SMCF RUB[Strategy] vs [Benchmark] RUFLBITR RUB

28 Feb, 2025 - 24 Aug, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	84.0%	95.0%
Cumulative Return	0.5%	29.95%
CAGR﹪	0.34%	19.29%
Sharpe	-0.12	9.41
Prob. Sharpe Ratio	11.39%	100.0%
Smart Sharpe	-0.07	5.51
Sortino	-0.18	28.1
Smart Sortino	-0.1	16.45
Sortino/√2	-0.12	19.87
Smart Sortino/√2	-0.07	11.63
Omega	0.96	0.96
Max Drawdown	-16.5%	-0.18%
Longest DD Days	245	6
Volatility (ann.)	26.21%	1.11%
R^2	0.0	0.0
Information Ratio	-0.03	-0.03
Calmar	0.02	109.11
Skew	2.13	0.73
Kurtosis	78.24	1.8
Expected Daily	0.0%	0.07%
Expected Monthly	0.03%	1.39%
Expected Yearly	0.25%	14.0%
Kelly Criterion	14.69%	86.44%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.7%	-0.05%
Expected Shortfall (cVaR)	-2.7%	-0.05%
Max Consecutive Wins	7	54
Max Consecutive Losses	3	2
Gain/Pain Ratio	0.05	20.66
Gain/Pain (1M)	0.79	-
Payoff Ratio	1.03	2.7
Profit Factor	1.05	21.66
Common Sense Ratio	1.03	260.22
CPC Index	0.61	52.65
Tail Ratio	0.99	12.01
Outlier Win Ratio	3.96	25.13
Outlier Loss Ratio	2.2	52.66
MTD	-0.25%	0.93%
3M	1.31%	3.52%
6M	0.66%	7.93%
YTD	1.37%	10.21%
1Y	-0.38%	16.38%
3Y (ann.)	0.34%	19.29%
5Y (ann.)	0.34%	19.29%
10Y (ann.)	0.34%	19.29%
All-time (ann.)	0.34%	19.29%
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	1.37%	17.91%
Worst Year	-0.85%	10.21%
Avg. Drawdown	-5.25%	-0.04%
Avg. Drawdown Days	58	2
Recovery Factor	0.03	169.37
Ulcer Index	0.05	0.0
Serenity Index	-0.25	2440.64
Avg. Up Month	0.8%	1.58%
Avg. Down Month	-	-
Win Days	56.7%	90.11%
Win Month	61.11%	100.0%
Win Quarter	71.43%	100.0%
Win Year	50.0%	100.0%
Beta	-0.64	-
Alpha	0.15	-
Correlation	-2.7%	-
Treynor Ratio	10.18%	-