SMCF RUB[Strategy] vs [Benchmark] RUFLBITR RUB

28 Feb, 2025 - 15 Aug, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	78.0%	96.0%
Cumulative Return	0.46%	11.33%
CAGR﹪	0.99%	26.27%
Sharpe	0.04	12.73
Prob. Sharpe Ratio	26.84%	100.0%
Smart Sharpe	0.03	7.56
Sortino	0.07	42.81
Smart Sortino	0.04	25.42
Sortino/√2	0.05	30.27
Smart Sortino/√2	0.03	17.97
Omega	1.02	1.02
Max Drawdown	-16.5%	-0.18%
Longest DD Days	141	4
Volatility (ann.)	39.44%	1.27%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	0.06	148.54
Skew	2.04	0.21
Kurtosis	49.58	0.33
Expected Daily	0.0%	0.09%
Expected Monthly	0.06%	1.55%
Expected Yearly	0.46%	11.33%
Kelly Criterion	32.87%	91.45%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.05%	-0.04%
Expected Shortfall (cVaR)	-4.05%	-0.04%
Max Consecutive Wins	7	28
Max Consecutive Losses	3	1
Gain/Pain Ratio	0.1	31.54
Gain/Pain (1M)	0.97	-
Payoff Ratio	1.71	4.8
Profit Factor	1.1	32.54
Common Sense Ratio	1.02	842.23
CPC Index	1.08	145.26
Tail Ratio	0.93	25.88
Outlier Win Ratio	3.25	18.14
Outlier Loss Ratio	1.85	45.04
MTD	-0.04%	0.73%
3M	3.64%	6.72%
6M	0.46%	11.33%
YTD	0.46%	11.33%
1Y	0.46%	11.33%
3Y (ann.)	0.99%	26.27%
5Y (ann.)	0.99%	26.27%
10Y (ann.)	0.99%	26.27%
All-time (ann.)	0.99%	26.27%
Best Day	19.88%	0.29%
Worst Day	-16.07%	-0.18%
Best Month	1.73%	3.1%
Worst Month	-4.12%	0.0%
Best Year	0.46%	11.33%
Worst Year	0.46%	11.33%
Avg. Drawdown	-5.49%	-0.04%
Avg. Drawdown Days	31	2
Recovery Factor	0.03	64.08
Ulcer Index	0.03	0.0
Serenity Index	-0.85	567.92
Avg. Up Month	1.18%	2.09%
Avg. Down Month	-	-
Win Days	57.61%	92.92%
Win Month	66.67%	100.0%
Win Quarter	66.67%	100.0%
Win Year	100.0%	100.0%
Beta	-1.72	-
Alpha	0.48	-
Correlation	-5.53%	-
Treynor Ratio	3.81%	-