SMCF RUB[Strategy] vs [Benchmark] RUFLBITR RUB

28 Feb, 2025 - 9 Jul, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	83.0%	95.0%
Cumulative Return	-1.07%	27.67%
CAGR﹪	-0.79%	19.69%
Sharpe	-0.14	9.69
Prob. Sharpe Ratio	11.74%	100.0%
Smart Sharpe	-0.08	5.67
Sortino	-0.21	29.56
Smart Sortino	-0.12	17.3
Sortino/√2	-0.15	20.9
Smart Sortino/√2	-0.09	12.23
Omega	0.96	0.96
Max Drawdown	-16.5%	-0.18%
Longest DD Days	211	6
Volatility (ann.)	27.44%	1.12%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	-0.05	111.35
Skew	2.04	0.74
Kurtosis	71.47	1.84
Expected Daily	-0.0%	0.07%
Expected Monthly	-0.06%	1.37%
Expected Yearly	-0.54%	12.99%
Kelly Criterion	11.95%	87.84%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.83%	-0.05%
Expected Shortfall (cVaR)	-2.83%	-0.05%
Max Consecutive Wins	7	54
Max Consecutive Losses	3	1
Gain/Pain Ratio	0.04	22.24
Gain/Pain (1M)	0.49	-
Payoff Ratio	1.04	2.58
Profit Factor	1.04	23.24
Common Sense Ratio	1.1	332.14
CPC Index	0.59	54.73
Tail Ratio	1.06	14.29
Outlier Win Ratio	3.71	24.98
Outlier Loss Ratio	2.18	50.77
MTD	-1.34%	0.03%
3M	-0.57%	3.57%
6M	-1.93%	7.72%
YTD	-0.22%	8.27%
1Y	0.12%	17.18%
3Y (ann.)	-0.79%	19.69%
5Y (ann.)	-0.79%	19.69%
10Y (ann.)	-0.79%	19.69%
All-time (ann.)	-0.79%	19.69%
Best Day	19.88%	0.41%
Worst Day	-16.07%	-0.18%
Best Month	1.73%	3.1%
Worst Month	-4.12%	0.0%
Best Year	-0.22%	17.91%
Worst Year	-0.85%	8.27%
Avg. Drawdown	-5.25%	-0.04%
Avg. Drawdown Days	53	2
Recovery Factor	-0.06	156.46
Ulcer Index	0.05	0.0
Serenity Index	-0.35	2198.82
Avg. Up Month	0.83%	1.65%
Avg. Down Month	-	-
Win Days	55.21%	91.24%
Win Month	58.82%	100.0%
Win Quarter	57.14%	100.0%
Win Year	0.0%	100.0%
Beta	-0.65	-
Alpha	0.14	-
Correlation	-2.67%	-
Treynor Ratio	12.34%	-