SCFT RUB[Strategy] vs Deposit RUB[Benchmark]

2 Feb, 2022 - 25 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	98.0%	100.0%
Cumulative Return	-61.64%	73.36%
CAGR﹪	-18.64%	12.57%
Sharpe	-0.34	54.42
Prob. Sharpe Ratio	22.33%	100.0%
Smart Sharpe	-0.33	53.54
Sortino	-0.38	-
Smart Sortino	-0.38	-
Sortino/√2	-0.27	-
Smart Sortino/√2	-0.27	-
Omega	0.91	0.91
Max Drawdown	-68.68%	-
Longest DD Days	-	-
Volatility (ann.)	40.36%	0.27%
R^2	0.01	0.01
Information Ratio	-0.04	-0.04
Calmar	-0.27	-
Skew	-13.84	0.35
Kurtosis	334.88	1.08
Expected Daily	-0.1%	0.06%
Expected Monthly	-2.06%	1.2%
Expected Yearly	-17.44%	11.63%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.24%	-0.03%
Expected Shortfall (cVaR)	-4.24%	-0.03%
Max Consecutive Wins	8	947
Max Consecutive Losses	7	0
Gain/Pain Ratio	-0.09	-
Gain/Pain (1M)	-0.33	-
Payoff Ratio	-	-
Profit Factor	0.91	-
Common Sense Ratio	0.84	-
CPC Index	-	-
Tail Ratio	0.92	2.78
Outlier Win Ratio	1.86	35.22
Outlier Loss Ratio	1.68	-
MTD	-0.47%	1.08%
3M	0.31%	3.47%
6M	-18.8%	6.91%
YTD	-16.66%	10.44%
1Y	-16.48%	15.02%
3Y (ann.)	-10.9%	17.62%
5Y (ann.)	-18.64%	12.57%
10Y (ann.)	-18.64%	12.57%
All-time (ann.)	-18.64%	12.57%
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	-2.28%	19.38%
Worst Year	-46.59%	0.67%
Avg. Drawdown	-35.1%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.9	-
Ulcer Index	0.55	0.0
Serenity Index	-0.04	-
Avg. Up Month	4.49%	1.18%
Avg. Down Month	-	-
Win Days	50.38%	100.0%
Win Month	50.0%	100.0%
Win Quarter	37.5%	100.0%
Win Year	0.0%	100.0%
Beta	-16.92	-
Alpha	2.34	-
Correlation	-11.27%	-
Treynor Ratio	3.64%	-