SCFT RUB[Strategy] vs Deposit RUB[Benchmark]

2 Feb, 2022 - 4 Apr, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	100.0%
Cumulative Return	-54.12%	38.91%
CAGR﹪	-21.79%	10.93%
Sharpe	-0.35	44.45
Prob. Sharpe Ratio	27.05%	-
Smart Sharpe	-0.34	43.83
Sortino	-0.38	-
Smart Sortino	-0.38	-
Sortino/√2	-0.27	-
Smart Sortino/√2	-0.27	-
Omega	0.9	0.9
Max Drawdown	-64.42%	-
Longest DD Days	-	-
Volatility (ann.)	47.86%	0.32%
R^2	0.02	0.02
Information Ratio	-0.04	-0.04
Calmar	-0.34	-
Skew	-13.7	0.4
Kurtosis	279.09	0.18
Expected Daily	-0.14%	0.06%
Expected Monthly	-2.65%	1.14%
Expected Yearly	-17.7%	8.56%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-5.03%	-0.02%
Expected Shortfall (cVaR)	-5.03%	-0.02%
Max Consecutive Wins	8	575
Max Consecutive Losses	7	0
Gain/Pain Ratio	-0.1	-
Gain/Pain (1M)	-0.32	-
Payoff Ratio	-	-
Profit Factor	0.9	-
Common Sense Ratio	0.81	-
CPC Index	-	-
Tail Ratio	0.9	2.82
Outlier Win Ratio	2.04	39.45
Outlier Loss Ratio	1.65	-
MTD	-7.66%	0.32%
3M	-0.86%	5.55%
6M	1.32%	11.12%
YTD	-2.58%	5.64%
1Y	-17.39%	20.71%
3Y (ann.)	-28.55%	15.82%
5Y (ann.)	-21.79%	10.93%
10Y (ann.)	-21.79%	10.93%
All-time (ann.)	-21.79%	10.93%
Best Day	14.97%	0.13%
Worst Day	-60.33%	0.0%
Best Month	13.92%	1.83%
Worst Month	-59.18%	0.32%
Best Year	-2.58%	18.74%
Worst Year	-46.59%	0.67%
Avg. Drawdown	-32.97%	-
Avg. Drawdown Days	-	-
Recovery Factor	-0.84	-
Ulcer Index	0.53	0.0
Serenity Index	-0.04	-
Avg. Up Month	4.58%	1.14%
Avg. Down Month	-	-
Win Days	50.45%	100.0%
Win Month	58.62%	100.0%
Win Quarter	45.45%	100.0%
Win Year	0.0%	100.0%
Beta	-20.73	-
Alpha	2.82	-
Correlation	-14.02%	-
Treynor Ratio	2.61%	-