y (ann.)	-9.3%	17.56%
5Y (ann.)	-17.91%	12.53%
10Y (ann.)	-17.91%	12.53%
All-time (ann.)	-17.91%	12.53%
Best Day	14.97%	0.13%
Worst Day	-60.33%	0.0%
Best Month	13.92%	1.83%
Worst Month	-59.18%	0.39%
Best Year	-2.28%	19.38%
Worst Year	-46.59%	0.67%
Avg. Drawdown	-35.1%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.88	-
Ulcer Index	0.55	0.0
Serenity Index	-0.04	-
Avg. Up Month	4.52%	1.14%
Avg. Down Month	-	-
Win Days	50.64%	100.0%
Win Month	51.06%	100.0%
Win Quarter	41.18%	100.0%
Win Year	0.0%	100.0%
Beta	-16.92	-
Alpha	2.34	-
Correlation	-11.3%	-
Treynor Ratio	3.57%	-